金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2014年
7期
32~36
,共null页
房地产业 银行业 极端风险溢出 风险-Granger因果关系 CoVaR
房地產業 銀行業 極耑風險溢齣 風險-Granger因果關繫 CoVaR
방지산업 은행업 겁단풍험일출 풍험-Granger인과관계 CoVaR
real estate business; banking business; spillover of extreme risk; Granger causality in risk;CoVaR
房地产业和银行业均是资金密集型行业，风险管理是其健康发展的基石。在分析房地产业与银行业风险溢出机制基础上，采用GARCH-EVT模型、VaR-Granger因果关系检验模型研究我国房地产业与银行业间风险溢出效应，并基于条件风险价值CoVaR方法测度风险溢出强度。研究发现：a=5％显著水平下，房地产业与银行业之间存在双向的风险溢出效应；房地产业对银行业的风险溢出强度略强于银行业对房地产业的风险溢出强度，前者为36．73％，后者为33．96％。
房地產業和銀行業均是資金密集型行業，風險管理是其健康髮展的基石。在分析房地產業與銀行業風險溢齣機製基礎上，採用GARCH-EVT模型、VaR-Granger因果關繫檢驗模型研究我國房地產業與銀行業間風險溢齣效應，併基于條件風險價值CoVaR方法測度風險溢齣彊度。研究髮現：a=5％顯著水平下，房地產業與銀行業之間存在雙嚮的風險溢齣效應；房地產業對銀行業的風險溢齣彊度略彊于銀行業對房地產業的風險溢齣彊度，前者為36．73％，後者為33．96％。
방지산업화은행업균시자금밀집형행업，풍험관리시기건강발전적기석。재분석방지산업여은행업풍험일출궤제기출상，채용GARCH-EVT모형、VaR-Granger인과관계검험모형연구아국방지산업여은행업간풍험일출효응，병기우조건풍험개치CoVaR방법측도풍험일출강도。연구발현：a=5％현저수평하，방지산업여은행업지간존재쌍향적풍험일출효응；방지산업대은행업적풍험일출강도략강우은행업대방지산업적풍험일출강도，전자위36．73％，후자위33．96％。
Real estate and banking are capital-intensive industries. Risk management is the corner-stone of their healthy development. We provide an empirical study on spillover of extreme downside risk and the spillover degree between Chinese real estate and banking, by using GARCH-EVT, VaR-Grange, and CoVaR, basing on analyzing the spillover mechanic between Chinese real estate and banking. It is found that there exists strong risk spillover between Chinese real estate and banking at 5%significance level. The spillover degree of real estate to banking is stronger than degree of banking to real estate, the former is 36.73%and the latter is 33.96%.
