房地产产业链相依结构演化及其危机传染效应研究
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引用本文:郭文伟.房地产产业链相依结构演化及其危机传染效应研究[J].经济数学,2016,(1):7-17
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作者单位
郭文伟 (广东财经大学 金融学院 广东 广州510320) 
中文摘要:以钢铁、有色金属、家用电器、房地产、建筑材料、建筑装饰、银行、非银金融和机械设备九大申万一级行业指数所代表的房地产产业链为研究对象,通过采用R-Vine Copula方法来刻画房地产产业链上行业间相依结构及其在2008年金融危机冲击下的结构演化特征.研究结果表明:房地产产业链上各行业间普遍存在对称、厚尾的相依结构,行业间相依性水平较高;机械设备业在整个房地产产业链上起到了枢纽中心的连接作用;金融危机的发生增强了房地产产业链的总体相依性水平,危机传染效应显著;与C-Vine Copula和D-Vine Copula方法相比,R-Vine Copula更适合来刻画我国房地产产业链的相依结构特征.
中文关键词:房地产产业链  相依结构  危机传染效应  R-Vine Copula
 
The Study of Dependence among Real Estate Industry Chain and Its Crisis Contagion Effect
Abstract:This paper built the R-Vine copula model to characterize the dependency structure among real estate industry chain,which includes iron and steel, nonferrous metals, household appliances, real estate, building materials, construction decoration, banks, non-bank financial and mechanical equipment based on their daily index yield data from 2000 to 2015 from SW industry index. The results show that there is higher dependence,which shows symmetry and thick tail feature,among real estate industry chain. Dependence between industries is higher. Machinery and equipment industry has played a role in connecting other industries in the entire real estate industry chain during the entire period.The financial crisis in 2008 enhanced the overall level of dependency in the real estate industry chain.This shows a significant crisis contagion effect in real estate industry chain in China. R-Vine copula model is more suitable for measuring the correlation among real estate industry chain,compared with the D-Vine copula and C-Vine copula model.
keywords:real estate industry chain  dependence structure  crisis contagion effect  R-Vine Copula
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