中国房地产业与金融业动态相依性及结构突变特征研究

Dynamic Dependency between China's Real Estate Industry and Financial Industry and its Structural Characteristics of Mutation

采用中国房地产业和金融业在2000-2012年期间的行业指数收益率数据,引入动态Copula函数对两个行业之间的动态相依结构进行研究,结果表明:SJC Copula函数相比常见的其他Copula函数能更好地刻画中国房地产和金融业之间的动态相依结构;房地产业和金融业之间的相依性缺乏持续性,随着收益率的变化而呈现出非对称性变化,主要表现为随着收益率的上升,条件上尾(下尾)相关系数将减小,但上尾相依性系数的下降幅度比下尾相依性系数要大,这说明房地产业和金融业之间的相依性的变化显著依赖于过去的收益的变化并且存在反向关系,过去收益的波动越大,两者之间的关系越密切,反之亦然。房地产业与金融业之间的上(下)尾时变相关存在多个结构突变点,而且这些突变点发生日期附近往往伴随着影响这两个行业的重大政策的出台或意味着股市走势拐点的发生。

This paper builds dynamic copula model to characterize the dynamic dependency structure between real estate industry and financial industry based on their daily index yield data from 2000 to 2012. The results show that SJC copula, compared with other copula, can better depict the dependency between the two industries. We find that dependency between real estate and financial industry lacks continuity. The dependency shows asymmetry changes as the return changes. With the rises in return, the correlation coefficient of both condition lower tail and upper tail decreases, but the decline in the upper tail dependence coefficient is greater than the other. This shows that the dependency change depends significantly on the return of the past and there is a reverse relationship. The higher the volatility of the return of the past, the closer the relationship between the two industries is, and vice versa. There are some structural break points among these time-varying linkages between the real estate and financial sectors. The date of the occurrence of these structural mutations either is often accompanied by the introduction of major policy, or means the turning point of stock market trend.