房地产产业链泡沫相依结构演化及其危机传染效应

An Empirical Research on Price Bubble Dependence among Real Estate Industry Chain and its Crisis Contagion Effect

本文采用R-Vine Copula方法对我国2000—2015年期间房地产产业链上各行业泡沫之间的相依结构进行建模分析,并在此基础上分析2007年次贷危机和2009年欧债危机对房地产产业链泡沫相依结构的冲击影响。研究结果表明:在整个研究期间,房地产产业链上各行业均存在多次周期性泡沫,比较严重的泡沫均集中在2006—2007年,且其间出现房地产业泡沫的峰值;房地产业泡沫是各行业泡沫相依结构的枢纽中心,起到了"蓄水池"的作用,并与有色金属业、建筑装饰业、银行业和机械设备业之间存在较高的相依性;次贷危机和欧债危机的发生不仅仅增强了房地产与相关行业之间的相依性,存在明显的危机传染效应,也改变了整个产业链的相依结构。

This paper makes an empirical research on the dependent structure of the price bubbles from 2000 to 20015 in real estate industry by the means of R - Vine Copula and makes an analysis on the impact caused by the 2006 subprime mortgage crisis and the 2009 European debt crisis. Our research shows that there are some significant bubbles in the real estate chain during the above period. The most serious bubble occurred in the period from 2006 to 2007. Real estate industry is the biggest price bubble and plays an important central connection role which has high dependence on the non -ferrous metal industry, construction and decoration industry, the banking industry and machinery industry. Subprime mortgage crisis and European debt crisis enhance the dependence between the real estate and its related industries, which shows obvious crisis contagion. At the same time, these crises have changed the dependence structure among real estate chain.