摘要
以2008年1月至2014年9月相关数据为基础,利用贝叶斯adaptive Lasso分位数回归(BALQR)模型对影响房地产业信用风险的宏观经济因素进行了分析.结果表明,在任何分位点上,对我国房地产行业信用风险影响最大的均是GDP增长率,其次是CPI增长率和消费者信心指数增长率,其中前者为负向作用后两者为正向作用,而资本市场的景气状态则对房地产行业信用风险基本没有显著作用.不过,在不同分位点上,不同宏观因素在房地产行业的不同信用风险水平上的影响程度又存在差异性.
Based on the data from January 2008 to September 2014,the macroeconomic factors that affect the credit risk of real estate industry are analyzed by using Bayesian adaptive Lasso quantile regression（BALQR） model.The results show that,at any point,the greatest impact on the credit risk of China’s real estate industry is GDP growth rate,the next are the growth rate of CPI and rate of consumer confidence index,in which the former is negative and the latter is the positive effect,and the state of capital market has no significant effect on the credit risk of the real estate industry.In addition,as for the the impact of a macro factor to the credit risk of real estate industry,there exists differences at different quantile.
出处
《数学的实践与认识》
北大核心
2017年第7期80-89,共10页
Mathematics in Practice and Theory
基金
国家自然科学基金(71401074)
江苏省哲学社会科学基金重点项目(14GLA003)
江苏省高校哲学社会科学研究项目(2016SJB630030)
江苏省普通高校研究生科研创新计划资助项目(KYZZ_0099)
