房地产股票投资能对冲通货膨胀吗?——基于Markov转换GRG copula的相关性测度研究

Does Real Estate Stock Investment Hedge Inflation?Research on Correlation Measurement Based on Markov-switching GRG Copula

房地产是近年来引领中国经济发展的支柱行业,其股票投资能否对冲通货膨胀是投资者关心的问题。在采用AR(m)-EGARCH(p,q)-GED模型对金融时间序列进行边缘分布建模的基础上,构建基于Markov转换GRG copula的相关性测度实证检验了中国房地产股票指数收益率与通货膨胀率在极端和非极端情况下的相关性。实证结果显示:从2001年1月到2017年12月,房地产股票指数收益率和通货膨胀率之间存在Markov转换的两种相关结构状态。其中,两者之间的正相关结构为经济系统的主要状态,在该状态下,房地产股票投资有一定的对冲通胀能力。而在负相关的相依结构中,房地产股票投资不能对冲通胀。此外,相关性的强度在极端情形和非极端情形也有显著差异,在主要状态中两者的正相关关系在非极端条件下更强。

In recent years,the real estate industry is an important engine of Chinese economy.The economy has achieved sustained high-speed growthdriven bythe real estate industry.Meanwhile,the money supply(M2)has been growing at an average annual rate of 15.84 percent,which has also raised concerns about inflation.In this context,whether real estate stock investment can hedge inflation is a very concerned issue for investors.To test the positive and negative synergistic effect between the real estate stock index return and inflation,AR(m)-EGARCH(p,q)-GED is employed to model the edge distribution of financial time series,and a correlation measurement model is constructed based on Markov-switching GRG copula.In this model,Markov state transformation is mainly used to control the parameters of correlation between two different states.GRG copula does not fix the weight coefficient of mixed copula,which can more flexibly connect the edge distribution according to the data characteristics.This correlation measurement model can not only measure the instantaneous tail correlation between Chinese real estate stock index return and inflation,but also measure the correlation based on quantilebetween them in non-extreme cases.The empirical results show that from January 2001 to December 2017,there exist two positive and negative structural states of Markov transformation between the real estate stock index return and inflation.Among them,the positive correlation structure between the two is the main state of the economic system.In this state,real estate stock investment has a certain ability to hedge inflation.In the negative correlation dependent structure,real estate stock investment can not hedge inflation.In addition,there exist significant differences in the intensity of correlation between extreme and non-extreme cases.In the main state,the positive correlation between them is stronger in the non-extreme condition than that in the extreme condition.Moreover,in the quantile with the same distance on both sides ofα=0.5,the correlation between the two rises is higher than that between the two falls.The correlation measure model based on Markov-switching GRG copula can be extended to more application fields to analyze the nonlinear correlation between two time series.The empirical results will provide some useful enlightenments for the formulation of macroeconomic policies and the establishment of investment decisions.