房地产业与商业银行间风险溢出效应研究--基于DCC-GARCH-CoVaR模型

Study on risk spillover effect between real estate industry and commercial banks-based on DCC-GARCH-CoVaR model

2020年新冠肺炎疫情的爆发成为我国市场经济发展的巨大阻碍,疫情冲击下,房地产业与银行业作为我国重要行业也受到极大影响,基于此背景,对我国房地产业与三类上市商业银行(国有银行、城市银行、股份制银行)股市风险溢出进行研究,首先构建各收益率序列ARMA-GARCH模型,接着对房地产业与三类商业银行分别拟合DCC-GARCH模型,以此研究两行业的动态相关关系,最后通过该模型计算CoVaR值、ΔCoVaR、%ΔCoVaR值来度量两行业间风险溢出效应强度.实证研究结果表明,疫情爆发前期,房地产业与商业银行间基本为正向动态相关关系,且两者间存在正向风险溢出效应,随着疫情的爆发,两行业间的正向动态相关性显著增强且风险溢出效应也随之增强,均为正向溢出,其中对股份制商业银行影响较大.

The outbreak of COVID-19 in 2020 has become a huge obstacle to the development of China s market economy.Under the impact of the epidemic,real estate and banking as important industries in China has also been greatly influenced.Based on this background,this paper studies the risk spillover effect of China s real estate industry and three types of listed commercial banks(State-owned commercial banks,city commercial banks,joint-stock commercial banks).Firstly,the ARMA-GARCH model of various rate of return series is constructed,and then the DCC-GARCH of double sequence is fitted to real estate and three types of commercial banks respectively to study the dynamic correlation between the two industries.Finally,CoVaR value,ΔCoVaR value and%ΔCoVaR value are calculated based on this model to measure the intensity of risk spillover effect between the two industries.Empirical study results show that in the pre-outbreak phase of COVID-19,there was r a positive and dynamic relationship between real estate and commercial banks,showing a positive risk spillover effect.With the outbreak,the positive dynamic correlation between the two industries increased significantly,and risk spillover effect also increased,which belongs to positive spillover and had great influence on joint-stock commercial banks.