| 基于广义CoES方法的金融业与房地产业风险溢出研究 |
| |
| 引用本文： | 曹洁,雷良海.基于广义CoES方法的金融业与房地产业风险溢出研究[J].运筹与管理,2021,30(4):200-205. |
| |
| 作者姓名： | 曹洁 雷良海 |
| |
| 作者单位： | 1.上海理工大学 管理学院,上海 200093; 2.盐城师范学院 数学与统计学院,江苏 盐城 224002 |
| |
| 基金项目： | 上海市科学技术委员会软科学重点课题(18692103000);江苏省高等学校自然科学研究面上项目(20KJB110020)。 |
| |
| 摘 要： | 为了克服广义CoVaR只能衡量单一尾部概率下条件风险的局限性,本文提出一种新的风险溢出测度——广义CoES方法,并基于Archimedean Copula函数给出了广义CoES的计算公式。利用该方法对我国金融业与房地产业风险溢出研究的实证结果表明:广义CoVaR相比于广义CoES低估了金融业与房地产业自身的条件风险;两个行业之间存在动态的、非对称的双向风险溢出,房地产业对金融业的平均风险溢出强度为69.71%,而金融业对房地产业的平均风险溢出强度为65.38%;房地产业对金融业的净风险溢出呈现出顺周期性,即当房地产价格低迷时净风险溢出程度较弱,而当房地产价格走高时净风险溢出程度也随之增强。
|
| 关 键 词： | 广义CoES 广义CoVaR 风险溢出 ArchimedeanCopula |
| 收稿时间： | 2019-07-31 |
Research into Risk Spillovers between Financial and Real Estate Industries via a Generalized CoES Approach |
| |
| CAO Jie,LEI Liang-hai.Research into Risk Spillovers between Financial and Real Estate Industries via a Generalized CoES Approach[J].Operations Research and Management Science,2021,30(4):200-205. |
| |
| Authors: | CAO Jie LEI Liang-hai |
| |
| Affiliation: | 1. Business School, University of Shanghai for Science and Technology, Shanghai 200093, China; 2. School of Mathematics and Statistics, Yancheng Teachers University, Yancheng 224002, China |
| |
| Abstract: | In order to overcome the limitation that generalized CoVaR can only measure conditional risk under a single tail probability,a new risk spillover measure,generalized CoES,is proposed in this paper,and the calculation formula of generalized CoES is given based on Archimedean Copula.Empirical study on risk spillovers between financial and real estate industries in China via the new approach shows that compared with generalized CoES,generalized CoVaR underestimates the conditional risk of financial industry and real estate industry.There are dynamic and asymmetric two-way risk spillovers between the two industries.Furthermore,the average risk spillover intensity of the real estate industry to the financial industry is 69.71%,while the average risk spillover of the financial industry to the real estate industry is 65.38%.In addition,the net risk spillover of real estate industry to financial industry is pro-cyclical,that is,when the real estate price is low,the net risk spillover degree is weak,and when the real estate price is high,the net risk spillover degree is also enhanced. |
| |
| Keywords: | generalized CoES generalized CoVaR risk spillovers Archimedean copula |
| 本文献已被 维普 等数据库收录！ |
| 点击此处可从《运筹与管理》浏览原始摘要信息 |
|
点击此处可从《运筹与管理》下载全文 |
|
