基于Copula函数的中国房地产业与银行业风险传染研究

针对房地产业与银行业间存在的非线性及动态时变的复杂关系,以2005-01-04～2018-12-28日数据为研究样本,通过动态时变Copula函数对中国房地产业与银行业间非线性相依关系及金融危机时期的风险传染进行检验,并基于金融关联理论及行为金融理论探究了三种风险传染渠道.结果表明,中国房地产业与银行业间存在非线性、非...

Research on Risk Contagion of China's Real Estate Industry and Banking Industry Based on Copula Function

Aiming at the non-linear， dynamic time-varying complex relationship between the real estate industry and the banking industry， taking the daily data from 2005-01-04 to 2018-12-28 as the research sample， the dynamic time-varying Copula function was used to test the nonlinear interdependence and the risk contagion between China′s real estate industry and the banking industry， and three contagion channels were explored based on financial association theory and behavioral finance theory. The results showed that there is a non-linear and asymmetric dependent structure between China′s real estate industry and banking industry. Compared with the non-crisis period， the two industries′ tail dependence is significantly increased during the financial crisis， so there is a risk of contagion. The results of the contagion channel research showed that liquidity and investor sentiment are the channels of risk contagion between China′s real estate industry and banking industry while information association is not the channel of risk contagion between them.