摘要
房地产市场与其超长产业链的相关行业存在紧密、复杂的关联。本文运用DCC-GARCH模型测算了房地产与产业链代表性行业间的动态条件相关性,并在此基础上度量了房地产市场对相关行业的风险溢出效应。研究表明:第一,房地产市场与产业链各行业间均有较高的动态条件相关性,两者之间存在显著的风险溢出效应,风险溢出程度随着房地产市场波动程度的加剧而增强;第二,房地产市场与产业链各行业间的风险溢出效应及风险溢出程度变动规律基本一致,具有十分显著的趋同性,与该行业处在产业链的上游或下游无直接关系;第三,房地产行业的融资需求十分庞大,房地产市场风险暴露并大量外溢,将导致金融端的银行业与非银金融行业面临巨大的违约风险。
The real estate market is closely and intricately linked to related industries within its extensive industrial chain.This paper uses the DCC-GARCH model to estimate the dynamic conditional correlation between the real estate market and the representative industries in the chain,and further measures the risk spillover effects of the real estate market on these related industries.The research findings are as follows:Firstly,there is a high dynamic conditional correlation between the real estate market and various industries in the chain,with significant risk spillover effects between them.The extent of risk spillover intensifies as the volatility of the real estate market escalates.Secondly,the risk spillover effects and the patterns of variation in the degree of risk spillover between the real estate market and industries in the chain are generally consistent,exhibiting notable convergence,and are not directly related to whether an industry is upstream or downstream in the chain.Thirdly,the financing demands of the real estate industry are substantial.The exposure and extensive spillover of risks in the real estate market will lead to significant default risks for the banking sector and non-bank financial industries in the financial sector.
作者
赵虎林
ZHAO Hulin(School of Economics,Gansu University of Political Science and Law,Lanzhou,Gansu 730070)
出处
《管理现代化》
北大核心
2024年第5期44-52,共9页
Modernization of Management
基金
国家社会科学基金西部项目“黄河流域城市群集聚对经济绿色发展的影响研究”(22XJL009)。
