欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
房地产业和银行业均是资金密集型行业，风险管理是其健康发展的基石。在分析房地产业与银行业风险溢出机制基础上，采用GARCH-EVT模型、VaR-Granger因果关系检验模型研究我国房地产业与银行业间风险溢出效应，并基于条件风险价值CoVaR方法测度风险溢出强度。研究发现：a=5％显著水平下，房地产业与银行业之间存在双向的风险溢出效应；房地产业对银行业的风险溢出强度略强于银行业对房地产业的风险溢出强度，前者为36．73％，后者为33．96％。
英文摘要：
Real estate and banking are capital-intensive industries. Risk management is the corner-stone of their healthy development. We provide an empirical study on spillover of extreme downside risk and the spillover degree between Chinese real estate and banking, by using GARCH-EVT, VaR-Grange, and CoVaR, basing on analyzing the spillover mechanic between Chinese real estate and banking. It is found that there exists strong risk spillover between Chinese real estate and banking at 5%significance level. The spillover degree of real estate to banking is stronger than degree of banking to real estate, the former is 36.73%and the latter is 33.96%.
同期刊论文项目
同项目期刊论文
Intuitionistic Fuzzy Geometric Bonferroni Means and Their Application in Multicriteria Decision Maki
期刊信息
位置：