本文選題：房地產(chǎn)市場　切入點：市場風(fēng)險演化模式　出處：《系統(tǒng)工程》2017年04期

【摘要】：利用申萬一級行業(yè)-房地產(chǎn)業(yè)指數(shù)(200001~201501)數(shù)據(jù),通過構(gòu)建CAViaR模型來對我國房地產(chǎn)市場風(fēng)險演化模式進行實證分析,研究結(jié)果表明:我國房地產(chǎn)市場受外部宏觀調(diào)控政策沖擊,自身走勢存在多個突變點;房地產(chǎn)業(yè)在不同景氣階段內(nèi),其市場風(fēng)險演化模式特征具有明顯差異。總體上,非對稱模型(AS)最適合用于刻畫我國房地產(chǎn)業(yè)市場風(fēng)險演化模式,而且我國房地產(chǎn)市場風(fēng)險具有顯著的自相關(guān)性,前期VaR值對隨后的VaR值產(chǎn)生顯著的正向影響。房地產(chǎn)市場對利空消息的沖擊響應(yīng)程度要顯著大于對利好消息的沖擊響應(yīng)程度,具有顯著的非對稱性。在行業(yè)平穩(wěn)發(fā)展時期,房地產(chǎn)市場對利空和利好消息的沖擊具有對稱性;在金融危機期間,房地產(chǎn)市場對利空消息的響應(yīng)程度要大于利好消息,但在行業(yè)持續(xù)衰退時期,房地產(chǎn)市場對利好消息的響應(yīng)程度就顯著大于對利空消息的響應(yīng)程度。
[Abstract]:By using the data of Shenhan First-Class industry-real estate industry index 200001 / 201501, this paper makes an empirical analysis on the risk evolution model of China's real estate market by constructing the CAViaR model. The results show that the real estate market of our country is impacted by external macro-control policies. There are many abrupt points in the trend of real estate industry, the characteristics of market risk evolution mode of real estate industry are obviously different in different boom period. In general, asymmetric model is the most suitable to describe the evolution model of real estate market risk in our country. Moreover, the risk of Chinese real estate market has significant autocorrelation, and the early VaR value has a significant positive impact on the subsequent VaR value. The real estate market response to the impact of bad news is significantly greater than the impact response to the good news. During the period of steady development of the industry, the impact of the real estate market on the good news and the bad news is symmetrical. During the financial crisis, the real estate market is more responsive to the bad news than the good news. But during the continuing recession, the response of the real estate market to the good news is significantly greater than the response to the bad news.
【作者單位】： 廣東財經(jīng)大學(xué)金融學(xué)院;華南理工大學(xué)工商管理學(xué)院;
【基金】：2017年度廣州市哲學(xué)社會科學(xué)“十三五”規(guī)劃課題(2017GZYB20) 2014年廣東省高等學(xué)校優(yōu)秀青年教師培養(yǎng)計劃項目(Yqgdufe1402) 2017年廣東大學(xué)生科技創(chuàng)新培養(yǎng)專項資金(廣東攀登計劃)一般項目(pdjh2017b0214) 教育部人文社會科學(xué)研究規(guī)劃項目(13YJA790033)
【分類號】：F299.23

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本文編號：1662009