本文選題：房地產(chǎn)市場　切入點(diǎn)：Copula-GARCH模型　出處：《華中科技大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：2015年,全球經(jīng)濟(jì)維持“弱增長”格局,仍延續(xù)曲折性與脆弱性并舉的調(diào)整恢復(fù)期。貨幣基金組織最新發(fā)布的《世界經(jīng)濟(jì)展望》指出,全球經(jīng)濟(jì)當(dāng)前正面臨著不可忽視的下行風(fēng)險(xiǎn),這會(huì)直接影響全球經(jīng)濟(jì)未來的發(fā)展。隨著世界經(jīng)濟(jì)一體化的進(jìn)程,資本的自由流動(dòng)和國際間貿(mào)易的聯(lián)系益發(fā)密切,全球金融市場及經(jīng)濟(jì)體之間已呈現(xiàn)出愈發(fā)明顯的相依性,區(qū)域內(nèi)金融市場的波動(dòng)也日趨受到區(qū)域外其他金融市場不確定性的影響。金融市場間的時(shí)變相依性的存在不可避免地也會(huì)對(duì)投資組合的風(fēng)險(xiǎn)管理與資產(chǎn)定價(jià)產(chǎn)生影響,并對(duì)政策制定者提出更高的挑戰(zhàn)。能否準(zhǔn)確的刻畫和預(yù)測全球金融市場間的動(dòng)態(tài)相依性特征,對(duì)引導(dǎo)資金的跨市場流動(dòng)和資源配置、市場參與主體的投資策略制定、監(jiān)管機(jī)制的政策制定及實(shí)施等問題均具有重要的現(xiàn)實(shí)意義。同國際股票市場的相依性一樣,國際房地產(chǎn)市場間相依性結(jié)構(gòu)也有動(dòng)態(tài)性、非對(duì)稱性以及尾部相依的特征。傳統(tǒng)的金融工具之間的整體相依性通常是通過皮爾森線性相關(guān)性系數(shù)來刻畫。但是,近年來,這個(gè)方法受到來自學(xué)術(shù)界和業(yè)界研究人員大量的批評(píng),根本原因在于它無法刻畫非線性的相依性結(jié)構(gòu)。而Copula模型能夠很好的彌補(bǔ)線性相關(guān)系數(shù)的缺陷,也能夠同時(shí)對(duì)動(dòng)態(tài)性、非對(duì)稱性和尾部相依結(jié)構(gòu)進(jìn)行建模。因此,本文在Copula框架下,融合GARCH模型,對(duì)全球多個(gè)房地產(chǎn)市場的動(dòng)態(tài)、非對(duì)稱相依性和尾部相依性展開研究。首先,本文在國際上研究相依性的先進(jìn)技術(shù)框架下,通過結(jié)合Copula模型和ARMA-GJR-GARCH模型,研究了包括房地產(chǎn)非對(duì)稱相依性在內(nèi)的三種非對(duì)稱性。本文分別采用ARMA-GJR-GARCH模型來捕捉房地產(chǎn)市場的非對(duì)稱波動(dòng),采用偏斜t分布擬合非對(duì)稱的邊際分布,最后通過GARCH模型和動(dòng)態(tài)Copula模型結(jié)合,來刻畫房地產(chǎn)市場非對(duì)稱的時(shí)變相依性結(jié)構(gòu)。實(shí)證結(jié)果表明,美國和英國房地產(chǎn)市場之間的相關(guān)性最強(qiáng),并且呈顯著增強(qiáng)趨勢。其次,針對(duì)房地產(chǎn)市場的非對(duì)稱相依性特征,本文基于三種動(dòng)態(tài)Copula模型,結(jié)合風(fēng)險(xiǎn)管理模型,在動(dòng)態(tài)Copula-VaR框架下預(yù)測房地產(chǎn)投資組合的在險(xiǎn)價(jià)值,揭示非對(duì)稱相依性結(jié)構(gòu)的風(fēng)險(xiǎn)管理意義。實(shí)證結(jié)果表明,如果投資者忽略極值聯(lián)動(dòng)會(huì)低估投資組合的預(yù)期風(fēng)險(xiǎn),導(dǎo)致更大的損失；同時(shí)對(duì)稱的t模型得到的房地產(chǎn)資產(chǎn)投資組合的VaR值也比非對(duì)稱的旋轉(zhuǎn)Gumbel模型得到的VaR要更低。因此,如果在橢圓相關(guān)性的假設(shè)下會(huì)導(dǎo)致風(fēng)險(xiǎn)管理者對(duì)風(fēng)險(xiǎn)的低估。第三,基于極值理論和尾部相依性,分析極值事件(金融危機(jī))對(duì)房地產(chǎn)市場間相依的影響。通過分析次貸危機(jī)前、危機(jī)期和危機(jī)后七個(gè)國際房地產(chǎn)市場的尾部相依性,考察了金融危機(jī)對(duì)房地產(chǎn)市場相依性、及房地產(chǎn)與一般金融市場間相依性的影響。實(shí)證結(jié)果顯示,2008年后,幾乎所有的國際房地產(chǎn)市場之間都從尾部不相依轉(zhuǎn)變成了尾部相依。而這種較強(qiáng)的相依性并沒有隨著全球經(jīng)濟(jì)的逐漸恢復(fù)而變?nèi)?由此揭示金融危機(jī)對(duì)全球房地產(chǎn)證券市場的影響是非常深遠(yuǎn)的。最后,本文基于動(dòng)態(tài)SJC Copula-GARCH-t模型,對(duì)中國房地產(chǎn)和股票市場間的動(dòng)態(tài)尾部相依性進(jìn)行了建模和分析。實(shí)證結(jié)果顯示,中國房地產(chǎn)-股票市場間的尾部相依性一直保持在高位水平,并且受到金融危機(jī)和歐債危機(jī)的影響較為有限。這與其他國家的房地產(chǎn)-股票市場間的實(shí)證結(jié)果有非常大的差異。可以說,來自國際市場的極值事件對(duì)中國市場的沖擊并不強(qiáng)烈。
[Abstract]:In 2015, the global economy remained weak growth pattern, continue twists and vulnerability and the adjustment of the recovery period. The IMF's latest world economic outlook < > pointed out that the global economy is facing downside risks can not be ignored, which directly affects the development of the global economy with the world economy in the future. The process of integration, the free flow of international capital and trade links between the global financial market more closely, and the economy has shown more obvious dependence, regional financial market volatility is also affected by other regional financial market uncertainties. The time-varying dependence between financial markets are inevitably the also on the portfolio risk management and asset pricing impact, and put forward higher challenge to policy making. The ability to accurately describe and predict the global financial markets The characteristics of the dynamic dependencies, to guide the fund flow across the market and the allocation of resources, develop market participants investment strategy, the regulatory mechanism of the policy formulation and implementation and other issues have important practical significance. As the dependence of the international stock market, international real estate market dependence between structure and dynamic characteristics. Asymmetric and tail dependence. The overall dependence between traditional financial instruments of is usually described by Pearson linear correlation coefficient. However, in recent years, this method suffers from academic and industry researchers a lot of criticism, the fundamental reason is that the dependence of the structure. And it can not describe the nonlinear Copula model can good to make up for the defect of linear correlation coefficient, is also on the dynamic, asymmetric and tail dependence structure is modeled. Therefore, in this paper, under the framework of Copula, fusion The GARCH model, the dynamic of the global number of the real estate market, asymmetric dependence and tail dependence is studied. Firstly, this paper studies the advanced technology framework of dependence in the world, by combining the Copula model and ARMA-GJR-GARCH model are studied, including the real estate of the asymmetric three asymmetric dependence,. Asymmetric Volatility we use the ARMA-GJR-GARCH model to capture the real estate market, the marginal distribution of the skew t distribution fitting asymmetric, finally through the combination of GARCH model and dynamic Copula model to describe the real estate market asymmetric time-varying dependence structure. The empirical results show that the correlation between the United States and the British real estate market, and showed a significant increasing trend. Secondly, the asymmetric dependence on the real estate market characteristics, the three kinds of dynamic Copula model based on the combination of risk management in the model. Under the framework of Copula-VaR dynamic prediction of real estate portfolio value at risk, reveal the asymmetric dependence structure of the meaning of risk management. The empirical results show that, if investors ignore the expected risk of extreme linkage portfolio could be underestimated, leading to greater losses; at the same time, the symmetrical t model get a real estate asset portfolio value VaR non symmetric rotating Gumbel models get VaR to lower. Therefore, if the relationship between elliptic under the assumption that will lead to the risk management of underpricing of risk. Third, the dependence of extreme value theory and based on the analysis of extreme value event tail, (financial crisis) on the real estate market dependence effect. Through the analysis of the subprime crisis. The period of crisis and crisis after the end of seven the international real estate market dependence, effects of financial crisis on the real estate market dependence, and real estate and financial markets according to the phase of Impact. The empirical results show that, after 2008, almost all of the international real estate market is not dependent from the tail into the tail dependence. This dependence is not strong with the gradual recovery of the global economy becomes weak, thus revealing the impact of financial crisis on the global real estate securities market is very far-reaching. Finally, the dynamic SJC Copula-GARCH-t model based on dynamic tail China real estate and the stock market's dependence is modeled and analyzed. The empirical results show that the tail of China real estate stock market dependence has been maintained at a high level, and are influenced by the financial crisis and the European debt crisis is relatively limited empirical. This and other countries of the real estate and stock market results have very big difference. It can be said that no strong impact of extreme events from the international market for China market.

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F299.23;F832.51;F224

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