经济数学2016，Vol.33Issue(1)：7-17,11.
房地产产业链相依结构演化及其危机传染效应研究
The Study of Dependence among Real Estate Industry Chain and Its Crisis Contagion Effect
摘要
Abstract
This paper built the R-Vine copula model to characterize the dependency structure among real estate industry chain,which includes iron and steel,nonferrous metals,household appliances,real estate,building materials,construction dec-oration,banks,non-bank financial and mechanical equipment based on their daily index yield data from 2000 to 201 5 from SW industry index.The results show that there is higher dependence,which shows symmetry and thick tail feature,among real es-tate industry chain.Dependence between industries is higher.Machinery and equipment industry has played a role in connecting other industries in the entire real estate industry chain during the entire period.The financial crisis in 2008 enhanced the overall level of dependency in the real estate industry chain.This shows a significant crisis contagion effect in real estate industry chain in China.R-Vine copula model is more suitable for measuring the correlation among real estate industry chain,compared with the D-Vine copula and C-Vine copula model.关键词
房地产产业链/相依结构/危机传染效应/R-Vine CopulaKey words
real estate industry chain/dependence structure/crisis contagion effect/R-Vine Copula分类
管理科学引用本文复制引用
郭文伟..房地产产业链相依结构演化及其危机传染效应研究[J].经济数学,2016,33(1):7-17,11.基金项目
2014年广东省高等学校优秀青年教师培养计划资助项目(Yqgdufe1402) （Yqgdufe1402）
2016年广东大学生科技创新培养专项资金资助重点项目资助(pdjh2016ao198) （pdjh2016ao198）
