Research On Risk Spillover Effect Of Industry Of Real Estate And Finance Our Country

The large scale and capital-intensive nature of the real estate industry determines that it is inextricably linked to the financial industry,and its risks cannot be ignored.In case of extreme risk events,fluctuations in either the real estate industry or the financial industry will have an impact on the other industry,causing the risk of one to spill over to the other,resulting in systemic risk.In this context,it is of great significance to analyze the correlation between the real estate industry and the financial industry,and then start the research on the risk spillover effect between the real estate industry and the financial industry under unexpected risk events,in order to guard against systemic financial risks.After sorting and summarizing the relevant literature on the correlation between real estate industry and financial industry,risk spillover research perspectives and research methods,it is concluded that the Copula model on time-varying can describe the nonlinear interdependence and time-varying characteristics of the industry,and the generalized Co Va R model can portray the systemic risk during extreme risk events.Moreover,the banking,securities,and insurance industries,as important components of the financial industry,have complex risk contagion paths with the real estate industry.The paper selects the daily closing prices of indices of the real estate and finance subsectors from January 17,2007 to November 1,2022 as the object of study.The Granger causality test is used to determine the causal relationship between the real estate and financial sectors,and an asymmetric GJR-GARCH(1,1)model based on residuals obeying a skewed t-distribution portrays the marginal distribution of the real estate and financial sectors,and then a time-varying t-Copula model is used to fit the dynamic correlation between the real estate and financial sectors,and a Co Va R model is combined to empirically analyze the relationship between the real estate and risk spillover effects between financial markets.The main research findings are as follows:(1)According to the time-varying correlation parameters obtained from the timevarying t-Copula function combined with the results of Granger causality test,it is concluded that the correlation between the real estate industry and the financial industry has a synergistic trend and time-varying characteristics,and the correlation will decrease when the real estate regulation policy is tightened and increase when the policy is relaxed;(2)The risk spillover strength of the real estate industry to the financial industry is strongly pro-cyclical,and the risk spillover effect between industries will be enhanced when facing extreme risk shocks,and the Co Va R value is a more accurate measure of systemic risk than the Va R value;(3)There is a two-way asymmetric positive risk spillover effect between the real estate and financial sectors.The degree of risk spillover from real estate to the financial sector is greatest for real estate to the banking sector,and the degree of risk spillover from the financial sector to real estate is greatest for the securities industry to real estate.Finally,the article gives reference suggestions from the industry and government levels respectively based on the research content and findings,and gives an outlook for the next research.