摘要
房地产是当前中国最大的“灰犀牛”之一.本文首次就房地产行业冲击对我国所有行业可能造成的系统性风险影响进行了压力测试.为克服以往二维压力测试无法刻画所有行业之间联动的问题,本文提出了一种新的动态高维Copula(DHDC)宏观压力测试方法.还提出了一种新的系统性风险度量—条件市值损失(CoMVL),它结合了已有风险度量CoES和MES的优点,又融入了市值信息,从而更好地测量负向冲击的影响.利用中国18个行业的指数回报数据,基于DHDC压力测试的实证分析表明:房地产行业冲击对其他各个行业产生了广泛的不利影响,如果未来一个月内房地产行业累积收益率下跌20%,将会导致制造业、金融业、信息技术业和采矿业的市值分别下跌10.14万亿元、0.81万亿元、0.65万亿元和0.42万亿元,收益率分别下跌29.10%、7.81%、15.27%和10.92%;房地产行业冲击对一个行业造成的市值损失75%以上归结于间接影响,即房地产行业通过影响其它行业而其它行业又对目标行业造成的影响.风险溢出网络分析表明,房地产行业冲击主要通过信息技术业、采矿业、批发零售业、交运仓储业、水电煤气业和建筑业六个行业对制造业和金融业产生了不利影响.拓展分析还表明,房地产行业冲击时间越长,对其他行业产生的不利影响也就越大;而且房地产行业负向冲击产生的影响要大于同等幅度下正向冲击产生的影响,即当前稳定房地产下跌预期对防范系统性风险相对更加重要.一系列稳健性检验都证实了本文结果的可靠性.本研究对于全面理解和防范房地产行业冲击对其它各行业可能带来的系统性风险具有重要的政策指引意义.
Real estate is currently one of the biggest"grey rhino"in China.This paper is the first attempt to stress test the systemic risks of real estate shocks on all industries in China.To address the limitations of the previous two⁃dimensional stress tests in capturing the interconnections among all industries,we propose a new dynamic high⁃dimensional copula(DHDC)macro stress test method.A new systemic risk measure,condition⁃al market value loss(CoMVL)is proposed.This new measure not only combines the advantages of existing systemic risk measures,CoES and MES,but also incorporates market value information to better assess the im⁃pact of adverse shocks.Using the index return data of 18 industries in China,our empirical analyses based on the DHDC stress test show that the real estate shock has a wide range of adverse effects on other industries.Specifically,if the real estate cumulative return declines by 20%in the next month,the market value of the manufacturing,financial,information technology and mining industries will fall by 1014,81,65 and 42 bil⁃lion yuan,respectively,or 29.10%,7.81%,15.27%,and 10.92%in percentage terms.Meanwhile,more than 75%of the market value losses can be attributed to indirect effects,i.e.,real estate affects other indus⁃tries,which in turn impact the target industry.Risk spillover network analyses reveal that real estate shock primarily affects the manufacturing and financial industries through six industries:information technology,mining,wholesale and retail,transportation and warehousing,electricity and gas,and construction.Further analyses show that the longer the duration of real estate shock,the greater the adverse effects on other indus⁃tries;negative real estate shocks have a larger impact than positive shocks of the same magnitude.A series of robustness tests confirm the reliability of the results.This study provides some important policy guidance for a comprehensive understanding of and prevention against the systemic risks posed to other industries by real es⁃tate shocks.
作者
杨涛
杜在超
张栋浩
YANG Tao;DU Zai-chao;ZHANG Dong-hao(School of Business,Shandong University,Weihai 264209,China;School of Economics,Fudan University,Shanghai 200433,China;Institute of Chinese Financial Studies,Southwestern University of Finance and Economics,Chengdu 611130,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2024年第4期119-141,共23页
Journal of Management Sciences in China
基金
国家自然科学基金青年科学基金资助项目(72003155)
国家自然科学基金资助项目(72173029)
国家自然科学基金创新研究群体项目(72121002)
上海市教育委员会科研创新计划资助重大项目(2023SKZD01)。
