應用Copula-ARMAX-EGARCH模型探討大中華地區不動產與總體經濟間的傳染效應

Contagion effects between real estate and macroeconomic factors across Great China Area based on Copula-ARMAX-EGARCH model

陳詩佳(Shih-Chia Chen)

指導教授 ： 李沃牆

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00173

摘要

本文研究之目的是採用文獻上較罕見的ARMAX-EGARCH配適動態分配房價指數報酬率，因其考量外生變數，故配適度較佳，並藉由Copula-ARMAX-EGARCH推估大中華地區房市傳染效應之嚴重性。儘管Copula能捕捉任兩區全方面不動產報酬波動的相關性，但當極端事件發生時，Tail dependence 才能有效地掌握尾部相關切確值，有鑑於美國次級房貸對全球經濟的影響甚鉅，了解此區彼此房市間的傳染效應為當務之急。
實證結果發現大中華地區房市報酬率確實受其本身不同的總體變數所影響，就Copula而言，台灣對香港及台灣對中國皆採用較敏感的Student-T，另外，Tail dependence的Gumbel證實前者在房市繁榮時有相關性，透過橢圓及阿基米德Copula家族估算，此區房市傳染效應皆小於19%，初步推估此區房市有風險分散的效益。

關鍵字

ARMAX-EGARCH ； Copula ； Tail dependence ； Contagion effect

並列摘要

The purpose of this paper fits dynamics distribution housing indices returns estimates the severity of contagion effect across Great China Area real estate markets based on Copula-ARMAX-EGARCH. Although the model is rare in literatures, it provides a better fit due to exogenous variables. Even though Copula could comprehensively capture the correlation of any two real estate volatilities of these areas, it fails once an extreme event outbreaks, but tail dependence could exactly estimate the bilateral degree of correlation in that case. In view of the great influence of U.S. subprime mortgage to global economy, understanding the contagion effects between any two of these areas property markets is urgent.

並列關鍵字

ARMAX-EGARCH ； Copula ； Tail dependence ； Contagion effect

參考文獻

82. Wei, Y. H. and S. Y. Zhang, (2008), “Copula Theory is Applied in Financial Analysis,” Tsinghua University Press, 1st edition, , pp. 33

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57. Lee, W. C. and H. N. Lin, (2011), “Portfolio Value at Risk with Copula-ARMAX-GARCH Model-Evidence from the Gold and Silver Futures,” African Journal of Business Management , Vol. 5 ,No. 4, forthcoming.

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