Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model
Abstract Real estate’s role in the financial crisis has forced central banks and academics to focus on the real estate risk’s spillover effects. However, findings on this matter are erratic and could differ from country to country. Prior research mostly ignored risk contagion at the level of the rea...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2023-07-01
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| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-023-01934-1 |
| _version_ | 1797774271423971328 |
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| author | Xiaoyang Chen Liguo Zhou Lin Wang Yuelong Zheng |
| author_facet | Xiaoyang Chen Liguo Zhou Lin Wang Yuelong Zheng |
| author_sort | Xiaoyang Chen |
| collection | DOAJ |
| description | Abstract Real estate’s role in the financial crisis has forced central banks and academics to focus on the real estate risk’s spillover effects. However, findings on this matter are erratic and could differ from country to country. Prior research mostly ignored risk contagion at the level of the real industry and instead concentrated on real estate and financial institutions. Therefore, to analyze the risk spillover of China’s real estate industry from a novel perspective of the industrial chain, a mixed model (DCC-EGARCH-CoVaR model) is proposed in this work. It fixes the flaw in existing models’ inability to account for asymmetries and the weakness of traditional methods in explaining the time-varying and nonlinear risk infection process. The findings demonstrate that China’s real estate industry has a noticeable risk spillover effect on upstream and downstream industries. The downstream industry is the one most affected by risk spillover from the real estate sector, followed by the upstream industry, and the banking sector is the least affected. The risk spillover effects of macro uncertainties like the COVID-19 outbreak, the financial crisis, and the stock market fall on real estate vary significantly. These findings are helpful for regulators to prevent systematic financial risks and for institutional investors to make timely strategic asset allocations and adjustments. |
| first_indexed | 2024-03-12T22:18:37Z |
| format | Article |
| id | doaj.art-32c40b933a9f4662b2e9a737d65dc249 |
| institution | Directory Open Access Journal |
| issn | 2662-9992 |
| language | English |
| last_indexed | 2024-03-12T22:18:37Z |
| publishDate | 2023-07-01 |
| publisher | Springer Nature |
| record_format | Article |
| series | Humanities & Social Sciences Communications |
| spelling | doaj.art-32c40b933a9f4662b2e9a737d65dc2492023-07-23T11:09:34ZengSpringer NatureHumanities & Social Sciences Communications2662-99922023-07-0110111610.1057/s41599-023-01934-1Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR modelXiaoyang Chen0Liguo Zhou1Lin Wang2Yuelong Zheng3Business School, Central University of Finance and EconomicsBusiness School, Central University of Finance and EconomicsBusiness School, Central University of Finance and EconomicsSchool of Administration Management, Chongqing Technology and Business UniversityAbstract Real estate’s role in the financial crisis has forced central banks and academics to focus on the real estate risk’s spillover effects. However, findings on this matter are erratic and could differ from country to country. Prior research mostly ignored risk contagion at the level of the real industry and instead concentrated on real estate and financial institutions. Therefore, to analyze the risk spillover of China’s real estate industry from a novel perspective of the industrial chain, a mixed model (DCC-EGARCH-CoVaR model) is proposed in this work. It fixes the flaw in existing models’ inability to account for asymmetries and the weakness of traditional methods in explaining the time-varying and nonlinear risk infection process. The findings demonstrate that China’s real estate industry has a noticeable risk spillover effect on upstream and downstream industries. The downstream industry is the one most affected by risk spillover from the real estate sector, followed by the upstream industry, and the banking sector is the least affected. The risk spillover effects of macro uncertainties like the COVID-19 outbreak, the financial crisis, and the stock market fall on real estate vary significantly. These findings are helpful for regulators to prevent systematic financial risks and for institutional investors to make timely strategic asset allocations and adjustments.https://doi.org/10.1057/s41599-023-01934-1 |
| spellingShingle | Xiaoyang Chen Liguo Zhou Lin Wang Yuelong Zheng Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model Humanities & Social Sciences Communications |
| title | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model |
| title_full | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model |
| title_fullStr | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model |
| title_full_unstemmed | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model |
| title_short | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model |
| title_sort | risk spillover in china s real estate industry chain a dcc egarch δcovar model |
| url | https://doi.org/10.1057/s41599-023-01934-1 |
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