基于内部视角的中国房地产业与银行业系统性风险传染测度研究

Research of Systemic Risk Contagion in Chinese Banking and Realty Industry:From an Internal Perspective

银行业在维护整个金融系统稳定中处于举足轻重的地位,而基础信贷市场又是房地产行业与银行业紧密相连的重要渠道,因此本文将银行间同业市场与房地产行业的银行信贷市场作为一个系统建立了扩展的矩阵模型。本文采用2007-2014年银行和房地产业的公开财务数据,基于扩展的矩阵模型,对我国房地产行业与银行业系统性风险的传染性进行测度。研究结果表明,房地产行业与银行业组成的金融系统比单独的银行系统更加脆弱,风险传染速度明显加快;与房地产企业信贷相比,个人住房按揭贷款对银行业的影响更大;相对于清偿能力,银行更容易受到流动性不足的冲击。

Bank is of dramatic importance for the financial stability, and the existence of real estate credit entangles the relationship between banking and realty industry. Therefore, the paper integrates the banking and realty industry as one financial system and proposes an augmented matrix model, based on which the paper assesses the potential risk contagion in the bank and real estate system. Using the data of the balance sheets of banks and real estate enterprises from 2007 to 2014, our empirical results suggest that： （1） Real estate credit may endanger the financial stability and increase the contagion effects greatly; （2） Housing mortgage can exert more impact on banks than enterprises credit; （3） Banks are more vulnerable to illiquidity shock than insolvency shock.