我国房地产业对银行业系统性风险的溢出效应测度:基于行业和企业层面视角

Measurement of Spillover Effect of China’s Real Estate Industry on Banking Systemic Risk:From the Perspectives of the Industry Leveal and the Enterprise Level

房地产业和银行业的高度关联性,使得房地产业风险极易通过信贷渠道传染到银行业,进而可能演化成系统性金融风险。构建DCC-GARCH-CoVaR模型测度中国房地产业对银行业系统性风险的溢出效应,并从行业和企业两个层面,实证分析房地产业风险对银行业系统性风险的溢出过程。研究发现:由于银行持有较高比例的房地产信贷敞口,无论是行业层面还是企业层面,房地产业对银行业系统性风险都具有显著的正向溢出效应;减弱房地产业对银行业系统性风险的溢出效应,关键在于化解房地产业自身风险问题,尤其是大型房地产企业的风险问题。基于上述分析,提出了降低房地产业和银行业风险共生性、提高房地产企业风险抵抗能力等政策建议。

The high correlation between the real estate industry and the banking industry makes the risk of the real estate industry easily transmitted to the banking industry through credit channels,which may evolve into systemic financial risks. This paper constructs a DCC-GARCH-CoVaR model to measure the spillover effect of China’s real estate industry on banking systemic risk,and empirically analyzes the spillover process of real estate risk on banking systemic risk from both the industry and enterprise levels.The results show that due to the high proportion of real estate credit exposure held by banks,the real estate industry has a significant positive spillover effect on the systemic risk of the banking industry at both the industry level and the Enterprise level. The key to solving this problem lies in resolving the risk of the real estate industry itself,especially the risk of large real estate enterprises. Based on the analysis above,this paper puts forward policy suggestions on the symbiosis between the real estate industry and the banking industry and improving the risk resistance of real estate enterprises.