Spatial Effects Of Price Fluctuations And The Impact On Financial Stability

To study the regularity of the real estate market in China，this paper discusses whetherthere is long-term cointegration between housing price, per capita disposable incomeand loan,first using the common correlated estimation, which considering the crosssection correlations.Then we build a spatial lagged model on its residual according tothe estimation,and receive the spatial coefficient by maximum likelihood estimationmethod,which can identify the spatial effect of housing price fluctuations. The resultsconfirm a highly significant and economically important spatial dependence in realhouse prices in China, and housing price fluctuate convergently and differently amongdifferent cities. In More developed cities, house price is higher, growing faster andrunning more independently; otherwise,in less developed cities, housing price iseasilyaffected by external areas.Meanwhile, this paper uses GARCH model to study fundamental factors such ashouse prices how to influence non-performing loan ratio. which indirectly analizingthe relationship between housing price flutuatioan between financial stability.Estimation results show that when the model contains gross domestic product (GDP),the coefficient of gross domestic product is the largest, followed by broad moneysupply, finally is the real estate prices; And when the model does not include the grossdomestic product (GDP), real estate price index and the broad money supplycoefficient were significantly larger, and symbol of coefficients is in conformity withthe actual economic situation. In addition, when the variance equation includeshousing price, the estimated coefficient obviously is not zero, explaining that housingprice fluctuations indeed will lead to changes of the non-performing loan ratio, whichwill influence the stability of the bank and financial stability.