The Impact Of Real Estate Price Volatility On Systemic Financial Risk

Since 2015,the non-performing assets of China's banking system have been rising,and the stock market has been being volatile.The risks of the real economy and the financial system are gradually increasing in the composite context of external risk entered by the international financial crisis and the cyclical and structural problems in China's transition phase.The real estate prices is always at non-normal high state,the real estate market excessively speculate and has a higher degree of bubble.With the joint risk positions increased,the asset-liability relationship between the financial market and the real estate market is increasingly deepened.Due to the high degree of leverage in the real estate market and the financial market,the homogeneity between the two market and the cyclical market system arrangement,the risk of real estate price volatility is easy to spread to the financial and economic system,triggering systemic financial risks.Therefore,the study that real estate price volatility on the systemic financial risks has strong theoretical and practical significance of maintaining the real estate price effectively,preventing and resolving systemic financial risks.Based on the results of recent research and practice at home and abroad.Firstly,we study the related theories on real estate prices and systemic financial risks,made a detailed analysis of the mechanism of the effect of real estate price volatility on the systemic financial risk.Secondly,this paper collects quarterly data from 2007 to 2016,using AHP,constructs the index pool consisting of 5 two-level indexes and 21 the three-level indicators,quantifies the index of the systemic financial risk in our country.Thirdly,this paper empirically analyses the impact of real estate price volatility on China's system of financial risk.Finally,according to the theoretical analysis and empirical results,this paper puts forward three-dimensional policy suggestions in light of the real estate market and financial market to strengthen the micro-and macro-prudential supervision of the real estate market and financial market,stabilize the real estate price and prevent and resolve the systemic financial risk.The result shows:Firstly,the real estate price volatility mainly affects the systemic financial risk through the wealth effect mechanism,Tobin Q value mechanism,collateral value fluctuation-credit mechanism,liquidity tightening-credit mechanism and housing mortgage securitization mechanism.Secondly,the results show that our systemic financial risk index,in 2008,has a marked decline,began to rise and fall in 2012,after that time maintaining a relatively stable state,but our financial system still has potential risks that worthy of attention.Thirdly,the empirical results show that the real estate price volatility is the reason of the systemic financial risk,and there is a long positive relationship.The risk of the real estate price volatility has a leverage effect on the systemic financial risk,so the real estate volatility enlarges the systemic financial risk.The reason is that: the business between real estate market and financial markets has deeply developed,credit and mortgage business makes the two markets holding the same assets and liabilities which form a common risk exposure and increase market homogeneity.When the real estate prices rise,the expected wealth value,the value of collateral,liquidity expansion and the credit up-rating by credit rating agencies will increase,and the public is going to increase investment,leading to social real estate investment expansion,driving up the real estate prices.When investors expect housing prices rose to the peak,they will short the real estate to reduce the risk.Herd and herding effect makes the house prices fall beyond the expected straight line,and it is easy to form the vicious cycle of " Real estate prices are rising--the expected decline--the market value of the decline--the sale of assets-prices and then fall...".Under the cyclical market rules such as market-oriented pricing transactions,the real estate price volatility has instantaneous conduction,and it impact the entire macroeconomic financial market simultaneously without conduction of balance sheet,causing systemic financial risks through the bank credit crunch mechanism,liquidity tightening mechanism and asset price volatility mechanism.