An Empirical Study On The Risk Spillover Effects Of China's Real Estate Industry On Commercial Banks

Recalling the previous financial crisis,we can find that the volatility of the real estate market and the expansion of bank credit are the important reasons for the outbreak of the financial crisis.Especially in the 2008 U.S.subprime mortgage crisis,the real estate market fluctuations and changes in bank credit plays an important role in the banking crisis or financial crisis.The outbreak not only has a great impact on the U.S.economy,but also caused a global economic recession;its impact has not yet subsided.As a pillar industry of our country,the development of the real estate industry and the banking industry has a great influence on the macro economy.Especially after the subprime mortgage crisis,China's real estate price volatility and real estate bubble exacerbated the instability of China's real estate industry,banking and macroeconomic.Therefore,the study on the risk spillover effects of China's real estate industry on commercial banks after the U.S.subprime mortgage crisis that has certain practical significance to regulate the level of real estate bubble and the risk spillover of commercial banks.This paper choose the real estate and banking industry as the research object,analyzes the impact of the US subprime mortgage crisis on the risk spillover of commercial banks in China from two angles of qualitative and quantitative analysis,including the following five parts:The first part is introduction.This part mainly expounds the research background,the significance of the topic and the research methods,and summarizes the relevant related theories,models and empirical methods.The second part is based on the current situation of China's real estate market and credit market to analyze the risk spillover mechanism between real estate and commercial banks.The third part is mainly to introduce the relevant theories and models,and to build a theoretical model foundation for the empirical study of the real estate market asset bubble to the bank's risk spillover.The fourth part is empirical research.The empirical results show that there is a strong risk spillover between the real estate industry and the banking industry,and the VaR method is more likely to be underestimated by the CoVaR method.Subprime mortgage crisis not only enhanced the lower tail correlation between the real estate and banking industry,but also increased the VaR of banking industry and the risk spillover lever of real estate industry on the banking industry.The risk spillover lever of real estate industry on the banking industry has a positive relation to the risk of real estate industry,and with the increasing of the significant level,the risk spillover lever of real estate industry on the banking industry is getting smaller.The fifth part is the summary of the results of this study,and put forward some relevant policy recommendations and research prospects,and that has certain practical significance to prevent the real estate bubble and promote the stability of the commercial banks.So the government should adopt prudent monetary policy to control the credit expansion and inflation.Accelerate the reform of the real estate market and reduce the risk of the real estate market bubble.The financial supervision department should choose a more reasonable risk measurement tools,focus on the risk spillover between he real estate industry and banking industry,improve risk warning mechanism,encourage reasonable financial innovation,sound financial supervision system.