A Study On The Impact Of House Price Fluctuations On Bank Credit Policies

In 2007,due to the abnormal fluctuations of property price in the United States,the proportion of real estate loans,default rate and non-performing assets increased rapidly,which influenced the financial market deeply and triggered the global financial crisis.During the period,the impact of house price fluctuations on the banking industry should be thought-provoking.Therefore,it is significant to find the correlations among house price and banking systemic risk and credit policy.The dissertation adopt the index method,and the VAR model of credit risk of Chinese commercial Banks is established through the collected figures.The conclusions are the impact of housing price and interest rate on credit risk has time lag and so on.The main research contents are as follows:Firstly,this thesis summarizes the domestic and foreign theories about the impact of house price fluctuations on bank risks,then analyzes the transmission mechanism of house price to bank credit risks in China by depicting the capital transfer relationship among banks,home buyers and real estate enterprises.The results show that the house price fluctuations will directly affect the repayment ability and purchasing ability of buyers and then indirectly affect the bank credit risk.Furthermore,fluctuations of house price will also directly affect bank risks through real estate mortgage lending channels and capital channels of the real estate enterprises.Therefore,based on the principle of avoiding risks,the commercial banks should reduce their credit risk through adjusting their credit policies in order to affect house prices.Next,the dissertation analyzes the dynamic relationships among the credit risk,the house price fluctuation and the other credit related indicators of commercial banks by vector auto-regression model(VAR)model theory.In order to ensure the comprehensiveness of the analysis,a modified Macro-prudential assessment system(MPA)related to the real estate market and bank is established,Chinese house price fluctuation data,bank credit-related indicators and credit policy information from 2007 to 2016 are introduced.The results show that the established theoretical model can effectively reflect the relationship between house price fluctuations and bank credit risk:(1)House price volatility,proportion of personal loan,and interest rate of mortgage are Granger causes of bank credit risk.In the short term,Chinese house price fluctuations have a backward impact on bank credit risk,that is,current house price decline will aggravate the credit risk of commercial banks in the next period.Among them,the real estate enterprises play a more important role in capital transfer than personal loan.(2)Excessive credit support from commercial banks may lead to drastic fluctuations on house price,which will further exacerbate the systemic crisis of banks.Therefore,when the credit risk rises to a certain level,the credit scale will be limited.It should be noted that the implementation of macro-policy regulation should be combined with the predictable results of reverse regulation,the effect of time lag and the term of influence.Finally,the empirical application of the VAR model is carried out.Based on the sample data of Agricultural bank of China,it analyzes and discusses the differences of credit related indicators and credit policies making strategy between the Agricultural bank of China and banking industry.Moreover,according to the results of VAR model analysis,from the perspective of credit policy control and internal control,some countermeasures and suggestions are given to reduce the credit risk of agricultural bank of China and adjust its credit scale.Under the background of the current real estate market,it is better to raise the threshold of external mortgage,eliminate enterprises or individuals with poor repayment ability,tighten the amount of mortgage lending and improve the quality of lenders.On the other hand,in order to guide and supervise the management of credit assets in branches,strengthen the construction of human resources,and improve the quality of credit staff,it is better to issue corresponding structural adjustment opinions to branches with different ratings.The adopted analysis methods and the constructed VAR model in this dissertation have good scalability,which is of great practical significance to the credit data analysis and credit policy research of large commercial banks in China.