The Construction Of Financial Stress Index And Its Conductive Effect On Real Estate Market

The real estate industry is a capital intensive industry.The rapid development of the real estate market is inseparable from the financial support of financial markets and financial institutions.At present,China has initially formed a real estate financing system with bank credit as the main,capital market and trust financing as the auxiliary,and the overall operation tends to be stable,but there are still some problems in the operation mechanism,market structure and risk management,which are vulnerable to the impact of financial market stability.and the upstream and downstream industries of real estate are closely linked.Once the capital chain breaks,the risk is easily transferred to the real economy.Therefore,it is necessary to evaluate the current and future risks of China’s financial system in a timely,accurate and predictable way,and deeply analyze the conduction effect of financial stress on the real estate market,in order to provide theoretical reference for policy makers to formulate real estate regulation and prudential supervision policies in different periods.At present,financial stress index has become an important tool to evaluate the stability of financial markets.However,most domestic scholars use monthly data to build stress index,which is not timely enough to provide effective information for regulators and market participants.Therefore,this paper first selects 16 relevant daily indexes from the main components of the financial system,including banking sector,stock market,bond market,money market and foreign exchange market,and uses factor analysis to construct the Chinese financial stress index(CFSI).Then,by establishing markov regime transfer model(MS-VAR)of financial stress index,we can identify the regime characteristics of financial stress in China,and explore the regime switching of financial stress in different periods and the characteristics and transition law of financial stress in different regime systems.Finally,this paper establishes a time-varying stochastic volatility vector autoregressive model(TVP-SV-VAR)with three variables of financial stress index,real estate price growth and real estate development investment growth.It measures the dynamic conduction effect of financial stress on real estate market in different periods,and explores the time-varying characteristics of the internal correlation between financial stress and real estate market volatility.Based on the above research,this paper draws the following conclusions:(1)The financial stress index constructed in this paper basically coincides with some major financial stress events at home and abroad,and can accurately reflect the stress situation of China’s financial system,and the financial stress index constructed shows obvious characteristics of two-zone system,that is,high-stress zone system and low-stress zone system.Most of our country is in the low stress zone system.Generally speaking,the frequency of financial risks in China is relatively low,and the overall operation of the financial system is relatively stable.(2)The maintenance probability of CFSI in different zones is higher,and the stability of CFSI in low stress zones is stronger,the financial system is easier to transition from high-stress zone system to low-stress zone system,while the transition from low-stress zone system to high-stress zone system is more difficult,which shows that the financial system has a strong preference for low-stress zone system.(3)The rise of financial stress in different periods will lead to the decline of real estate price growth and real estate development investment growth.Compared with the impact of financial stress on real estate price growth,the negative conduction effect of financial stress on real estate development investment growth is stronger and lasts longer.The main contributions of this paper are as follows:Firstly,In view of the lack of timeliness of monthly data,which can not reflect the short-term fluctuation of risk stress in the financial system in a timely manner,the stress index constructed in this paper uses high-frequency daily data,and based on previous scholars’ research and the characteristics of each market,it adds some related indicators such as beta coefficient of banking industry,stock turnover rate,bond maturity yield,counterparty credit spread,and the change of interest spread between China and foreign countries.The index fluctuation is obvious,which can reflect the stress situation of our financial market in time and accurately.Secondly,unlike previous scholars who focused on the macroeconomic effects and monetary policy responses of financial stresss,this paper uses the time-varying stochastic volatility vector autoregression model to explore the time-varying characteristics of the conduction effects of financial stresss on the real estate market,which provides a theory for policy makers to formulate real estate regulatory policies and prudent regulatory policies in different periods.