The Research On Risk Contagion Mechanism And Spillover Effect Between Real Estate And Bank

The real estate industry and the banking industry play an important role of China's national economic development.In recent years,the proportion of real estate loans in bank credit has also gradually increased.This has led to links between real estate industries and banking industries are getting closer and the risks are accumulating.Once a risk occurs in one of the industries,it will inevitably cause another industry to be impacted,and it is easy to cause systemic financial risks.Therefore,studying the risk contagion mechanism and spillover effect between China's real estate industry and banking industry is of great significance to prevent systemic financial risks in China.Based on theoretical and empirical analysis,the paper combines the risk contagion mechanism between the real estate industry and the banking industry to measure the risk spillover intensity between the two,and analyzes and summarizes the trend of the risk spillover intensity in recent years.The main research includes the following parts:Firstly,combing and summarizing the existing research conclusions about risk contagion and risk spillover,and introducing related financial theory and empirical theory required in this article.Secondly,using macroeconomic data to make a detailed analysis of the risk contagion mechanism between the real estate industry and the banking industry,and found that the risk between the two is mainly transmitted through housing price fluctuations and bank credit,and is affected by macroeconomic fluctuations.Thirdly,combining the inherent vulnerability theory and asset bubble theory of the financial system theoretically analyze the risk contagion mechanism and its influencing factors,and use the ARMA-GARCH-CoVaR model to measure the risk spillover intensity between the real estate industry and the banking industry.The risk spillover intensity of the banking industry is higher than that of the real estate industry.The risks in the real estate industry are overestimated,while the risks in the banking industry are underestimated.The risk spillover intensity of the real estate industry to the banking industry is 13.39%,and the risk spillover intensity of the banking industry to the real estate industry is 34.26%.Afterwards,it specifically analyzed the effectiveness of the government's policies on real estate and banking under the extreme financial risks such as the 2008 financial crisis,the European debt crisis,and the 2015 "stock crash" and the new changes in the risk spillover effect in the past two years;Finally,on the basis of previous research conclusions,suggestions and prospects are put forward.