| In recent years,the world economy is constantly fluctuating.Therefore,enhancing financial stability,preventing and resolving financial risks,especially systemic financial risks are important.The government regards preventing and resolving systemic financial risks as the fundamental financial work.China’s real estate market is developing continuously.In the past,the real estate market was one of the important driving forces of China’s economic growth.But now,housing prices continue to rise,and the real estate bubble continues to expand.These make the real estate market the biggest "grey rhinoceros" in China’s financial risk.At the same time,the scale of shadow banking in China is relatively large.The structure of shadow banking is becoming more and more complex.And the risk of shadow banking cannot be ignored.The continuous rise of house prices and the continuous expansion of the scale of shadow banks have become important factors,threatening financial stability and pushing up systemic financial risks.This paper starts from the perspective of real estate prices,shadow banking and systemic financial risks.First,this paper summarizes the relationship between house price,shadow banking scale and systemic financial risk,and forms a theoretical study.Then,this paper measures the level of systemic financial risk and the scale of shadow banking.Then,this paper explores the interaction mechanism between the three through empirical research.Finally,this paper puts forward some suggestions.In terms of theoretical research,this paper first describes the existing research results on house prices,shadow banking and systemic financial risks.Second,we explain the relationship between real estate,shadow bank scale and systemic financial risk.Third,we explain why house prices and the scale of shadow banks affect each other,and how the risks of real estate market and shadow banks are transmitted to systemic financial risks.Finally,we put forward relevant theoretical assumptions.In terms of data calculation,this paper calculates the scale of China’s shadow banks and systemic financial risks.In terms of shadow banking,we use the direct measurement algorithm to calculate and sum up from many aspects,and get the data of shadow banking scale in China from 2008 to 2020.In terms of systemic financial risk,firstly,we use the comprehensive index method to build a systemic financial risk index system.Then,we use principal component analysis to calculate the systemic financial risk in China from 2008 to2020.In terms of empirical research,this paper uses TVP—VAR model to explore the relationship between real estate price,shadow bank scale and systemic financial risk.Our study found that:(1)China’s house prices and the scale of shadow banks promote and interact with each other.The rise in house prices has led to the expansion of shadow banking.On the contrary,the expansion of shadow banking will lead to the rise of house prices.From 2008 to2020,the direction of this influence relationship is stable,but the degree is changing.This is related to the supervision of China’s real estate market and shadow banking market.(2)The rise in the scale of China’s shadow banks will lead to an increase in systemic financial risks.The direction of this influence is stable,but the degree is changing.This is related to the supervision of shadow banks and the financial regulation of traditional financing channels.(3)The rise of house prices may lead to the rise of systemic financial risk and the decline of systemic financial risk.Since 2008,the impact between the two has been negative in the initial stage,and then reversed to positive,showing a "U" shape.The threshold value of house price causing this change is about 6400 yuan.(4)Under different house price levels segmented by threshold,the impact of the interaction between house price and shadow banking on systemic financial risk is also different.When the house price is lower than the threshold,the interaction between the two will reduce the level of systemic financial risk.When the house price is higher than the threshold,the interaction between the two will increase the level of systemic financial risk.Finally,this paper puts forward relevant policy suggestions according to the research and analysis results. |
