Research On The Risk Spillover Effect Between Real Estate Industry And Banking Industr

After the subprime mortgage crisis in 2008,the real estate bubble burst,resulting in the bankruptcy of many banks in the United States,the stock market volatility,the global capital market liquidity crisis.After today’s rise in house prices,if they collapse,it will be the banks that do a lot of business with them.It’s self-evident that banking occupies an important position in the financial system of our country,which is closely related to the stability of the whole financial system.Therefore,the complex and changeable macro-control of the real estate industry becomes imperative,and the study of the risk spillover effect between the two is also crucial.This paper analyzes and studies the mechanism of risk spillover effect between real estate industry and banking industry by means of monetary policy credit channel and behavioral finance.DCC-GARCH-CoVaR model and Copula-CoVaR model,which support the research of this paper and are widely used,are selected to carry out an empirical study on the risk spillover effect between the real estate industry and the banking industry.Through the DCC-GARCH fitting of the real estate sector index and the banking sector index from January 4,2016 to March 19,2021,the ΔCoVaR value is calculated by the dynamic correlation coefficients of the two sectors,and the risk spillover between the real estate sector and the banking sector in recent years is empirically studied.The Copula-CoVaR model is established by using different kinds of bank data and real estate sector index to study its heterogeneity.The results show that:(1)there is a nonlinear risk correlation between the real estate industry and the banking industry during the sample period,and the correlation is constantly changing during the sample period;(2)From the performance characteristics of risk spillover effect,the real estate industry and the banking industry have a positive risk spillover effect.In addition,according to the empirical results,behavioral finance is introduced to explain,so as to highlight the important role of behavioral finance in policy regulation.(3)During the sample period,the risk spillover of the real estate industry to state-owned banks and non-state-owned banks has obvious heterogeneity,and the risk spillover to state-owned banks is greater.Finally,according to the research results,corresponding policy suggestions are put forward to effectively prevent the risk spillover effect of the real estate industry and the banking industry.