The Impact Of Leverage And Financialization Rate In The Real Estate Industry On The Structure Of Systemic Risk Contagion

In the past,most of the research on systemic risks targeted the three major industries of banking,insurance and securities,and mainly analyzed the impact of banking risk on systemic financial risks.As a capital-intensive industry,real estate has high profitability and high leverage,and at the same time has a close relationship with the financial industry,and deeply participate s in various businesses in the financial field,and has quite large potential risks.This paper studies the impact of real est ate leverage ratio and financialization on overall systemic risk from the perspective of risk contagion while bring real estate into the overall measurement framework of systemic riskThe degree of real estate financialization is measured by the mainstream definition in the study of enterprise financialization,that is,the ratio of financial assets to total assets.Based on the weekly data of A and H shares in China from 2011 to 2020,this paper selects 133 companies in four industries:real estate,banking,securities and insurance to study the impact of real estate leverage and financialization on systemic risk.We use the TENET method to measure the systemic risk of institutions.We combine the systematic interconnection between financial institutions based on tail event spillover effect in the high-dimensional framework,consider with the idea of quantile regression,and integrat e the single index(SIM)model and lasso variable selection method.This paper calculates the risk marginal effect between institutions,and makes network analysis from three levels: overall,department and institution.The study found that:(1)Before 2018,the level of systemic risk in China continued to rise until the promulgation of the new asset management regulations played a role in curbing risks.(2)Real estate and securities have the most closest relationship,and both of them are larger risk spillover parties.The dynamic characterist ics of risk changes in insurance and banks are similar.(3)We identif y two real estate companies,China Evergrande and Sunac China,that remained at a high level of risk spillover during the sample period.For the impact of real estate leverage and financ ialization degree on risk,this paper uses the methods of SVAR and DAG to identify the existence of them in the risk contagion path,and investigates their impact on financial risk,the study shows that the change of leverage directly affects the risk of the banking sector and further transmit s it to other sectors through banks;the most direct impact object of real estate financialization is the securities industry.A large number of real estate in stitutions have also contagious their own risks to the entire financial system by participating and holding securities institutions.Finally,this paper draws enlightening conclusions and puts forward suggestions for improving the current systemic risk supervision.