房地产对金融体系风险溢出效应研究——基于AR-GARCH-CoVaR方法

金融危机对全球金融体系造成了巨大的影响，这使得各国研究者开始深入研究房地产部门与金融体系的这种连带关系所传达的信息，并思考应对之道. 本文首先从资产价格波动角度分析了房地产市场对金融系统的风险溢出的机制和传导过程. 在此基础上，本文首次引入AR-GARCH-CoVaR模型，估算了我国房地产市场对金融系统的风险溢出效应. 研究表明：银行将房地产作为仅次于制造业的第二大投资行业，银行房地产贷款额占总贷款额的20%左右，但这20%的贷款可能产生的风险却几乎相当于金融系统自身的系统性风险. 此外房地产部门对金融系统的风险溢出效应存在顺周期性，这表现为在2008年金融危机时房地产的风险溢出效应较大，而在2010年经济逐步恢复稳定时房地产的风险溢出效应较小.

Research on risk spillovers from the real estate department to financial system based on AR-GARCH-CoVaR

Financial crisis has made tremendous influence on the global financial system. Therefore, researchers of different countries have begun to investigate in depth the information expressed by the relationship between real estate department and financial system, and pondered over the solution. This paper primarily analyzed the mechanism and conductive process of risk spillovers of real estate market upon financial system, in the perspective of fluctuation of capital price. On this basis, this paper introduced the model of AR-GARCH-CoVaR to estimate the effect of risk spillovers of real estate market upon financial system in China for the first time. The study suggested that: Real estate, as the second largest bank investment industry following manufacture, accounts for around 20% of total loans of bank, which contains equal risk to that of financial system. Department of real estate appears procyclicality in the risk spillover effect of financial system, which comes to the consequence that risk spillover effect of real estate is larger in 2008 global financial crisis than it is in 2010 economy recovery.