房价波动、隐含担保与银行系统性风险*

银行对房地产行业的信贷优先倾向导致信贷投放向房地产业集中，房地产价格波动对金融系统性风险的影响日益突出。本文基于银行与房地产两部门或有权益资产负债表分析框架，从资产和负债两个方面研究房地产部门对银行的风险传导机制，构造银行对房地产部门的隐含担保比例作为度量风险传导强度的指标，运用TVP VAR方法刻画2002—2016年我国房价波动与房地产部门、银行系统性风险的动态演变路径。研究结果表明，我国房地产风险主要通过银行信贷从负债项进行风险传导，房地产部门风险对风险传导强度的影响存在明显的结构性突变，银行系统性风险存在非线性加速恶化特征。本文最后提出要稳定房价、拓宽房地产融资渠道、降低地方政府对土地财政依赖等建议。

HOUSING PRICE FLUCTUATION,IMPLICIT GUARANTEE AND BANKING SYSTEMIC RISK

The credit priority of banking sector to the real estate industry leads to the accumulation of bank credit in the real estate industry, thus the real estate price fluctuations have increasing impact on the financial systemic risk. Based on the two sector contingent balance sheet framework of the banking sector and the real estate sector, this paper studies the risk transmission mechanism of the real estate sector to the banking sector from the aspects of assets and liabilities, and constructs the implicit guarantee ratio of the bank to the real estate sector as an indicator which measures the intensity of risk transmission. TVP VAR model is applied to depict the dynamic evolution path of relationships between housing price fluctuation and the systemic risk of the real estate sector and banking sector from 2002 to 2016.The results show that the real estate risk in China mainly affects the intensity of risk transmission from the debt transmission path through the banks credit behavior, and the banks credit behavior is the main factor influencing the intensity of risk transmission. There are obvious structural mutations in the impact of real estate sector risk on the intensity of risk transmission, and there are non linear acceleration characteristics of systemic risk deterioration in the banking sector. We propose the suggestions of stabilizing house prices, broadening the financing methods for real estate, reducing the financial dependence local government on land.