基于房地产市场的我国系统性金融风险测度与预警研究

本文阐释了基于房地产市场的系统性金融风险形成机制,据此建立了分阶段、跨部门的房地产市场的系统性金融风险网络模型,并运用2006-2017年16家上市银行数据,分析和测度了我国房价大幅下跌所引发的系统性金融风险水平和结构,构建了基于房地产市场的系统性金融风险预警指标并进行测算。研究发现:在房价下跌30%的压力情景下,我国金融体系的潜在总损失总体呈级数式上升,年均增长22.70%;基于房地产市场的系统性金融风险值(SR)呈现先上升后波动下降的总体趋势;系统性金融风险(SR)的脆弱性指标(FLI)整体呈现波浪式振荡变化,且与房地产贷款/权益整体呈反向变动,系统性金融风险(SR)的传染性指标(CTI)在2012-2017年呈持续下降趋势,且与金融市场压力指数、金融机构间资产占总资产比重呈现出高度的一致性变化趋势。最后,基于房地产市场的系统性金融风险预警指标(SRWI)值呈收敛式振荡走势,表明基于房地产市场的系统性金融风险总体可控且呈收敛式下降。

Research on the Measurement and Early Warning of Real Estate Market Based Systemic Financial Risk in China

The historical experience of global economic operations demonstrates that housing price and real estate credit are key factors affecting financial stability. With China's real estate market developing rapidly and housing prices increasing continuously in recent years, real estate credit in China has expanded too quickly. This has caused significant risk to the financial system.
This paper describes the mechanism though which systemic financial risk based on the real estate market forms and establishes a phased and cross-sector network model to characterize it. The risk formation process is divided into three stages. The first stage is the risk accumulation stage. The second stage is the risk spillover stage. Financial risk spills over from real estate companies, the residential sector and non-real estate companies and the government sector to the financial sector, respectively. The third stage is the risk contagion stage.
This paper constructs a systemic financial risk network model. In this model, if housing prices decrease significantly, the total loss, which causes systemic risk, consists of the default loss of financial institutions and the contagion loss of the financial system. The default loss is caused by the bankruptcy of real estate companies, foreclosures in the residential sector, the default of other real estate mortgage companies and the local government's default on its debt due to the reduction of income from land. The contagion loss includes the total asset loss of the financial system caused by the bankruptcy of financial institutions, the liquidity run loss among financial institutions and the asset sell-off loss for active deleverage.
Based on the above model, this paper constructs a systemic financial measurement indicator (SR) and two structural indicators (a fragility indicator and a contagion indicator). Using data from 16 listed commercial banks between 2006 and 2017, it also studies the level and structure of systemic financial risk triggered by steep reductions in housing prices. Furthermore, it constructs early-warning indicators for real estate market based systemic financial risk. The relevant data come from the annual reports of the 16 listed banks and the Wind database. The results indicate that the financial system's potential total loss increases exponentially when housing prices decrease by 30%. The average annual growth rate of the potential total loss is 22.70%. In 2017, it reached 6,500.682 billion yuan, accounting for 8% of the GDP. The real estate market based systemic risk increased, peaking at 60.52 in 2008 and then decreasing to 33.28 in 2017. The fragility indicator (FLI) exhibits wave oscillations and changes inversely with real estate loans/equities. The contagion indicator (CTI) decreases continuously from 2012 to 2017. It changes consistently with the financial market pressure index and the proportion of financial institutions' mutually held assets to total assets. Thus, the more relevant financial institutions are or the worse the financial market environment is, the greater the contagion loss suffered by the entire financial system is. The early warning indicator of real estate market based systemic financial risk (SRWI) oscillates and converges on its trend. This shows that systemic financial risk is generally controllable and decreases in a convergent way.
This paper makes the following contributions. First, it explains the formation of real estate market based systemic financial risk. Second, it constructs a phased and cross-sector network model for systemic financial risk in the real estate market. This model provides theoretical support for measuring systemic financial risk, which may be caused by a dramatic decrease in housing prices. Third, this paper measures the total loss in the financial system due to significant decreases in housing prices and describes the change in systemic financial risk based on the real estate market. Fourth, it constructs early warning indicators of real estate market based systemic financial risk and sets several warning intervals to carry out the “early identification, early warning, early detection, early disposal” guidelines.
This paper also makes several suggestions. The fundamental institution of and a long-term development mechanism for the real estate market should be promoted. The monitoring and early warning of real estate market based systemic financial risk should be strengthened. The real estate finance macro-prudential policy system should be improved. The loan-to-value ratio requirement should be adjusted according to cities' actual situation. Finally, regulatory arbitrage should be strictly prohibited.