房地产业对金融机构的系统性风险溢出效应研究——基于行业与企业综合视角的实证分析

房地产业与金融业具有强烈的共生性,当房地产业陷入困境时,是否会迅速扩散到与其关联的各类金融机构,蔓延并危及整个金融系统,出现房地产业对金融机构的"系统性风险溢出"?文章综合运用房地产行业指数与房地产企业数据,基于CoVaR模型和分位数回归方法,测算了我国房地产业对各类金融机构的系统性风险溢出强度,分析了其时变趋势和影响因素。实证结果表明,我国房地产业对金融机构存在较为显著的系统性风险溢出效应,在时间维度上存在周期性;房地产业对股份制与城商行的风险溢出强度最大,其次是保险机构和信托,最小的是国有银行;房地产企业的自身风险、规模和负债水平对风险溢出强度具有显著影响。据此,文章对金融监管部门、金融机构与房地产行业提出了相应的政策建议。

Study on Systemic Risk Spillover Effect from the Real Estate Industry to Financial Institutions: Empirical Analysis from the Perspectives of Industry and Enterprises

Spillover effect is a significant feature of systemic risk. As an important basic and pillar industry of the national economy, the real estate industry has significant negative financial externalities. The subprime mortgage crisis in the United States and other historical events show that when the real estate industry is in trouble, it will quickly spread to all kinds of financial institutions associated with it, and even spread and endanger the entire financial system, that is, there will be a "systemic risk spillover" of the real estate industry to financial institutions. Based on this background,this paper calculates the systemic risk spillover intensity of real estate industry to various financial institutions, and analyses its time-varying trend and influencing factors by using the CoVaR model and quantile regression method. In recent years, there has been much academic research on the relationship between real estate industry and financial institutions, the path of systemic risk spillover of financial institutions, the process of risk evolution and the quantitative measurement of systemic risk. But there are still some areas worthy of improvement as follows. First, the existing literature neglects the research based on individual data of real estate enterprises. Second, most of the previous research results only choose banks as representatives of financial institutions, but do not pay attention to the difference of systemic risk spillover intensity of real estate industry to different types of financial institutions. Third, the existing literature focuses on the measurement of systemic risk itself, but ignores the discussion of the influencing factors. Fourth, the existing related research mostly uses cross-sectional data, lacking of the study of the change law in the time dimension. The empirical results show that the real estate industry has a significant systemic risk spillover effect on financial institutions, which is cyclical in time dimension. The risk spillover intensity of real estate industry to joint-stock system and city commercial banks is the greatest, followed by insurance institutions and trust, and the smallest is state-owned banks.The own risk, scale and debt level of real estate enterprises have a significant impact on the risk spillover intensity. The academic contributions of this paper are as follows. First, this paper integrates industry perspective and enterprise perspective, and analyses the impact of real estate industry and real estate enterprises on financial institutions. Second, this paper comprehensively examines the impact of real estate industry on state-owned banks, joint-stock banks, city commercial banks, insurance, trust and other types of financial institutions. Third, this paper not only calculates the intensity of systemic risk spillover from real estate industry to financial institutions, but also makes quantitative analysis on the driving factors affecting the intensity of systemic risk spillover.Fourth, this paper uses annual data to analyze the time-varying trend of systemic risk spillover intensity. The conclusion of this paper is not only helpful for real estate enterprises to grasp their own risk situation accurately, but also helpful for financial institutions to evaluate their risk correlation with real estate industry. It can also assist regulatory authorities to formulate more scientific dynamic regulatory policies, which has important practical value.