| 试论房价波动对商业银行资产的影响 |
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| 引用本文： | 李成,尚振宁,黎克俊. 试论房价波动对商业银行资产的影响[J]. 金融论坛, 2009, 0(10) |
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| 作者姓名： | 李成 尚振宁 黎克俊 |
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| 作者单位： | 西安交通大学经济与金融学院金融系;西安交通大学经济与金融学院; |
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| 摘 要： | 基于次贷危机的启示,本文构建了在不同的金融发展程度下房地产价格波动对商业银行资产影响的理论模型,并在此基础上对中国的现状进行分析,指出当前对中国的影响主要集中于商业银行基于负债业务发放的贷款领域。进一步地,利用向量自回归模型(VAR)及冲击响应函数对中国房地产价格波动对商业银行贷款的影响进行了实证检验。研究表明:金融创新改变了房地产价格波动对商业银行资产的影响模式;中国房价波动对商业银行资产的影响主要集中在源于银行负债发放的贷款领域,但总体影响有限;中国应加快发展银行资产证券化业务,谨慎发展信用衍生产品。
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| 关 键 词： | 房价波动 商业银行资产 资产证券化 信用衍生产品 |
The Impact of Volatility of Real Estate Prices on Commercial Banks' Assets |
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| LI Cheng SHANG Zhen-ning LI Ke-jun. The Impact of Volatility of Real Estate Prices on Commercial Banks' Assets[J]. Finance Forum, 2009, 0(10) |
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| Authors: | LI Cheng SHANG Zhen-ning LI Ke-jun |
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| Abstract: | On the basis of the inspiration from subprime mortgage crisis, the paper establishes a theoretical model to reflect the impact of volatility of real estate prices on commercial banks' assets under different developing degrees of financial market.The paper then analyzes the status quo of China with the model and points out that such impact in China mainly concentrates on the real estate-related loans based on banks' liabilities.Furthermore, the paper utilizes VAR model and impulse response function to test t... |
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| Keywords: | volatility of real estate prices commercial bank's assets asset securitization credit derivatives |
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