财经理论与实践2024，Vol.45Issue(2)：112-120,9.DOI:10.16339/j.cnki.hdxbcjb.2024.02.014
动态视角下房地产贷款对银行业系统性风险溢出研究
Spillover of Real Estate Loans on Banking Systemic Risk from a Dynamic Perspective
摘要
Abstract
Firstly,the Credit Metrics model is initially employed to dynamically measure the credit risk of REL.Then,its influence on individual banks and its subsequent spillover on bank-ing systemic risk are evaluated under the double ΔCoVaR framework.Finally,the spillover is de-composed into direct and indirect components,allowing for an exploration on the transmission pathways of REL credit risk.The results for systemically important banks(SIB)reveal a consist-ent upward trend inREL credit risk over recent years,leading to a substantial spillover into the bankingsystem.Notably,the widespread defaults and the COVID-19 pandemic further intensified this spillover effect.Moreover,indirect spillover resulting from REL credit risk predominates o-ver direct spillover.Higher(lower)SIB exhibit larger indirect(direct)spillover.This suggests that higher SIB are more likely to cause chain reactions within the banking systemthrough their close business connections with other banks,indirectly exacerbating risk outbreaks due to their loan credit risks.Lower SIB provide loans to a few large clients,lack substantial risk mitigation against credit losses,thereby presenting a considerable direct risk to the stability of the banking system.关键词
房地产贷款/信用风险/银行业系统性风险/风险溢出效应/系统重要性银行Key words
real estate loan/credit risk/banking systemic risk/spillover effect/systemically important bank分类
管理科学引用本文复制引用
龙剑友,谢赤,王威忆晴,胡扬斌..动态视角下房地产贷款对银行业系统性风险溢出研究[J].财经理论与实践,2024,45(2):112-120,9.基金项目
国家社科基金重大项目(21ZDA114) （21ZDA114）
国家自然科学基金项目(71971079,72271087,71871088) （71971079,72271087,71871088）
湖南省自然科学基金优秀青年项目(21JJ20019) （21JJ20019）
湖湘青年支持计划项目 （）
