| The research focuses on real estate risk infection, on the basis of the review on relevant literature, defines the essence and feature of real estate risk infection. Besides, the paper systematically describes the process, channels and mechanism of the formation of real estate risk and the infection in finance system and macro sectors. Specifically, on the one hand, by employing VAR-MVGARCH-Asymmetric-BEKK model, tests the correlation between real estate market price and bank credit of China from the perspective of spillover effects, also the infection effects of real estate risk in bank system. On the other hand, by employing SVAR and ABEK model, the paper tests the infection mechanism of real estate risk in macro sectors, also the direct and indirect effects of real estate risk infection. The basic conclusion of the research is as follows:Firstly, the essence of real estate risk infection is the risk and probability of impacts with which the whole economic system is confronted due to the influence of single-sector market risk of real estate. The correlations between different sections of economic system lead to the explosion of systematical risk of the economy, that is, the probability which price fluctuation of real estate industry arouses a series of loss in industries and system composed of industries. Actually, real estate risk infection is the process of the formation, swell and evaporation of real estate bubble. The essential features are manifested as randomness and abruptness, wealth effect, balance sheet effect, currency effect, and external effect. Real estate risk infection is defined as the spillover effects of market risk generated from real estate industry relative to other industries, or sectors, and macro economy.Secondly, the primary fields of real estate risk infection are relevant finance system and macro sectors. The channel via which real estate risk infects finance system is influencing stability of bank credit system through credit expansion of bank system and liquidity, meantime, influencing stability of finance system through information asymmetry caused by real estate price fluctuation and transmission of future information variation. The process of real estate risk infection in finance system is haply divided into three stages, that is, infection among individual financial institutions, bank systems and finance systems. The mechanism of real estate risk infection in finance system is manifested as impacting on finance industry owing to evaporation of price bubble of real estate assets, or infection mechanism of risk result from real estate price fluctuation in bank system. Real estate risk infection among macro sectors influences macro economy mainly by influencing consumption, investment, output, employment, price inflation and money stock. The process of the influence of assets price bubble on economic stability can be divided into three stages, that is, real estate risk infection among directly related industries, indirectly related industries, and the whole economic system.Thirdly, seen from real estate risk infection in finance system, there is comprehensive and significant correlation between real estate market fluctuation and bank credit scale on mean and fluctuation, real estate risk has impacts on bank credit stability through mean and fluctuation simultaneously. In addition, observation on asymmetrical effect shows that, when real estate market price is downward, real estate risk is more likely to accumulate and magnify, the impact on bank credit stability is the most significant at this moment.Fourthly, seen from real estate risk infection among macro sectors, based on the analysis of general equilibrium model of New Keynesian dynamic random, real estate risk infection among macroeconomic sectors is based on effect of wealth and balance sheet. Whereas, when the difference of effect of wealth and balance sheet between families and middle sectors results in that real estate risk originates in different sectors, the impact on macro economy is diverse, namely that real estate risk has strong attribute of sector. Real estate price fluctuations result from sector difference give rise to diverse infection mechanism and affection degree in macroeconomic sectors. Tobin's Q effect plays a pivotal role in the infection process of real estate price fluctuation in macro economy; moreover, enterprises' choppy investments on real estate market are likely to result in accumulation and explosion of real estate risk. Meanwhile, there is strong correlation between real estate market and macro economy, which is usually fluctuant, yet has not observably varied during the past decade.The research has three innovative points. Firstly, tests the correlation between real estate market price and bank credit on level of mean and fluctuation simultaneously. Particularly introduces asymmetric effect, caused by rise or decline of real estate market price and expansion or contraction of bank credit, into mean-fluctuation model, and then takes correlation analysis on the effect. That can not only effectively reflect the differentiation effect as a result of variations of real estate market risk and bank credit, but also thoroughly and comprehensively reveal the influence of real estate risk infection on finance system. Secondly, structures a complete analytical framework on analyzing real estate risk infection among macroeconomic sectors. Constructs general equilibrium model of New Keynesian dynamic random embracing real estate with microcosmic basis, in which analyzes features of dynamic effect and infection mechanism of impact of real estate sector variations on macro economy utilizing parameter calibration method. Thirdly, It analyzes the correlation between real estate sector and macro economy employing SVAR and fluctuation-spillover model, by which researches infection characteristics on layer of mean and fluctuation respectively, and also analyzes infection effects and correlations of real estate risk in macro economy from different perspectives.
|
PDF Full Text Request