A Study On The Impact Of Real Estate Price Fluctuation On Bank 's Systematic Risk

Since the 1980s, economic crises such as Japan’s banking crisis, the Asian financial crisis and the outbreak of the subprime crisis in 2007 are all related to the abnormal fluctuation of the real estate price. The abnormal fluctuation of the real estate’s price would be a cause of China’s banking systemic risk, since fouds are mostly borrowed from banks. The abnormal fluctuation of the real estate’s price may cause systemic risk to China’s banking industry while fouds are mostly from bank, there is both theoretical and practical value in researching the price fluctuation’s effects of the real estate on systemic risk of banking industry.Based on bank systemic risk and volatility of real estate prices, on the basis of domestic and foreign relevant research literature, this paper study the impact of real estate price fluctuations on the banks of systemic risk from both theoretical and empirical aspects. This paper analyzes the characteristics of China’s real estate price fluctuations as well as the characteristics of the real estate financing market, and re-defines the meaning and characteristics of bank systemic risk base on previous studies. Then the relationship between real estate price and bank credit are analyzed in the reference of Mark Carey model, indicate that real estate price fluctuations mainly influence the bank systemic risk through three channels:the value of collateral-credit channel, the capital-and the credit channel liquidity-the credit channel. This article respectively selects inter-bank lending rate(3 months), the comprehensive climate index of national real estate development industry and the monthly data of national real estate investment loans as the indicator of systemic risk of banking industry, real estate prices and bank credit scale, and carries on the empirical study using SVAR model based on the theoretical analysis and international examples. The results show that:the credit expansion is one of the important reasons for the rising of real estate prices, the rising of real estate prices increases the risk of the banking system and it would lead to tighter credit.Finally, combined with theoretical analysis and empirical test, the paper propose a number of recommendations, such as improving the management of excess liquidity, strengthen the financial regulation of real estate market, the establishment of an effective bank credit information system, diversifying financing channels.