Research On Risk Spillover Effects From Real Estate To Banking Based On Covar Model

In China, real estate has become the pillar industry of the national economy. For the real estate credit business of domestic commercial banks develops fast and its proportion in the financial institutions credit business gradually increases, the risk of banking and real estate is slowly gathering, which has drawn increasing attention in the banking sector. So quantitative research on the banking and real estate risk spillovers has a very important significance on China’s real estate finance theory and real estate risk control of commercial banking.At present, the articles about impact from real estate to banking sector collected in the relations of real estate price, bank credit and bank stability, but few studies on banking risk spillover from real estate. We use CoVaR model to measure the risk spillover from real estate to every listed banks and the banking when the real estate crisises. Specifically, the first chapter describes the background and significance of the risk spillover effect and summarizes the existing research result; The second chapter introduces the risk spillover theory and provides a theoretical basis for using CoVaR method; The third chapter uses CoVaR to study the risk spillover from real estate to banking, we choose the data since the financial crisis to measure the risk spillover from real estate to every listed banks and the banking; Chapter Ⅳ compares the risk spillover from real estate to banking since the financial crisis and studies the changes of risk spillover after the crisis, and gives the situation of the last two years; The fifth chapter summarizes the previous chapters, and presents research prospect.