Research On The Impact Of House Price Fluctuation On The Vulnerability Of Chinese Commercial Banking System

With the further strengthening of economic globalization and financial liberalization,the high degree of economic integration and the financial system's high correlation have promoted the integration and development of countries' economies and the substantial enhancement of financial innovation capabilities.However,the failure of supervision to a certain extent has also led to the continuous accumulation of financial risks and threatened financial stability.The real estate market reform in 1998 promoted the development of the real estate market while stimulating economic growth But behind the economic growth are large fluctuations in housing prices,repeated prohibitions on real estate speculation and the abduction of the real estate market to the economic and financial system.All financial crises since the 20th century have been closely linked to the real estate market and market risks have entered the banking system through credit channels which has led to serious financial crises.The research on financial supervision before the subprime mortgage crisis in 2008 mainly focused on micro-prudential policy supervision.After the crisis,macro-prudential policy supervision developed.At present,China's macro-prudential policy framework is not yet perfect and studying macro-prudential policies is of great significance for improving the financial regulatory framework,regulating the real estate market and maintaining the stability of the financial system.Firstly,this thesis analyzes the current situation of the real estate market,macro-prudential policies and the vulnerability of the commercial banking system;Secondly,this thesis sorts out the relevant theories of housing price fluctuations,macro-prudential policies and the vulnerability of the banking system.The effects of housing price fluctuations on the vulnerability of the banking system and the mechanism of macro-prudential policies are studied in terms of balance sheet effects,asset allocation effects and macro-prudential policy effects.Finally,empirical research is conducted on the basis of theoretical analysis.In terms of data,this thesis selects quarterly data from 2005 to 2019 and uses capital adequacy ratio and loan-to-value ratio as the proxy variables of countercyclical macro-prudential policy and leverage ratio macro-prudential policy.The factor analysis method is used to obtain the vulnerability index of China's commercial banking system.By establishing a time series model of house price volatility index,macro-prudential policy and the vulnerability index of the banking system,empirical research is carried out using methods such as cointegration analysis,Granger causality analysis,and impulse response.The results of the study show that the vulnerability of China's banking system as a whole is declining.In the long run,house price volatility has a positive relationship with the vulnerability of the banking system.Both capital adequacy policies and loan-to-value ratio policies directly affect the vulnerability of the banking system or indirectly affect the vulnerability of the banking system by weakening house price volatility.In the short term,the vulnerability of the banking system has a significant positive impact on itself.Positive housing price fluctuations and tightening of loan-to-value ratio policies can reduce the vulnerability of the banking system,although the increase in the capital adequacy ratio will reduce the banking system.But it will lead to a rise in house prices.Therefore,it is recommended to further innovate the business philosophy of the banking system,establish a long-term mechanism for house price control and build a comprehensive macro-prudential policy system to maintain the stability of the financial system.