Study On The Impact Of Real Estate Risk On Systemic Financial Risk Based On Volatility Spillover Network

In recent years,Chinese government departments attach great importance to the potential risks brought by real estate financialization.According to the 2018 Government Work Report,"The key to reforming the financial system is to guard against systemic financial risks." The real estate industry is considered to be the biggest "gray rhino" in China’s financial risk at this stage.In China,real estate-related loans account for nearly40% of the total bank loans,while bonds,wealth management,trust and other funds enter the real estate industry in various forms,enhancing risk linkage among financial institutions.The economic crisis caused by subprime real estate loans is still in our mind,and the Evergrande event in 2021 is worth our country’s warning.It is of vital importance to prevent real estate risks and the systemic financial risks caused by them.Therefore,the study of the impact of real estate risk on systemic risk is of great significance to the prevention and control of systemic financial risk.Based on the research results at home and abroad,this paper takes risk spillover as the main research line,and from the static and dynamic perspectives,with the help of network analysis method,makes an in-depth discussion on the spillover of real estate risk to systemic financial risk in China.Firstly,using the data of return volatility of sample industry index and stock price of sample enterprises,the rolling window VAR model based on generalized forecast error variance decomposition was used to calculate the spillover index,and the intensity and direction of risk spillover of Chinese real estate to finance and its sub-industries were thoroughly depicted.Secondly,the spillover index is taken as the link edge,and the threshold method is used to screen the critical path,and the risk spillover network is established.Then the overall network characteristic index and the individual characteristic index are used to analyze the risk spillover characteristics,and the systemically important nodes are effectively identified.The conclusion shows that the industry and enterprise risk spillover networks show the structural characteristics of complete network and small-world network,respectively,and the risk contagion covers a wide range and spreads quickly.For the whole financial industry,the real estate industry is the recipient of its risk spillover.For the sub-industries,the real estate industry only has a positive net risk spillover to the banking sector.The real estate node does not belong to the key nodes in terms of risk transmission channel,distance,importance of neighbor node and intermediary role,while the two nodes of security and bank are of high importance,which indicates that the real estate node,as the initiator of risk,does not have a wide range of direct transmission channels,and its risk transmission is mostly realized through indirect transmission channels between financial institutions.At the same time,it is found that the performance of real estate centrality can be used to predict the trend of real estate spillover index in the next stage,that is,if the performance of real estate centrality is good,the risk spillover index of real estate industry in the next stage will often rise.In the real estate enterprises,ZJ HI-TECH,Poly development and GARDENJOY intermediary role is more obvious.The characteristics of the risk spillover network are affected by the real estate industry’s prosperity,policies and risk events.When the real estate industry’s prosperity is high,policies are loose or risk events occur,the risk spillover network tends to show the characteristics of risk contagion.Finally,according to the research conclusions,this paper puts forward corresponding countermeasures and suggestions for the prevention and control of real estate risk and systemic financial risk in China.