基于房地产市场的我国系统性金融风险测度与预警研究  

Research on the Measurement and Early Warning of Real Estate Market Based Systemic Financial Risk in China

作　　者：白鹤祥 刘社芳[2] 罗小伟 刘蕾蕾 郝威亚 BAI Hexiang;LIU Shefang;LUO Xiaowei;LIU Leilei;HAO Weiya(Guangzhou Branch,the People's Bank of China;Xi'an Branch,the People's Bank of China;Business Management Department of Xi'an Branch,the People's Bank of China)

机构地区：[1]中国人民银行广州分行,广东广州510120 [2]中国人民银行西安分行,陕西西安710075 [3]中国人民银行西安分行营业管理部,陕西西安710004

出　　处：《金融研究》2020年第8期54-73,共20页Journal of Financial Research

摘　　要：本文阐释了基于房地产市场的系统性金融风险形成机制,据此建立了分阶段、跨部门的房地产市场的系统性金融风险网络模型,并运用2006-2017年16家上市银行数据,分析和测度了我国房价大幅下跌所引发的系统性金融风险水平和结构,构建了基于房地产市场的系统性金融风险预警指标并进行测算。研究发现:在房价下跌30%的压力情景下,我国金融体系的潜在总损失总体呈级数式上升,年均增长22.70%;基于房地产市场的系统性金融风险值(SR)呈现先上升后波动下降的总体趋势;系统性金融风险(SR)的脆弱性指标(FLI)整体呈现波浪式振荡变化,且与房地产贷款/权益整体呈反向变动,系统性金融风险(SR)的传染性指标(CTI)在2012-2017年呈持续下降趋势,且与金融市场压力指数、金融机构间资产占总资产比重呈现出高度的一致性变化趋势。最后,基于房地产市场的系统性金融风险预警指标(SRWI)值呈收敛式振荡走势,表明基于房地产市场的系统性金融风险总体可控且呈收敛式下降。The historical experience of global economic operations demonstrates that housing price and real estate credit are key factors affecting financial stability.With China's real estate market developing rapidly and housing prices increasing continuously in recent years,real estate credit in China has expanded too quickly.This has caused significant risk to the financial system.This paper describes the mechanism though which systemic financial risk based on the real estate market forms and establishes a phased and cross-sector network model to characterize it.The risk formation process is divided into three stages.The first stage is the risk accumulation stage.The second stage is the risk spillover stage.Financial risk spills over from real estate companies,the residential sector and non-real estate companies and the government sector to the financial sector,respectively.The third stage is the risk contagion stage.This paper constructs a systemic financial risk network model.In this model,if housing prices decrease significantly,the total loss,which causes systemic risk,consists of the default loss of financial institutions and the contagion loss of the financial system.The default loss is caused by the bankruptcy of real estate companies,foreclosures in the residential sector,the default of other real estate mortgage companies and the local government's default on its debt due to the reduction of income from land.The contagion loss includes the total asset loss of the financial system caused by the bankruptcy of financial institutions,the liquidity run loss among financial institutions and the asset sell-off loss for active deleverage.Based on the above model,this paper constructs a systemic financial measurement indicator(SR)and two structural indicators(a fragility indicator and a contagion indicator).Using data from 16 listed commercial banks between 2006 and 2017,it also studies the level and structure of systemic financial risk triggered by steep reductions in housing prices.Furthermore,it constructs early-warn

关 键 词：房地产市场 系统性金融风险 风险预警 网络模型 

分 类 号：F299.23[经济管理—国民经济] F832