结构性去杠杆与中国房地产金融业波动溢出风险:促进还是抑制?  

Structural Deleveraging and the Volatility Spillover Risk in China’s Real Estate Financial Industry:Promotion or Repression?

作　　者：郭文伟 朱洪进 马晓文 GUO Wen-wei;ZHU Hong-jin;MA Xiao-wen(School of Finance,Guangdong University of Finance and Economics,Guangzhou 510320,China)

机构地区：[1]广东财经大学金融学院,广州510320

出　　处：《云南财经大学学报》2022年第1期40-58,共19页Journal of Yunnan University of Finance and Economics

基　　金：国家社会科学基金项目“房价泡沫空间溢出对区域金融风险的影响机制和防范研究”(19BJY244)。

摘　　要：基于广义方差分解的动态波动溢出指数法,测度中国9个房地产金融子行业在2011—2020年的波动溢出风险,并分析部门杠杆、宏观经济政策等因素对房地产金融业波动溢出风险的影响效应及行业异质性。研究发现:第一,中国房地产金融业总体波动溢出风险自2019年以来持续上升至较高水平。房地产业对金融业的波动溢出风险明显大于金融业对房地产业的波动溢出风险;房地产金融各子行业的双向波动溢出风险存在非对称性。第二,各部门杠杆对房地产金融波动溢出风险的影响存在明显差异。金融部门和政府部门杠杆显著促进房地产金融总体波动溢出风险和行业双向溢出风险,而非金融部门杠杆则表现为显著抑制。第三,房地产金融业波动溢出风险存在明显的货币政策顺周期特征。The dynamic volatility spillover index method based on generalized variance decomposition is used to measure the volatility spillover risk of nine real estate financial sub-industries in China from 2011 to 2020. The impact of departmental leverage, macroeconomic policies and other factors on the volatility spillover risk of real estate financial industry and the industrial heterogeneity are analyzed. The results shows the following conclusions: First, the overall volatility spillover risk of real estate financial industry has continued to rise to a relatively high level of risk since 2019. The volatility spillover risk of the real estate industry to the financial industry is significantly greater than that of the financial industry to the real estate industry;there is obvious asymmetry in the two-way volatility spillover risk of each sub-industry of real estate finance. Second, there are obvious differences in the impact of various departments’ leverage on the volatility spillover risk of real estate finance. The leverages of financial sectors and government sectors significantly promote the overall volatility spillover risk of real estate finance and the two-way industrial spillover risk. Leverage of the non-financial corporate sector significantly curbs the two risks. Third, the volatility spillover risk of real estate finance has obvious pro-cyclical characteristics of monetary policy.

关 键 词：结构性去杠杆 房地产金融业 波动溢出 

分 类 号：F832.5[经济管理—金融学]