异质性房地产冲击对银行业系统性风险的溢出效应  

The Spillover Effect of Heterogeneous Real Estate Shocks on Banking Sector Systemic Risk

作　　者：侯宇峰 徐晓光[1] HOU Yufeng;XU Xiaoguang(College of Economics,Shenzhen University)

机构地区：[1]深圳大学经济学院

出　　处：《金融市场研究》2025年第1期125-139,共15页Financial Market Research

摘　　要：基于双重ΔCoVaR模型,从风险贡献和风险敞口两个方面,考察我国房地产市场对银行业的净风险溢出效应,分析不同房地产冲击下银行系统重要性和脆弱性的截面与时序特征,并实证分析影响净风险溢出效应的驱动因子。研究结果显示:异质性房地产冲击对银行金融机构的净风险溢出效应显著,相较于房贷冲击,房价冲击的净风险溢出作用更为明显。在截面维度,房地产冲击下银行净风险贡献与净风险敞口存在明显错配,国有大型银行起到“稳定器”的作用,而中小型银行更多担任“放大器”的角色。在时间维度,不同房地产冲击对银行业净风险溢出效应的时序走势存在差异。房地产价格净风险贡献与敞口之间存在显著的负相关关系,而房地产贷款净风险贡献与敞口之间表现出明显的协同性。此外,银行信贷扩张是房地产风险传染外溢至银行业系统的关键,银行间直接关联网络和间接关联网络分别对房地产价格、房地产贷款的净风险溢出效应起驱动作用。宏观审慎政策工具可以有效抑制房地产风险在特定渠道下对银行业系统的净风险外溢。Based on the doubleΔCoVaR model,this paper examines the net risk spillover effect of China's real estate market on the banking sector in terms of risk contribution and risk exposure.It reviews the vulnerabilities of the banking system to different real estate shocks,making its assessments from cross-sectional and time-series perspectives.Results show that the net risk spillover effect of heterogeneous real estate shocks on banks is significant,and the risk spillover effect of house price shocks is more obvious compared to mortgage shocks.In the cross-section dimension,there is a clear mismatch between the net risk contribution and net exposure of banks to real estate shocks,with large state-owned banks acting as''stabilizers''and small and medium-sized banks acting as''amplifiers''.In the time dimension,there are differences in the time-series trends of the net risk spillover effects of different real estate shocks on the banking sector.There is a significant negative correlation between the net risk contribution of real estate prices and exposures,while the net risk contribution of real estate loans and exposures show significant synergies.In addition,bank credit expansion is key to the spillover of real estate risk contagion into the banking system,with direct and indirect interbank correlation networks driving the net risk spillover effects of real estate prices and real estate loans,respectively.The study also concludes that macroprudential policy tools can be effective in curbing the net risk spillover of real estate risk to the banking system under specific channels.

关 键 词：房地产市场 银行业系统性风险 风险溢出效应 风险驱动因子 

分 类 号：F299.23[经济管理—国民经济] F832.3