| 动态视角下房地产贷款对银行业系统性风险溢出研究 |
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| 引用本文：龙剑友1，谢 赤1, 2, 3，王威忆晴1, 3，胡扬斌1.动态视角下房地产贷款对银行业系统性风险溢出研究[J].财经理论与实践,2024,(2):112-120 |
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| 中文摘要:基于Credit Metrics模型动态度量房地产贷款信用风险，运用双重ΔCoVaR模型分析框架量化其对单家银行风险的影响，以及对银行业系统性风险的溢出，将总体溢出分解为直接溢出和间接溢出，考量房地产贷款信用风险对银行业系统性风险的传导途径。结果显示：一方面，房地产贷款信用风险近年来整体呈上升趋势，且对银行业风险溢出显著，尤其是大规模债务违约和新冠疫情的爆发加剧了溢出效应。另一方面，房地产贷款信用风险的间接溢出大于直接溢出，且高(低)系统重要性银行产生了更大的间接(直接)溢出，表明高系统重要性银行由于与其他银行的业务联系密切，其贷款信用风险更易引发银行业内的连锁反应从而间接刺激风险爆发；低系统重要性银行因为依赖少数大型客户贷款，面临信用丢失时缺乏强劲的风险缓冲能力，更可能直接对银行业的稳定造成显著破坏。 |
| 中文关键词:房地产贷款 信用风险 银行业系统性风险 风险溢出效应 系统重要性银行 |
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| Spillover of Real Estate Loans on Banking Systemic Risk from a Dynamic Perspective |
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| Abstract:Firstly, the Credit Metrics model is initially employed to dynamically measure the credit risk of REL. Then, its influence on individual banks and its subsequent spillover on banking systemic risk are evaluated under the double ΔCoVaR framework. Finally, the spillover is decomposed into direct and indirect components, allowing for an exploration on the transmission pathways of REL credit risk. The results for systemically important banks (SIB) reveal a consistent upward trend inREL credit risk over recent years, leading to a substantial spillover into the bankingsystem. Notably, the widespread defaults and the COVID-19 pandemic further intensified this spillover effect. Moreover, indirect spillover resulting from REL credit risk predominates over direct spillover. Higher (lower)SIB exhibit larger indirect (direct)spillover. This suggests that higher SIB are more likely to cause chain reactions within the banking systemthrough their close business connections with other banks, indirectly exacerbating risk outbreaks due to their loan credit risks. Lower SIB provide loans to a few large clients, lack substantial risk mitigation against credit losses, thereby presenting a considerable direct risk to the stability of the banking system. |
| keywords:real estate loan credit risk banking systemic risk spillover effect systemically important bank |
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