The Risk Spillover Effects of the Real Estate Industry on the Financial Industry
A GARCH-Time-Varying-Copula-CoVaR Approach on China
Bibliographic Data
| ID | 3474080 |
|---|---|
| Authors | Yunsong Xu (0000-0003-3611-1872, Beijing Language and Culture University, corresponding author), Hanying Qi (0000-0002-5762-9024, Zhejiang University of Finance and Economics), Jiaqi Li (0000-0001-8198-5160, Central University of Finance and Economics), Ning Ding (0000-0002-2238-598X, Fengbang Financial Leasing (Shanghai) Co., Ltd, China), Nianhui Ding (0009-0005-5310-5257) |
| Year | 2021 |
| Volume | 11 |
| Issue | 4 |
| Publication date | 2021-10-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | SAGE Open (JOURNAL) |
| Journal identifiers | ISSN: 2158-2440 • E-ISSN: 2158-2440 |
| Publisher | SAGE Publications Inc (PUBLISHER) |
| DOI | 10.1177/21582440211067226 |
| OpenAlex | W4200346478 |
| Language | EN |
| Citations received | 3 |
| References cited | 17 |
This paper analyzes the multiple transmission mechanisms of the real estate industry's risk spillovers to the financial industry. A GARCH-time-varying-copula-CoVaR model is used to measure the spillover effects and dynamic evolution trends of risk in the Chinese real estate industry. The results show that (1) in recent years, the risk spillovers from the real estate industry to the whole financial industry in China has been relatively high, and the possibility of systemic risks has increased. (2) The channel of the risk spillovers of the real estate industry into the financial industry has shifted from being concentrated within a traditional single banking industry to the accumulation and superposition of risk across the banking, securities, trust industries. (3) Current regulations have not fundamentally mitigated the risk spillovers. As such, this paper proposes three suggestions on financial policies and regulations: firstly, the government should reasonably regulate cooperation between the real estate industry and the financial industry, curb excessive speculation and abnormal fluctuations in real estate prices. Secondly, the government should maintain the continuity of regulatory policies, formulate differentiated policies according to the essential attributes of given industries, and eliminate risk contagion among the real estate industry and financial industries. Thirdly, the government should improve the macro prudential management framework
Actuarial science · Business · Economics · Financial crisis · Financial economics · Financial services · Insurance industry · Macroeconomics · Real estate · Real estate investment trust · Spillover effect · Systemic risk · Credit Risk and Financial Regulations · Financial Risk and Volatility Modeling · Housing Market and Economics · Finance
| Unique citing works | 3 |
|---|---|
| Citations per year | 1 |
| Citation span | 2023 - 2024 (2) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 3 |