Abstract：Financial crisis has made tremendous influence on the global financial system. Therefore, researchers of different countries have begun to investigate in depth the information expressed by the relationship between real estate department and financial system, and pondered over the solution. This paper primarily analyzed the mechanism and conductive process of risk spillovers of real estate market upon financial system, in the perspective of fluctuation of capital price. On this basis, this paper introduced the model of AR-GARCH-CoVaR to estimate the effect of risk spillovers of real estate market upon financial system in China for the first time. The study suggested that: Real estate, as the second largest bank investment industry following manufacture, accounts for around 20% of total loans of bank, which contains equal risk to that of financial system. Department of real estate appears procyclicality in the risk spillover effect of financial system, which comes to the consequence that risk spillover effect of real estate is larger in 2008 global financial crisis than it is in 2010 economy recovery.
刘向丽, 顾舒婷. 房地产对金融体系风险溢出效应研究——基于AR-GARCH-CoVaR方法[J]. 系统工程理论与实践, 2014, 34(s1): 106-111.
LIU Xiang-li, GU Shu-ting. Research on risk spillovers from the real estate department to financial system based on AR-GARCH-CoVaR. Systems Engineering - Theory & Practice, 2014, 34(s1): 106-111.
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