Journal
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
Volume 36, Issue -, Pages 52-72Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ribaf.2015.09.018
Keywords
IO analysis; Default likelihood; Financial linkages; DAG; Structural VAR
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International experience points to the critical role of stable property markets in maintaining financial stability. This paper investigates the real and financial linkages between real estate sector and other sectors. The real linkage based on input-output analysis shows that the linkages have strengthened. The financial linkages in terms of credit risk spillovers across sectors are studied by using DAG method and SVAR. We find that that credit risk in the real estate sector has large-scale spillover effects onto other sectors. Consequently, shocks to the property market could have much larger impact on the Chinese economy than suggested by headline figures. (C) 2015 Elsevier B.V. All rights reserved.
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