期刊
ECONOMIC MODELLING
卷 80, 期 -, 页码 111-120出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.econmod.2018.09.032
关键词
Real estate price; Risk contagion; Financial network; Systemic risk; Banking crisis
类别
资金
- National Natural Science Foundation of China [71701218, 71231005, 71571195, 71771220, 71721001]
- Fok Ying Tung Eduction Foundation for Young Teachers in the Higher Education Institutions of China [151081]
- Guangdong Natural Science Funds for Distinguished Young Scholars [2015A030306040]
- GDUPS
- Fundamental Research Funds for the Central Universities [17wkzd08]
The collapse of real estate prices has historically jeopardized banking stability and triggered systemic banking crises. This paper studies risk contagion in a banking system in real estate price shock by adopting complex network theory. Modelling the real estate-related asset as a common exposure of banks to the real estate market, we propose a model that incorporates two main risk contagion channels, i.e., the financial network and asset fire sales, and reveal how the real estate price shock is transmitted and propagated across banks. We demonstrate that banking stability is highly sensitive to the real estate price shock. Moreover, due to the particularly low liquidity of the real estate market, the asset fire-sales of real estate assets overwhelms the financial network, playing the dominant role in risk contagion. Our model can be adopted by regulators to conduct stress testing and to forge effective risk management strategies.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据