摘要
针对房地产业与银行业间风险的传染性问题，从债务网络与投资者情绪两个
角度探索了两个行业的风险传染影响。关于债务网络研究，选取我国房地产上市
公司与上市银行间贷款明细数据，将银行分为国有制与股份制两类，分别刻画了
两类银行与房地产业间的债务网络关系图，结果显示：房地产业与银行业之间存
在着复杂的债务网络关系，房地产业对银行业的依赖性强于银行业对房地产业的
依赖性，并且，国有制银行比股份制银行与房地产业的联系更加紧密，这种债务
网络关系成为风险在两行业间传染的路径；并且网络中存在以银行为中心的群落
结构。关于投资者情绪研究，选取房地产与银行业上市公司在贷款明细与重大事
项公告中有重大债务关联的五对样本，对房地产和银行的投资者情绪与其股票风
险建立向量自回归风险价值组合模型，结合脉冲响应分析结果表明：房地产投资
者情绪的波动对银行股票风险的影响具有滞后性，但银行投资者情绪并没有对房
地产股票风险产生显著影响；房地产业股票风险变化加大了银行业投资者情绪波
动，但房地产投资者情绪对银行股票风险并没有识别性。房地产投资者情绪对银
行股票风险的影响与房地产股票风险对银行投资者情绪的影响均具有短时性和
不稳定性。同时，房地产股票风险与银行股票风险间表现出显著的共生性。最后
结合研究结果提出相关建议

关键词：房地产业，银行业，风险传染，债务网络，投资者情绪III
ABSTRACT
Focus on the question of risk Contagion in real estate and banking industry, the
paper explores the effects of the risk Contagion between two industries from two
perspectives: the debt network and investor sentiment. On the research of debt
network, we seclet loan detail data of listed companies in real estate and banking
industry. The band is divided into two categories: state-owned banks and joint-stock
banks. We depict the debt network drawing in real estate and banking industry
separately. The results show: there is complex debt network in real estate and banking
industry, and real estate depends on banking industry much stronger. State-owned
banks contacts with real estate stronger than joint-stock banks. The debt network is
the path of risk Contagion between two industries. There are community structures
centering on banks in the debt network. On the research of investor sentiment, we
select 5 pair of listed companies in real estate and banking industry. The matched
companies are based on the tight loan relation from the information of loan detail data
and major event reports. The value at risk is calculate for each listed company and the
VAR-VaR combined model is set up. With the impulse responses analysis, the results
show: the fluctuation of investor sentiment in real estate effects stock risk in banking
industry with a lag, but the investor sentiment in banking industry has not significant
influence on stock risk in real estate. The changes of stock risk in real estate lead to
the fluctuation of investor sentiment in banking industry, but investor sentiment in real
estate on stock risk in banking industry without identification. The effects of investor
sentiment in real estate on stock risk in banking industry and stock risk in real estate
on investor sentiment in banking industry have short time and instability nature.
While stock risk between real estate and banking industry shows significant symbiotic.
Finally combining the results of the study puts forward related suggestions.
KEY WORDS：Real Estate, Banking, Risk Contagion, Debt Network, Investor
SentimentV
目录
摘要........I
ABSTRACT .....V
第 1 章 绪论......1
1.1 研究背景...........1
1.2 研究目的和意义...........3
1.2.1 研究目的.3
1.2.2 研究意义.3
1.3 研究内容与研究方法...4
1.4 研究创新点.......5
第 2 章 国内外研究综述..........7
2.1 基于债务网络的银行业与房地产业间风险传染研究综述...7
2.2 基于投资者情绪的银行业与房地产业间风险传染研究综述...........8
2.3 国内外研究现状评述.10
第 3 章 房地产与银行间的债务网络关系分析 .......13
3.1 房地产业与银行间债务关系的总体趋势分析.........13
3.2 房地产业与银行间贷款明细.15
3.3 房地产上市公司与银行的债务网络关系图.17
3.4 债务网络关系图的测度分析.22
3.4.1 网络密度的测度...........23
3.4.2 可达性测度.......24
3.4.3 聚类系数测度...24
3.4.4 中心性测度.......25
第 4 章 房地产与银行间投资者情绪与风险传染性实证研究 .......29
4.1 理论分析与研究假设.29
4.2 研究方法.........30
4.2.1 样本选取...........30
4.2.2 数据处理...........31
4.2.3 向量自回归模型...........33
4.3 实证分析.........34
4.3.1 描述统计...........34VI
4.3.2VAR 模型...........35
第 5 章 结束语45
5.1 结论.....45
5.2 对策建议.........46
5.3 研究不足与进一步研究方向.47
参考文献..........49
发表论文和参加科研情况说明..........53
致谢......55第 1 章 绪论第 1 章 绪论
1.1 研究背景
自上世纪七十年代以来，金融全球化进入到一个全新的飞速发展的时期，无
论是发达国家或是发展中国家，金融自由化的浪潮都在一定程度上刺激了银行业
务的急剧膨胀，同时带动了各行业的发展。然而不可忽视的是，银行系统风险以
及风险的传染性也随之产生壮大，成为社会经济持续繁荣的一大障碍

2007 年爆发于美国的次贷危机是一次继大萧条以来最严重的世界性经济灾
难，从雷曼兄弟公司破产开始，美国在 2008 年至 2009 年间，倒闭银行数量高达
160 多家，约为 2003 年至 2007 年倒闭银行数量的 15 倍。连一些很少在经济领
域露面的经济体也深受其害。在多米诺骨牌的效应下，此次危机成为了一场席卷
全球的经济衰退，对国际金融秩序和实体经济造成了无法弥补的破坏。然而令人
震惊的是，美国次级住房抵押贷款的集中违约是这次危机的一个重要诱因

自 1978 年改革开放以来，我国的经济得到了飞
。。。以上简介无排版格式，详细内容请下载查看