四川大学硕士学位论文
机，房地产业给金融系统带来的损失比自身最大损失还要大。第二，房地产业
遭受最大损失时，房地产业对系统性金融风险贡献程度达到了 52%左右。这个
比例相当的高，说明房地产业一旦发生巨幅的价格波动，其对金融系统的资产
价格波动影响程度占了较大比重。第三，中国恒大集团和融创中国集团的自身
风险值最大，表明这两家集团自身风险防控能力较弱。中国海外发展投资集团
的 VaR值最小，表明其风险防控能力最强。龙湖集团和华润置地集团对金融系
统风险的贡献度最大，达到了 8%左右。
最后，针对本文所研究的问题，给出相对应的建议：房地产业要建立健全
调控机制、完善土地政策、建立风险预警机制，同时防范重大金融风险、进行
金融监管纠错，推动改革创新。
关键词：房地产业风险 系统性金融风险 GARCH-CoVaR模型
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四川大学硕士学位论文
Study on systemic financial risk of real estate
industry in China
Major：Finance
Postgr aduate：Guo Siyu
Super visor：Ma Degong
Abstr act：In 2021， the NPC and CPPCC once again mentioned real estate，
insisting on "houses are for living in， not for speculation" should be strictly
checked. In the voice of local NPC and CPPCC this year， many local governments
also reiterated that "houses are for living in， not for speculation， and promote the
stable and healthy development of the real estate market". Since the central
economic work conference in 2016， the target of local regulatory policies has
remained almost unchanged， showing consistency and continuity， and also
conveying the determination of regulators to implement the policy. It can be seen
that stabilizing housing prices， preventing and defusing major real estate risks is
still the current important goal.
In China， houses have both residential properties and investment properties，
and the real estate industry has a high degree of correlation with other industries，
especially with the banking industry. Once the real estate price fluctuates greatly and
the real estate bubble bursts， the credit assets of the banking industry with a high
degree of correlation will also be affected. However， China's financial structure is
dominated by the bank. Once the risk of the banking industry breaks out， it will
affect the whole financial market and eventually lead to the financial crisis. It can be
seen that the risks of the real estate industry will not only affect itself， but also
affect other industries， so it is particularly important to study the risk spillover
effect of the real estate industry on the financial system.
Based on the risk spillover theory and risk contagion theory, this paper
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四川大学硕士学位论文
combines the real estate systemic financial risk measurement theory to measure the
systemic financial risk of the real estate industry. Through constructing
GARCH-CoVaR model to measure the systemic financial risk of real estate industry.
First, the value at risk method (VaR) is used to measure the real estate's own risk,
and specific values are used to describe the level of real estate's own risk. However,
the value at risk method can only measure the risk of a single institution or industry,
and cannot specifically measure the impact of a single institution or industry risk on
other institutions or industry risks after the outbreak, so this article uses the
conditional value at risk method (CoVaR) to measure specifically Systemic financial
risks in the real estate industry. Analyze to what extent the real estate industry risk
outbreak can contribute to the financial system risk outbreak.
The research results of this paper show that: First, from the perspective of the
overall industry, the real estate industry's own risk (VaR) in my country is less than
the real estate industry's systemic financial risk (CoVaR). Greater than its own
maximum loss. Second, when the real estate industry suffered the greatest loss, the
contribution of the real estate industry to systemic financial risks reached about 52%.
This proportion is quite high, indicating that once huge price fluctuations occur in
the real estate industry, its impact on asset price fluctuations in the financial system
takes up a relatively large proportion. Third, China Evergrande Group and Sunac
China Group have the largest risk value, indicating that these two groups have
weaker risk prevention and control capabilities. The VaR value of China Overseas
Development Investment Group is the smallest, indicating that it has the strongest
risk prevention and control capabilities. Longfor Group and China Resources Land
Group contributed the most to financial system risk, reaching about 8%.
Finally, in response to the problems studied in this article, corresponding
suggestions are given: the real estate industry must establish a sound control
mechanism, improve land policies, and establish a risk warning mechanism, while
preventing major financial risks, correcting financial supervision, and promoting
reform and innovation.
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