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基于次贷危机的启示,本文构建了在不同的金融发展程度下房地产价格波动对商业银行资产影响的理论模型,并在此基础上对中国的现状进行分析,指出当前对中国的影响主要集中于商业银行基于负债业务发放的贷款领域。进一步地,利用向量自回归模型(VAR)及冲击响应函数对中国房地产价格波动对商业银行贷款的影响进行了实证检验。研究表明:金融创新改变了房地产价格波动对商业银行资产的影响模式;中国房价波动对商业银行资产的影响主要集中在源于银行负债发放的贷款领域,但总体影响有限;中国应加快发展银行资产证券化业务,谨慎发展信用衍生产品。
Based on the revelation of subprime mortgage crisis, this paper constructs a theoretical model of the impact of real estate price volatility on commercial bank assets under different levels of financial development, and based on this, analyzes the current situation in China and points out that the current impact on China mainly focuses on Commercial banks issue loans based on debt business. Further, we use the vector autoregressive model (VAR) and impulse response function to test the impact of real estate price fluctuations on commercial bank loans in China. The research shows that financial innovation has changed the impact of real estate price fluctuations on the assets of commercial banks. The impact of China’s housing price volatility on commercial banks’ assets mainly comes from the loan areas where bank liabilities are issued, but the overall impact is limited. China should speed up the development of bank assets Securitization business, prudent development of credit derivatives.