关键词: 房价波动, 银行风险承担, 金融摩擦, 动态随机一般均衡, TVP-SV-BVAR

Abstract: We build a heterogeneous multi sectoral Dynamic Stochastic General Equilibrium (DSGE) model containing financial frictions to study the dynamic transmission mechanism of house price volatility to bank risk exposure. We find that rising housing prices increase bank risk exposure and adversely affect financial stability. Financial friction tightens the liquidity constraints and risk exposure of the bank through balance sheets, and also amplifies the dynamic transmission effect of real estate market fluctuations to financial markets. We further select the TVP-SV-BVAR model to make empirical analysis at different time points and periods. We then find that the dynamic transmission and feedback effects of house price fluctuations on bank risk exposure are inconsistent at different time points and different periods. Therefore the linkage effect between real estate and financial market is time varying. This paper not only provides a normative analytical framework to clarify the transmission mechanism of house price fluctuations affecting bank risk exposure, but also provides inspiration for policy making authorities to select appropriate policies under different economic backgrounds to effectively reduce real estate market volatility and maintain financial market stability.

Key words: House Price Fluctuations, Bank Risk Exposure, Financial Frictions, Dynamic Stochastic General Equilibrium, TVP-SV-BVAR