摘 要

Abstract II

第1章 绪论 1

1.1 研究背景和意义 1

1.1.1研究背景 1

1.1.2研究意义 1

1.2 国内外文献综述 1

1.2.1 有关我国房地产市场的文献综述 1

1.2.2 有关银行系统性风险的文献综述 2

1.2.3 有关房地产市场对银行系统性风险影响的文献综述 3

1.3研究思路与研究内容 3

1.3.1研究思路 3

1.3.2研究内容 4

1.4研究方法和技术路线 4

1.4.1研究方法 4

1.4.2技术路线 4

1.5研究创新点与不足 5

1.5.1研究创新点 5

1.5.2不足之处 5

2.1我国房地产市场现状 6

2.1.1房价不断大幅攀升 6

2.1.2区域差异明显 6

2.1.3 房地产市场自身问题 6

2.1.4融资增加，融资结构调整 7

2.2我国银行系统性风险分析 7

2.2.1银行系统性风险定义 7

2.2.2我国银行系统性风险分析 7

2.3房地产市场对银行系统性风险的影响途径分析 9

2.3.1房地产贷款对银行系统性风险的影响渠道 9

2.3.2房价经由宏观经济渠道对银行系统性风险的影响 10

2.2.3房价经由证券市场渠道对银行系统性风险的影响 11

第3章 我国银行系统性风险的衡量 12

3.1指标设计 12

3.2指标构建 12

3.3我国银行系统性风险测度 14

3.3.1样本选取 14

3.3.2数据处理 14

3.3.3银行系统性风险的测度 15

第4章 我国房地产市场对银行系统性风险影响的实证分析 21

4.1变量选取 21

4.2平稳性检验 21

4.3构建VAR模型 21

4.3.1协整检验 22

4.3.2VAR模型 22

4.4脉冲响应分析 23

第5章 结论与建议 26

5.1结论 26

5.2建议 26

5.2.1宏观经济层面 26

5.2.2房地产市场层面 27

5.2.3银行体系层面 27

参考文献 28

附录 30

附表A：我国银行系统性风险评价指标的初始值(1995年—2014年) 30

附表B：我国房地产贷款和房价的初始值(1995年—2013年) 33

致 谢 34

摘要

无论是在国内还是国际，对于银行系统性风险的研究从未间断。无论是银行本身，还是整个金融体系甚至是实体经济，都对银行系统性风险都有关注，这样的关注在2008年金融危机之后达到了一个相当高的程度，我国亦是如此。起步晚，发展快，问题多，这是我国房地产市场的真实写照。而我国房地产市场与银行之间又有着千丝万缕的关系，房地产市场所存在的泡沫化倾向等问题对于银行系统性风险而言是莫大的威胁。因此探讨我国房地产市场对银行系统性风险的影响是很有必要的，这也是本文的出发点。

在研究过程中，本文首先通过大量阅读，完成对相关理论的梳理和归纳，接着在此基础上，利用主成分分析法，完成对银行系统性风险指标体系的构建，从而完成了对我国银行在1995-2014年20年间的系统性风险的测度。最后在进行实证分析时，利用VAR模型、脉冲响应分析等方法，定性与定量相结合，基于房地产贷款和房价两个层面对我国房地产市场与银行系统性风险之间的关联性进行了分析。

实证结果表明:第一，房地产贷款与房价之间存在一定程度的正向影响关系。房地产贷款的增加会刺激房价的上涨，房价的上涨也会刺激房地产贷款的增加。第二，房地产贷款和房价与银行系统性风险存在正向影响关系。房地产贷款的增加和房价的上涨会带来银行系统性风险的降低。并据此从宏观经济、房地产市场与银行体系三个方面提出建议以尽量降低银行系统性风险，保证我国经济的持续健康发展。

关键词：房地产;房地产贷款;房价;银行系统性风险

Abstract

Whether at home or internationally, the study of banking systemic risk has never stopped.The bank itself, the entire financial system and the real economy, are concerned about the systemic risk of banks, such concerns in the 2008 financial crisis reached a new level, so does China. The rapid development leaves many problems unsolved in China's real estate market. Also, China's real estate market and the banks are inextricably linked with each other, between the bubbles in the real estate market and other issues tend to increase the the banking system risk. Therefore, it is necessary to explore the impact of China's real estate market on the systemic risk of banks, which is also the motivation of this paper.

In the process of research, the author first comb and summarize the relevant theories through a large number of reading , and then completes the construction of the systematic risk index system of the bank by the principal component analysis method, as well as as the Measurement of systemic risk between 1995 and 2014. Finally, based on the combination of VAR model and impulse response analysis, this paper analyzes the relationship between real estate market and bank system risk based on real estate loan and house price.

The empirical results show that: First, there is a positive correlation between the real estate loans and house prices. The increase in real estate loans will stimulate the rise in house prices, housing prices will stimulate the increase in real estate loans. Second,there is a positive impact between the real estate loans and house prices and the systemic risk of banking . The increase in real estate loans and rising house prices will lead to a reduction in systemic risk. And offer suggestions from the prospective of macroeconomic, real estate market and the banking system to minimize the systemic risk of banks,and finally ensure the sustainable and healthy development of China's economy.