Asset Price Bubbles and Financial Stability——Empirical Research Based on QVAR-DY
This paper uses BSADF method to measure the bubble level of China's stock market and housing market,and constructs China's financial stability index through TVP-FAVAR model,and then analyzes the heterogeneous spillover effect of stock market bubble and housing market bubble on financial stability through QVAR-DY model.The research finds that:asset bubble has significant spillover effects on financial stability,and there is contagion among the bubbles in Shanghai Stock Exchange,Shenzhen Stock Exchange and the housing market;in the low quantile,the spillover effect of the stock market bubble on financial stability is greater than that of the housing market bubble,with the negative impact of the Shanghai stock market bubble being larger than that of the Shenzhen stock market bubble;in the high quantile,the spillover effect of the housing market bubble on financial stability is greater than that of the stock market bubble.
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