Research on the Risk Spillover Effects in the Chinese Financial-Real Estate System
This study introduced a risk cascading contagion network model and proved that the sufficient and necessary condition for node risk convergence as the number of contagion rounds approaches infinity is that the modulus of the eigenvalues of the risk transmission matrix is less than 1.In empirical research,this study constructed a real estate-financial system risk contagion network in China based on publicly available stock market data.The results indicated that:(1)From 2010 to 2022,the overall intensity of risk contagion has been continuously increasing within fluctuations,with the real estate industry being the largest source of systemic risk.(2)Real estate exhibits category and spatial heterogeneity in terms of spillover risk to banks.(3)Node importance scores follow a power-law distribution.
systemic risktail riskcomplex networksgranger causality testreal estate industry
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