|
|
Contagion Risk between Chinese Banks and
Real Estate Industry from Perspective of External Shocks |
WANG Su-Yang, XIAO Bin-Qing, ZHOU Xiao-Chao |
Nanjing University, Nanjing, China |
|
|
Abstract In this paper, we conduct an empirical study on the possibility of the internal risks and contagion risks in banks and real estate industry with the help of VAR and CD model in Extreme Value Theory. The results indicate that the financial crisis increases the risk in the real estate industry and banks, it was also found out that the crisis significantly increases the contagion risks between the two industries; Moreover, the contagion risk between banks and real estate industry is higher than that between banks and other industries. The paper finally put forward some policymaking suggestions regarding strengthening the ability of risk management.
|
Received: 20 May 2012
|
|
|
|
|
|
|