【摘要】：由美國(guó)次貸危機(jī)引發(fā)的國(guó)際金融危機(jī)對(duì)國(guó)際金融業(yè)和宏觀經(jīng)濟(jì)造成了極大的沖擊，歐美各國(guó)監(jiān)管當(dāng)局深刻意識(shí)到了系統(tǒng)性風(fēng)險(xiǎn)巨大的破壞力，防范銀行系統(tǒng)性風(fēng)險(xiǎn)成為后金融危機(jī)時(shí)代各國(guó)理論界和監(jiān)管當(dāng)局關(guān)注的焦點(diǎn)問題。本文的研究目的在于探討我國(guó)房地產(chǎn)金融業(yè)可能存在的系統(tǒng)性風(fēng)險(xiǎn)，以及如何通過實(shí)施有效的房地產(chǎn)金融監(jiān)管來抑制這一風(fēng)險(xiǎn)。本文首先概述了房地產(chǎn)金融監(jiān)管與銀行系統(tǒng)性風(fēng)險(xiǎn)的相關(guān)理論；并分析了當(dāng)前我國(guó)房地產(chǎn)市場(chǎng)運(yùn)行的基本特征：房地產(chǎn)開發(fā)投資規(guī)模和房?jī)r(jià)增長(zhǎng)過快，，且房地產(chǎn)業(yè)對(duì)金融業(yè)的依賴程度加深。由于近幾年我國(guó)房地產(chǎn)市場(chǎng)投機(jī)氛圍嚴(yán)重，房?jī)r(jià)缺乏剛性需求的支撐，房地產(chǎn)市場(chǎng)存在房?jī)r(jià)泡沫破滅的風(fēng)險(xiǎn)，并可能將系統(tǒng)性風(fēng)險(xiǎn)傳導(dǎo)給銀行業(yè)。 本文結(jié)合我國(guó)實(shí)際分析了可能引發(fā)我國(guó)銀行系統(tǒng)性風(fēng)險(xiǎn)的宏觀沖擊因素—房?jī)r(jià)、股價(jià)、匯率、利率和GDP，進(jìn)而通過Logit轉(zhuǎn)換、VAR分析以及情景壓力測(cè)試，得出房?jī)r(jià)波動(dòng)相對(duì)其他宏觀經(jīng)濟(jì)因素最有可能引發(fā)銀行系統(tǒng)性風(fēng)險(xiǎn)這一結(jié)論，證明了房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)和銀行系統(tǒng)性風(fēng)險(xiǎn)間具有很強(qiáng)的關(guān)聯(lián)性�；诖耍疚奶岢鰪姆康禺a(chǎn)金融監(jiān)管的角度來控制和防范房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)，以達(dá)到防范銀行系統(tǒng)性風(fēng)險(xiǎn)的目的。本文通過Granger因果檢驗(yàn)證明了通過控制房地產(chǎn)貸款等金融監(jiān)管手段防范銀行系統(tǒng)性風(fēng)險(xiǎn)具有可行性。 本文分析了我國(guó)現(xiàn)有房地產(chǎn)金融監(jiān)管制度的缺陷，并以防范銀行系統(tǒng)性風(fēng)險(xiǎn)為目標(biāo)，提出了完善我國(guó)房地產(chǎn)金融監(jiān)管制度的相關(guān)建議。首先要重視房地產(chǎn)金融監(jiān)管的指標(biāo)化要求并引入逆周期監(jiān)管措施；其次應(yīng)強(qiáng)化房地產(chǎn)金融監(jiān)管的責(zé)任制，這需要明確房地產(chǎn)金融的監(jiān)管主體及其職責(zé)范圍；三是建立房地產(chǎn)金融監(jiān)管的預(yù)警制度，并將宏觀壓力測(cè)試作為房地產(chǎn)金融監(jiān)管的重要工具。
[Abstract]:The international financial crisis caused by the subprime mortgage crisis in the United States has had a great impact on the international financial industry and the macroeconomic. The regulatory authorities in Europe and the United States have been deeply aware of the great destructive power of systemic risks. The prevention of bank systemic risk has become the focus of attention of the theorists and regulators in the post-financial crisis era. The purpose of this paper is to discuss the possible systemic risk in China's real estate finance industry and how to restrain the risk by implementing effective real estate financial supervision. This paper first summarizes the real estate financial supervision and banking systemic risk related theory; The paper also analyzes the basic characteristics of the real estate market in our country at present: the investment scale of real estate development and housing price increase too fast, and the dependence of real estate industry on the financial industry is deepened. Because of the serious speculative atmosphere in China's real estate market in recent years and the lack of rigid demand for housing prices, the real estate market has the risk of housing price bubble burst, and may transmit the systemic risk to the banking industry. This paper analyzes the macro impact factors that may trigger the systemic risk of Chinese banks-house price, stock price, exchange rate, interest rate and GDP, through Logit conversion, VAR analysis and situational stress test. The conclusion that the fluctuation of house price is the most likely to lead to systemic risk of bank is relative to other macroeconomic factors, which proves that there is a strong correlation between the risk of real estate market and the systemic risk of bank. Based on this, this paper puts forward to control and guard against the real estate market risk from the angle of real estate financial supervision, in order to achieve the purpose of guarding against bank systemic risk. Through Granger causality test, this paper proves that it is feasible to prevent bank systemic risk by controlling financial supervision such as real estate loan. This paper analyzes the defects of the existing real estate financial supervision system in China, and puts forward some relevant suggestions to perfect the real estate financial supervision system in China, aiming at preventing the systemic risks of the banks. First of all, we should pay attention to the indexation requirements of the real estate financial supervision and introduce counter-cyclical supervision measures; secondly, we should strengthen the responsibility system of the real estate financial supervision, which needs to clarify the main body of the real estate financial supervision and its scope of responsibility. The third is to establish the early warning system of real estate financial supervision, and take macro stress test as an important tool of real estate financial supervision.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.1;F293.3;F224

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本文編號(hào)：2306946