How Does Housing Price Shock Generate Systemic Financial Risk

The paper constructs a factor augmented systemic financial risk information set,and studies how factors dynamically generate systemic financial risk w hen they are shocked by price. Results show that the rising of price strengthens financial stability in short- term,risks are cumulative latently,the falling of price w ill threaten the funding strand breaking,and risk expose rapidly. The mechanism of housing price falling dow n → financing costs increasing,capital price fluctuating → nonperforming loans expanding → systemic financial risk forming mechanism is effective. Furthermore,after refining the price to new and second- hand price,the paper finds that the former has more threatening and lasting effect than the latter as the price falling.