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Time‐varying impact of housing price fluctuations on banking financial risk

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  • Jingbin Wang
  • Beibei Xia
  • Huiling Qiao

Abstract

This paper uses the time‐varying parameter–stochastic volatility–vector autoregression (TVP‐SV‐VAR) model to analyze the time‐varying impact of housing price fluctuations on banking financial risk under different macrocontrol policy backgrounds. The results indicate that the impact of housing price fluctuations on banking financial risk at different time points has always been positive, showing a “hump‐shaped” trend of first rising and then falling. However, the impact of this kind of shock is obviously heterogeneous. With the tightening of external macrocontrol policies, the positive impact has gradually weakened. The tightening macrocontrol policy environment is more conducive to alleviating the impact of housing price fluctuations on banking financial risk.

Suggested Citation

  • Jingbin Wang & Beibei Xia & Huiling Qiao, 2022. "Time‐varying impact of housing price fluctuations on banking financial risk," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(2), pages 457-467, March.
    • Handle: RePEc:wly:mgtdec:v:43:y:2022:i:2:p:457-467
    DOI: 10.1002/mde.3393
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    References listed on IDEAS

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