主题：Time–Frequency Connectedness between the Real Estate and Banking Sectors in China
主讲人：农汇福
主持人：周泳宏
会议时间：2022年4月15日（周五）上午10:00-11:30
会议工具：腾讯会议（ID：738-185-289）
摘要
Chinese real estate market has experienced a boom lasting over the past decades and its real estate loans are a vital component of China’s banks’ balance sheets, this study investigates the time–frequency connectedness between China’s real estate and banking sectors by employing variance decomposition and spectral representation, from January 2011 to December 2020. We find, an overwhelming predominance of high-frequency over low-frequency in terms of the magnitude of connectedness, suggesting that shocks get transmitted very quickly across firms/banks and sectors. Policy intervention status plays a critical role in explaining movements in dynamic connectedness. However, reverse patterns regarding the main net sender and receiver of shocks are observed for directional connectedness at high and low frequencies for an overwhelming majority of the period. These findings may have important implications for various economic agents in terms of policy interventions and risk management.
主讲人简介
农汇福，上海财经大学经济学博士，上海交通大学住房与城乡建设研究中心特聘助理研究员。主要研究领域为城市经济、房地产金融、公共政策评估。其研究成果发表于The Review of Income and Wealth，Journal of Housing Economics, China Economic Review, Journal of Asian Economics等国际期刊和《统计研究》等国内期刊。同时担任Housing Policy Debate，Journal of Housing Economics, Journal of Asian Economics，Finance Research Letters，Technological Forecasting & Social Change，Economic Research-Ekonomska Istraživanja等多家期刊匿名审稿人。
