Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

The Study on the Influence of Asset Price Fluctuation on the Banking Fragility

Author LiuLong
Tutor MaYaMing
School Tianjin University of Finance and Economics
Course Finance
Keywords the asset price banking fragility the VAR model
CLC F832.5
Type Master's thesis
Year 2013
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Along with the frequent output of the international financial crisis in the past few decades, the systematic financial crisis that caused by the fluctuations of assets price has become the widespread focus of each government and the Central Bank. At the present, our financial system is still lead by commercial bank, the output and development of financial crisis must have a cloth relationship with the steady management. Therefore, paying attention to the capital price fluctuations’ influence on our banks’ fragility, inquiring into its influence’s transmit way on our bank system fragility has a profound influence on our bank system’s steady management and risk prevention.On the basis of domestic and overseas scholars’ research achievements, the paper firstly makes a comprehensive assessment on our bank’s financial fragility from macroeconomic and micro-finance indicators-loan growth rate, CPI four indexes, and bad loan rate, capital adequacy rate. Then through empirical analysis methods, such as VAR model, the Granger Cause-Result relation examine, the impulse response and analysis of variance, the paper studies its influence on the comprehensive index of bank system fragility from three aspects, the stock market, the real estate market and the financial sector. The empirical result shows that fluctuations of the real estate have the most significant influence on the bank’s fragility; the financial sector comes to the second while the price volatility of the whole stock market has no significant effect. In detail, the fluctuation of asset price has much significant influence on the representative of bank fragility, macroeconomic indicators, ie loan growth rate and CPI, while the representative of bank fragility, the micro-finance indicators, ie bad loan rate and capital adequacy ratio, subjects to the supervision of the CBRC more and was less affected by fluctuations in asset prices. Finally, on the basis above, the paper puts forward some policies and suggestions separately from the banking themselves, the control of the asset price, the banking industry supervision and the whole capital market.

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