title: Impact of systemic risk in the real estate sector on banking return.
abstract: In this paper, we measure systemic risk in the real estate sector based on contingent claims analysis, and then investigate its impact on banking return. Based on the data in China, we find that systemic risk in the real estate sector has a negative effect on banking return, but this effect is temporary; banking risk aversion and implicit interest expense have considerable impact on banking return.
authors.affiliation: School of Economics and Management, Southeast University, Nanjing, 211189 China.
authors.forename: Shouwei
authors.initials: S
authors.lastname: Li
authors.affiliation: School of Economics and Management, Southeast University, Nanjing, 211189 China.
authors.forename: Qing
authors.initials: Q
authors.lastname: Pan
authors.affiliation: School of Economics and Management, Southeast University, Nanjing, 211189 China.
authors.forename: Jianmin
authors.initials: J
authors.lastname: He
keywords: Banking return; Contingent claims analysis; Real estate; Systemic risk
references.citation: Sci Rep. 2014 Jan 13;4:3655
references.pmid: 24413626