Research on the Volatility Spillover Effects of Real Estate Industry and Banking Based on VAR under the Influence of COVID-19 Pandemic

Abstract

Affected by the COVID-19 pandemic, the volatility of the Chinese financial market has intensified. To study the impact of COVID-19 pandemic on the spillover effects of real estate and banking, selecting the daily closing price of the banking and real estate from December 22, 2016 to March 22, 2024 as research samples, this paper divides three sub-sample intervals into periods before the pandemic, during the pandemic control and in the post-pandemic era. Through the vector autoregressive (VAR) model, the difference in the spillover effects of the two industries in the three periods is compared. The main conclusion is that the impact of the epidemic is mainly reflected in the spillover effects of banking on real estate. Compared with the period before the pandemic, the negative impact of banking on real estate during the pandemic control lasted longer. In the post-pandemic era, the direction of the banking spillover effect on real estate has changed, which shows a stronger positive impact. Combined with the empirical results, this paper puts forward three policy recommendations. Banking can avoid risks and promote the common development of banking and real estate through credit support, financial innovation and risk management.