Study on the Nonlinear Transmission Mechanism of Banks' Housing Loan Concentration Ratio on China's Banking Systemic Risk — The Moderating Effect and Threshold Characteristics of the Household Sector's Leverage Ratio

Drawing on data from Chinese listed banks spanning 2008–2024, this study constructs a comprehensive index of banking systemic risk and employs both fixed-effects estimations and a panel smooth transition regression (PSTR) framework to identify nonlinear threshold dynamics. These methods enable a detailed examination of the transmission mechanisms and heterogeneous effects through which the housing loan concentration ratio influences systemic risk within the banking sector. The empirical results reveal three key findings. First, the Household sector leverage ratio exerts a significant positive moderating effect, amplifying the adverse impact of housing loan concentration on systemic risk. Second, both the household leverage ratio and the housing loan concentration ratio display pronounced nonlinear threshold characteristics. Specifically, the effect of housing loan concentration on systemic risk exhibits a right-skewed “U-shaped†pattern when household leverage serves as the transition variable, and a symmetric “U-shaped†pattern when housing loan concentration itself acts as the transition variable. Third, large state-owned banks in China exhibit a considerably stronger capacity to absorb risks associated with elevated housing loan concentration levels compared with medium-sized and small domestic banks.