Spatial Spillover and Contagion of Household Debt Risk : Pathways and Validation

This paper examines the spatial spillover paths of household debt risk to sectors such as commercial banks, real enterprises and local governments, using the CHFS database and the CFPS database for a sample of micro data from 2011-2019. It is found that: household debt risk pushes up the non-performing loan ratio of commercial banks through the balance sheet channel, especially the short-term solvency indicators such as debt service ratio has the biggest impact on banks' bad debt risk, in which household property holding behavior plays a moderating role; household debt risk suppresses the profitability of real enterprises through the income statement channel, in which the debt-to-income ratio has the biggest impact on the profitability of enterprises, while household debt plays a moderating role on The spatial spillover of household debt risk has heterogeneous characteristics, with the cross-sectional contagion of debt risk among households with high levels of digital skills, households in regions with advanced levels of digital finance and households in first-tier cities The spillover effects are significantly higher than those of other groups. This study has important implications for the prevention of systemic financial risks arising from household debt risks