Abstract: The existing literature does not take housing credit default into a general analysis framework, albeit the subprime crisis proved that it would lead to systemic risk. By implanting the idiosyncratic housing shock and housing credit default into a dynamic stochastic general equilibrium (DSGE) model, the spillover effects of housing price volatility are explored and the supervisory effects of macroprudential policy on housing credit are studied. Based on China's actual data, the following conclusions are drawn from the simulation analysis:The spillovers from the housing market to the broader economy are concentrated on consumption rather than output and inflation, the spillover effect on the financial system is greater than the broader economy. The fluctuation of housing price will increase the default rate of housing credit and reduce the supply of housing credit for commercial banks. The dynamic capital adequacy ratio targeting the expansion of housing credit can effectively control credit risk, and the short-term effect is even more pronounced. The housing price volatility shock and interest rate shock are the main cause of fluctuations in China's housing credit.

Key words: housing price volatility, credit default, capital adequacy, DSGE model