The risk spillover between the real estate and the banking is empiricly tested through DCC-GARCH fitting of the real estate industry index and the banking industry index from January 4, 2016 to March 19, 2021, and the dynamic correlation coefficient ΔCoVaR value is calculated. The results show that when the new regulation of "three red lines" of real estate is put forward, the risk value has an obvious downward trend, that is, the new regulation has an obvious effect on the risk spillover suppression. In addition, according to the empirical results, the risk regulation path is divided into traditional credit behavior path and behavioral finance path. Finally, according to the empirical results, policy suggestions are put forward to prevent the risk spillover effect of real estate and banking.