摘要
本文基于2000年1月至2015年4月的银行与经济月度数据,研究政府干预、资产价格波动与银行系统性风险三者之间的关系。结果表明:股价波动是房价波动的格兰杰原因,而房价波动不是股价波动的格兰杰原因;政府干预与房价波动互为格兰杰原因;政府对房价的干预在短期内导致房价上升,房价上升进一步使政府采取更为宽松的干预政策;房价容易引发资产价格泡沫,进而引发银行系统性风险。
Based on Chinese banking data and economic monthly data during January, 2000-April, 2015, this paper researches the relationship between government intervention, fluctuation in asset price and banking systemic risks. The results of the paper show that, fluctuation in stock price is the Granger cause of fluctuation in housing price, but fluctuation in housing price isn't that in stock price; there is a mutual Granger cause relationship between government intervention and fluctuation in housing price; government intervention leads to rise in housing price in the short term, and the rise in housing price results in government's more relaxed intervention further; housing price easily results in asset price bubbles, and then leads to banking systemic risks.
出处
《金融论坛》
CSSCI
北大核心
2015年第9期28-37,共10页
Finance Forum
基金
国家社会科学基金青年项目(12CJY108)
国家自然科学基金面上项目(71173050)
南京师范大学商学院创新人才培养基金项目(15CX_006G)
