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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 the monthly data of banks and economy from January 2000 to April 2015, this paper studies the relationship between government intervention, asset price volatility and systemic banking risk. The result shows that: the stock price volatility is the Granger reason of house price volatility, but the price volatility is not the Granger reason of the stock price volatility; the government intervention and the house price volatility are the Granger reasons; the government intervention in house prices causes the house price to rise in the short term, Rising housing prices further allow the government to take a more lenient intervention policy; housing prices easily lead to asset price bubbles, which in turn lead to systemic banking risks.