摘要
本文在分析房地产市场经济主体的基础上,基于房地产市场存在国外投资者的假设,构建了包含房地产市场和外汇市场的理论模型研究了汇率与房地产价格之间的动态关系。通过理论模型推导得出汇率与房地产价格之间存在相互促进的关系的结论。在理论模型的基础上,采用非线性Markov区制转换VAR模型实证研究了2005年汇改以来人民币兑美元汇率与我国房地产价格之间的非线性动态关系,实证研究结果表明:我国实际房地产价格上涨将导致人民币兑美元实际汇率升值,但存在明显滞后效应;而在某种经济状态下人民币兑美元实际汇率升值可能会导致我国实际房地产价格上涨。
Based on assuming that there are foreign investors in domestic housing market, this paper constructs a theoretical model including housing market and foreign exchange market to investigate the dynamic relationship between exchange rate and real estate price. The theoretical model suggests that there are mutual promoting relationships between exchange rate and real estate price. By using nonlinear Markov regime switching VAR model, the authors empirically investigate the nonlinear relationship between RMB/USD exchange rate and China＇s real estate price after the reform of exchange rate regime in 2005. The empirical results show that the rise of China＇s real estate price will lead to appreciation of real exchange rate, but there are obvious lag effects, and in some state, the appreciation of real exchange rate may drive China＇s real estate price to rise.
出处
《金融研究》
CSSCI
北大核心
2011年第5期58-71,共14页
Journal of Financial Research
基金
国家社科基金项目"中国外汇储备风险测度及管理研究"(07BJY157)的阶段性研究成果
