汇率变化对房价波动存在溢出效应吗?——来自1997-2015年中国房地产市场的证据

doi:10.16381/j.cnki.issn1003-207x.2017.04.002

Abstract

Abstract: Based on the historical trend of RMB exchange rate changes and real estate price's fluctuation in China, the comprehensive impact of exchange rate changes on real estate price and the mechanism of dynamic impact between each other are analyzed in theory. Based on monthly data from October 2007 to December 2011 and VAR-FBEKK model, the effects of the RMB exchange rates' changes on the volatility of real estate price form direct and indirect perspective are studied by introducing the money supply as an intermediary variable, and the estimating results of model are made a robustness test and a comparative analysis through simulating interrupt data of National New Housing Price Index from January 2011 to June 2015 by Principal Component Analysis. The results show that, the changes in RMB exchange rates don't play a directly significant role on the China's real estate price' s fluctuations, but indirect relationship of exchange rates' changes transferring to the real estate price's fluctuations may exist through money supply as an intermediary variable; the changes in RMB exchange rates have little directly spillover effects on the real estate price's growth rate, but both the co-volatility of exchange rates' changes and changes in the money supply and the volatility of changes in the money supply have significant impacts on the estate price's growth rate, namely the changes in RMB exchange rates have an indirectly spillover effect on the real estate price's growth rate. Therefore, the central bank should further coordinate monetary policy and exchange rate policy; continue to steadily implement the reform of the exchange rate regime, while strengthening "attention" on the real estate price's fluctuations. The above findings enrich the theoretical research of the relationship between asset price and exchange rate policy, and also provide new evidence of how exchange rate changes affect real estate price's fluctuation form the point of view of direct and indirect effects.

Key words: exchange rates, real estate price, monetary policy, volatility spillover

CLC Number:

F832.6

HAN Xin-tao, LIU Xing. Can the Changes in Exchange Rates have Spillover Effects on the Real Estate Price's Fluctuations?:Evidence from China's Real Estate Market 1997-2015[J]. Chinese Journal of Management Science, 2017, 25(4): 7-17.

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Can the Changes in Exchange Rates have Spillover Effects on the Real Estate Price's Fluctuations?:Evidence from China's Real Estate Market 1997-2015

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