人民币升值预期下我国资产价格波动分析

发布时间：2019-05-25 00:37

【摘要】：2005年我国实施汇率制度改革，自此人民币步入快速升值的通道。人民币持续升值造成人民币升值预期强烈，大量赌人民币升值的“热钱”流入我国股市、楼市，推高资产价格的同时，给我国经济带来了巨大风险。本文在分析人民币升值预期形成原因的基础上，量化了人民币升值预期，并分析了人民币升值预期对资产价格的传导机制。紧接着我们选取“汇改”前后的历史数据实证分析了人民币升值预期对我国股票价格、房地产价格的影响。实证结果显示，，人民币升值预期不论在“汇改”前，还是“汇改”后都与资产价格存在相关关系，但“汇改”后两者之间的联系更紧密。人民币升值预期与资产价格之间存在长期的均衡关系，“汇改”后，人民币预期升值，股票价格、房地产价格均上涨明显。但人民币升值预期对各行业股票价格和各地区房地产价格的影响程度不同，股票价格存在着行业异质性，房地产价格也存在着区域异质性。人民币升值预期与资产价格不仅存在着长期静态关系，人民币升值预期在短期内对股票价格和房地产价格也有动态影响。在此基础上，本文提出稳定人民币汇率，斩断升值预期；引导资产价格回归理性；保持货币政策独立性。
[Abstract]:In 2005, China implemented the exchange rate system reform, and since then the RMB has entered the channel of rapid appreciation. The continuous appreciation of RMB results in strong expectations of RMB appreciation. A large number of bets on RMB appreciation "hot money" flow into China's stock market, property market and push up asset prices, at the same time, it brings great risks to China's economy. Based on the analysis of the causes of RMB appreciation expectations, this paper quantifies the RMB appreciation expectations, and analyzes the transmission mechanism of RMB appreciation expectations to asset prices. The historical data before and after the exchange rate reform are used to empirically analyze the influence of RMB appreciation expectation on stock price and real estate price in China. The empirical results show that the expectation of RMB appreciation is related to asset prices both before and after the exchange rate reform, but the relationship between the two is closer. There is a long-term equilibrium relationship between RMB appreciation expectation and asset price. After the "exchange rate reform", the expected appreciation of RMB, stock price and real estate price all go up obviously. However, the expected appreciation of RMB has different effects on stock prices and real estate prices in different industries. There is industry heterogeneity in stock prices and regional heterogeneity in real estate prices. There is not only a long-term static relationship between RMB appreciation expectations and asset prices, but also a dynamic impact on stock prices and real estate prices in the short term. On this basis, this paper proposes to stabilize the RMB exchange rate, cut off appreciation expectations, guide asset prices back to rationality, and maintain the independence of monetary policy.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F293.3

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