人民币汇率波动与房价变动的相关性研究
发布时间：2018-08-29 07:28
【摘要】：2015年“8.11汇改”后,人民币汇率开始持续贬值,我国外汇储备也下降了近10000亿美元,人民币汇率面临着巨大的贬值压力;同期我国房地产价格却出现了迅速的上涨行情,2016年10月百城住宅价格指数为12,825元/平方米,同比上涨18.2%。在人民币汇率持续贬值而房价大幅走高的背景下,我国面临着资本外流压力增大和房地产价格超出合理范围的双重挑战。如果形势继续恶化,我国甚至可能面临汇市楼市双杀、进而引起经济衰退的危局。在此背景下,研究人民币汇率与房地产价的相互影响关系,可以为我国政府制定与实施相关宏观经济政策提供理论支持,这对于更好地应对挑战和可能的危机具有重要的现实意义。本文从国际资本流动和国内货币供给两大传导渠道对人民币汇率与房地产价格的相互影响关系进行了理论分析,并且利用MS-VAR非线性模型对四者的相关性进行了实证检验,以此明晰人民币汇率与房地产价格如何通过国际资本流动和国内货币供给两大渠道相互影响,以及两大渠道分别在其中发挥作用的强弱程度。通过理论分析和实证分析,得出结论:国际资本流动渠道与国内货币供给渠道均存在,即人民币汇率与房地产价格会通过国内货币供给和短期国际资本流动为中介桥梁相互影响,并且短期国际资本流动渠道的影响比国内货币供给渠道的影响更为显著。最后基于研究结论和我国的实际情况,从汇率制度、货币发行制度、跨境资本监控、房地产供需管理四个方面为我国政府提出相应政策建议。
[Abstract]:After the "8.11 exchange rate reform" in 2015, the RMB exchange rate began to depreciate continuously, the foreign exchange reserve of our country also dropped nearly 1 trillion US dollars, the RMB exchange rate is facing the huge depreciation pressure; In the same period, China's real estate prices have seen a rapid rise, with the 100-city residential price index rising 18.2 yuan per square meter in October 2016, up 18.2 yuan from the same period last year. Under the background of RMB exchange rate devaluing and house prices rising sharply, China is faced with the double challenges of increasing the pressure of capital outflow and the real estate price exceeding a reasonable range. If the situation continues to deteriorate, China may even face a currency market double kill, causing a recession. In this context, the study of the relationship between RMB exchange rate and real estate prices can provide theoretical support for our government to formulate and implement relevant macroeconomic policies. This has important practical significance for better dealing with challenges and possible crises. This paper makes a theoretical analysis of the interaction between RMB exchange rate and real estate price from the two transmission channels of international capital flow and domestic money supply, and makes an empirical test on the correlation of the four by using MS-VAR nonlinear model. In this way, it is clear how the RMB exchange rate and the real estate price affect each other through the two channels of international capital flow and domestic money supply, as well as the extent to which the two channels play their respective roles. Through theoretical analysis and empirical analysis, it is concluded that both international capital flow channels and domestic money supply channels exist. That is, RMB exchange rate and real estate price will interact with each other through domestic money supply and short-term international capital flow, and the influence of short-term international capital flow channel is more significant than that of domestic money supply channel. Finally, based on the conclusion of the research and the actual situation of our country, this paper puts forward corresponding policy recommendations for our government from four aspects: exchange rate system, currency issue system, cross-border capital monitoring and real estate supply and demand management.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F299.23
本文编号：2210605
[Abstract]:After the "8.11 exchange rate reform" in 2015, the RMB exchange rate began to depreciate continuously, the foreign exchange reserve of our country also dropped nearly 1 trillion US dollars, the RMB exchange rate is facing the huge depreciation pressure; In the same period, China's real estate prices have seen a rapid rise, with the 100-city residential price index rising 18.2 yuan per square meter in October 2016, up 18.2 yuan from the same period last year. Under the background of RMB exchange rate devaluing and house prices rising sharply, China is faced with the double challenges of increasing the pressure of capital outflow and the real estate price exceeding a reasonable range. If the situation continues to deteriorate, China may even face a currency market double kill, causing a recession. In this context, the study of the relationship between RMB exchange rate and real estate prices can provide theoretical support for our government to formulate and implement relevant macroeconomic policies. This has important practical significance for better dealing with challenges and possible crises. This paper makes a theoretical analysis of the interaction between RMB exchange rate and real estate price from the two transmission channels of international capital flow and domestic money supply, and makes an empirical test on the correlation of the four by using MS-VAR nonlinear model. In this way, it is clear how the RMB exchange rate and the real estate price affect each other through the two channels of international capital flow and domestic money supply, as well as the extent to which the two channels play their respective roles. Through theoretical analysis and empirical analysis, it is concluded that both international capital flow channels and domestic money supply channels exist. That is, RMB exchange rate and real estate price will interact with each other through domestic money supply and short-term international capital flow, and the influence of short-term international capital flow channel is more significant than that of domestic money supply channel. Finally, based on the conclusion of the research and the actual situation of our country, this paper puts forward corresponding policy recommendations for our government from four aspects: exchange rate system, currency issue system, cross-border capital monitoring and real estate supply and demand management.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F299.23
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