汇率预期对房价波动的影响——基于经济政策不确定性的研究

发布时间：2018-01-22 18:15

本文关键词： 汇率预期房价波动经济政策不确定性门限向量自回归模型　出处：《价格月刊》2017年11期 　论文类型：期刊论文

【摘要】：在阐述经济政策不确定性、汇率预期与房价波动间作用机制的基础上,构建了门限向量自回归模型进行实证分析。结果表明,在以经济政策不确定性指数为门限的条件下,汇率预期对房价波动的传导作用具有明显非对称性特征。在经济政策不确定程度较高时,汇率预期对房价波动的影响相对更大,且持续时间较长,而在经济政策不确定性较低的情况下,影响程度减小且持续时间缩短。结合实证结论从汇率预期作用对房价的影响角度出发,提出不仅要引导市场形成合理的汇率预期,完善国际资本流动监管与投资渠道,还要重视经济调控政策出台的频率和强度对市场主体预期及行为可能产生的影响。
[Abstract]:On the basis of expounding the mechanism of economic policy uncertainty, exchange rate expectation and house price fluctuation, the threshold vector autoregressive model is constructed for empirical analysis. Under the condition that the uncertainty index of economic policy is taken as the threshold, the conduction effect of exchange rate expectation on the fluctuation of house price is obviously asymmetric, and when the uncertainty of economic policy is high. The impact of exchange rate expectations on house price volatility is relatively greater and lasts longer, while in the case of low economic policy uncertainty. According to the empirical conclusion, from the perspective of the effect of the expected effect of exchange rate on house prices, we should not only guide the market to form reasonable exchange rate expectations. To perfect the supervision and investment channels of international capital flow, we should pay attention to the influence of the frequency and intensity of the economic regulation and control policy on the expectation and behavior of the market main body.
【作者单位】：中国社会科学院数量经济与技术经济研究所;太原市建筑工程质量检测站;
【基金】：国家自然科学基金项目(编号:71673296)
【分类号】：F299.23;F832.6
【正文快照】： 一、引言一方面,房地产价格不断攀升,已经成为影响我国经济发展和社会稳定的重要因素之一。另一方面,虽然汇率制度改革已使汇率形成机制变得更加完善,但汇率波动幅度及其影响因素更加复杂,汇率预期传递研究的重要性与迫切性愈加突出。在汇率预期作用的影响下,大量国际资本流

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