中美货币政策对我国汇率与房价的影响研究——基于MS-VAR模型的实证分析

The Impact of the Sino-US Monetary Policy on China ’s Exchange Rate and House Price——An Empirical Analysis Based on MS-VAR Model

论文基于2005年7月至2017年1月的月度数据,采用马尔科夫区制转换向量自回归(MS-VAR)模型对经济状态进行划分,并在不同的经济状态下研究中美货币政策对人民币兑美元汇率中间价及对我国房地产价格的非线性动态影响。研究结果表明:在不同的经济状态下,我国货币政策对汇率和房价的调控效果存在显著差异,而在目前经济状态下,相比于对房价的调控,我国货币政策对汇率的调控更为有效。除此之外,近年来美国紧缩性的货币政策对我国汇率和房价也存在较大的冲击。

Based on the monthly data from July 2005 to January 2017,this paper uses the Markov regime switching VAR model(MS-VAR)to classify the state of the economy and study the non-linear dynamic impact of the monetary policy of China and the US on the nominal exchange rate of RMB against the US dollar and China’s real estate price under different economic conditions.The results show that there are significant differences in the effect of monetary policy on exchange rate and the house price in different economic conditions.In the current economic situation,the regulation effect of China’s monetary policy on the exchange rate is stronger than the regulation of the house prices.In addition,in recent years,the tightening monetary policy of the US has a greater impact on China’s exchange rate and the house prices.