人民币名义有效汇率波动与房地产价格的联动关系研究——基于拔靴滚动窗口因果关系检验

Research on the Interaction between RMB Nominal Effective Exchange Rate Fluctuation and Real Estate Price——Based on the Bootstrap Rolling Window Causality Test

基于拔靴滚动窗口因果关系检验方法,对人民币名义有效汇率与房地产价格的互动关系进行的实证检验结果表明,二者具有明显时变特性。人民币名义有效汇率波动对房价既有正向影响也有负向影响;房地产价格对人民币名义有效汇率的影响不显著,在某些区间存在负向影响。这主要受到国际短期资本流动、货币流动性以及国内外投资者预期等因素影响。基于此,中国应加强对国际短期资本流动的监管,继续实行稳健的货币政策,并稳定房地产价格。

Based on the bootstrap rolling window causality test, this paper did empirical investigation on the interaction between RMB nominal effective exchange rate and housing price in China and discovered that there were notable time-varying features between the RMB nominal effective exchange rate and housing price. RMB nominal effective exchange rate fluctuation has both a positive and negative impact on real estate price. Real estate prices have n o significant effect on the nominal effective exchange rate of RMB , and there are some negative effects in some ranges, which is caused by short-term international capital movements, currency liquidity and domestic and foreign investors’ expectation. As a result, Chinese government should strengthen supervision of short-term international capital flows, continue to implement prudent monetary policy and stabilize real estate price.