人民币汇率预期、短期国际资本流动与房价

RMB Exchange Rate Expectation,Short-term International Capital Flows and Housing Prices

2015年8月,央行进行中间价形成机制改革,人民币汇率预期的波动增强,短期国际资本流动及房价随之呈现出不同的特征。文章探索了三者间的传导机制,发现人民币汇率预期升值会促进短期国际资本流入,而流入的短期国际资本对房价的影响却与汇率预期的波动强度有关。文章采用TVPSV-VAR模型对2010年7月至2016年12月的月度数据进行了实证研究,发现在两次汇改后,汇率预期波动较大,人民币汇率预期升值冲击通过短期国际资本流动更多地作用于房地产的需求端,使房价加速上涨。基于在不同汇率预期波动条件下三者的互动关系特征,文章从人民币汇率预期管理、短期国际资本的管理和引导以及综合管理机制的建立的角度提出政策建议。

In August 2015,the central bank carries out the reform of central parity mechanism,then the volatility of the RMB exchange rate depreciation expectation increases,and short-term international capital flow and housing price show different characteristics later. In this paper,we explore the transmission mechanism between these three variables and find that the appreciation of the RMB exchange rate expectation will promote short-term international capital inflow,while the impact of the inflow on housing price is related to the volatility of the exchange rate expectation. We use TVP-SV-VAR model to study the relationship with monthly data from July 2010 to December 2016. The empirical results show that the exchange rate expectation fluctuates greatly after the exchange reforms in 2010 and 2015. At this time,the appreciation expectation influences on real estate demand more though short-term international capital flows,which makes the housing prices rise faster. The paper puts forward some policy suggestions based on the interaction between the three variables,such as the management of RMB exchange rate expectation,the guidance of short-term international capital and the establishment of integrated management mechanism.