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

The Impact of Exchange Rate Expectation on the Fluctuation of House Prices——Based on the Study of Economic Policy Uncertainty

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。

Based on elaborating the mechanism of economic policy uncertainty, exchange rate expectation and house price fluctuation, this paper builds threshold vector auto-regressive model to take empirical analysis. The results reveal that： in the case of high policy uncertainty, the exchange rate makes greater effect on the housing price fluctuations relatively, and the duration is longer. While, when policy uncertainty is low, the degree of influence is reduced and the duration is shortened. Finally, based on the empirical conclusion, from the perspective of the effect of exchange rate on housing prices, this paper proposed not only to guide the market to form a reasonable exchange rate expectations, to improve the international capital flow supervision and investment channels, and should pay attention to the possible impact of the frequency and intensity of economic regulation policies on the expectations and behavior of market entities.