人民币汇率预期对我国房地产价格影响的非线性机制研究——基于STR模型的分析

Research on the Nonlinear Mechanism of the Influence of the RMB Exchange Rate Expectation on Real Estate Price in China——Analysis Based on the STR Model

通过构建时间序列(2005.7~2016.12)的STR模型,本文验证了人民币汇率预期对我国房地产价格的非线性效应。研究结果显示:渐进稳步的升值预期(2005.7~2014.12)通过资本流动效应促进了我国房地产价格的上涨;而大幅度的升值预期将促使房价急剧上涨以及资产泡沫化。由于央行外汇市场干预以及宽松货币信贷政策导致大量流动性进入房地产市场,近年大幅贬值预期(2015.1~2016.12)加剧了我国房地产价格的不断攀升。货币供应量较人民币汇率预期对房价的影响系数更大,表明2005年汇率改革以来我国总体相对宽松的货币政策是房价上涨以及资产泡沫化的主要原因。政策建议为,进一步完善人民币汇率市场化形成机制,积极引导和稳定人民币汇率预期,减弱国际市场对人民币汇率大幅升值或大幅贬值的预期;央行应保持货币政策稳健中性,在保持流动性合理充裕的同时,注重抑制资产泡沫和防范经济金融风险。

By constructing a time series＇（2005.7 -2016. 12 ）STR model, the article validates the nonlinear effect of the RMB exchange rate expectation on real estate price in China. Research results show that： a gradual steady RMB appreciation expectation（2005.7- 2014. 12）has a positive promotion on real estate price through capital flow effect while a relative larger RMB appreciation expectation make a sharp rise in house prices and asset bubbles. The central bank＇s foreign exchange market intervention as well as a loose monetary and credit policy make a large number of liquidity into Chinese real estate market, a larger RMB devaluation expectation（2015.1 -2016. 12）aggravates in Chinese real estate price＇s rising in recent years. The influence coefficient of money supply on real estate price is larger than that of exchange rate expectations do, which indicates that an overall relatively loose monetary policy play a main function on the rise of real estate price and asset bubbles since the RMB Exchange Rate Reform in 2005. Policy recommendations are as follows ： The authorities should further improve the RMB exchange rate market- oriented formation mechanism, actively guide and stabilize the RMB exchange rate expectation so as to weakening the RMB larger appreciation expectation or larger depreciation expectation from the international market;The central bank should maintain a prudent and neutral monetary policy, maintaining a reasonable and adequate liquidity level while focusing on the suppression of asset bubbles as well as the prevention of economic and financial risks.