人民币汇率、短期国际资本流动与房价——基于时变参数向量自回归模型的研究

RMB Exchange Rate,“Hot Money”and House Price

2017年上半年以来,金融周期的概念受到广泛关注。我国房价与人民币汇率,作为资产价格,在金融周期中呈现较强的相关性。随着我国资本项目的逐步对外开放,国际资本流动加大了二者的相关程度,表现出金融顺周期性。通过TVP-VAR模型,文章分析房价、短期国际资本流动与人民币汇率的时变动态关系,试图用短期国际资本流动解释房价与汇率的相关性,并发现国际资本的顺周期性呈现不对称特点:国际资本流出时期在房价与汇率的相关性中起到桥梁变量的作用,较流入时期而言顺周期性更强。因此,文章认为关注金融周期中资本项目开放产生的不对称顺周期性对于防范金融危机具有重要意义。

Since the first half of 2017,＂financial cycle＂has caught a lot of concern. As two of the most important asset prices,the RMB exchange rate and house price show strong correlation in the financial cycle,meanwhile,the international capital flow brings certain ＂marginal effect＂. This marginal effect also shows the characteristic of procyclicality. By adopting the TVP-VAR model,this paper is trying to shed some light on examining the marginal effect bring by international capital flow to the correlation between house price and the RMB exchange rate. Results show that the marginal effect is asymmetric between the periods of capital outflow and inflow,which is stronger during the former case. To conclude,it is of great significance to concern about the asymmetrical procyclicality bring by international capital flow,in case of the financial crisis happening.