房地产抵押、汇率冲击与资本账户开放——一个开放经济条件下的DSGE分析框架

Real Estate Collateral,Exchange Rate Shocks and Capital Account Liberalization:An Open Economy DSGE Framework

随着住房市场化改革与人民币汇改的推行,加之我国资本项目的逐步开放,房地产价格与汇率表现出更为复杂的内在联系。本文构建一个包含房地产抵押海外信贷约束的开放经济DSGE模型,证明房地产信贷抵押与汇率之间存在相互促进的加速循环关系;基于开放经济的动态视角,进一步刻画了不同汇率制度与不同开放程度下,房地产价格与汇率之间动态演变的内在机制;对外开放程度或汇率浮动范围变大,贬值冲击会带来更大幅度的资产价格与产出下降,甚至可能出现"房地产价格下跌—汇率下降"相互促进触发的明斯基时刻与金融危机。理解房地产价格与汇率之间的关系,对于开放经济下的金融稳定具有重要意义。因此,维持国内房地产市场健康发展、宏观审慎地推进资本项目开放、避免汇率大幅波动是开放经济下我国经济稳健运行的重要保障。

Since the privatization of housing market in 1998 and the reform of Renminbi exchange rate in 2005,there is a strong correlation between housing prices and the RMB foreign exchange rate. Based on an open economy DSGE model with overseas credit constrain,where real estates act as the collateral assets,this paper finds that there is a complex positive correlation between house prices and exchange rate. As the capital account becomes more open,housing prices become more correlated with the RMB exchange rate. Understand the relationship between housing price and RMB exchange rate is very important for a stabilized financial system under an open economy. If we are not cautious,there can be a decrease in housing price alongside a fall in RMB exchange rate which can result in a Minsky Moment. Thus,stabilizing the development of Chinese real estate market,slowly and cautiously opening capital account and avoiding large foreign exchange fluctuation is the best way to a healthy economy.