房地产价格与汇率的联动关系研究——基于分位数Granger因果检验法

Research on the Linkage between Real Estate Price and Foreign Exchange Rate: Based on Quantile Granger Causality Test

宏观经济理论认为,房地产价格的变动除受宏观基本因素影响外,还在很大程度上受汇率的影响。中国房地产市场的发展存在显著差异性,为了揭示汇率与各房地产市场的关系,分别运用分位数Granger因果检验、分位数VAR模型及脉冲响应函数,将房地产市场按一、二、三线城市划分,研究不同分位点下汇率与房地产市场之间的因果关系与影响程度。研究发现:在均值意义上,汇率对各线城市房价的影响均不显著,一、三线城市分别在5%和10%的显著性水平上对汇率存在影响;而使用分位数Granger因果检验可以更全面描述房价与汇率的尾部关系,且脉冲示意图显示两者存在较大联动关系。这说明房地产市场的健康发展对于稳定币值、刺激出口具有重要意义,同时在房地产行业调控过程中应当考虑汇率的影响。

Macroeconomic theory has the idea that the variety of the price of real estate market is influenced by exchange rate as well as macro basic factors. The development of the real estate market in China is characterized by significant difference. To reveal the differences in the development of each line city,we use the method of the mean Granger and the quantile Granger causality test respectively to study the causal relationship between the real estate price and each tier city under different quantiles. We find that the exchange rate and the price of each tier city have no obvious causal relation based on the mean Granger causality test. The first-tier and third-tier cities have a significant influence on the exchange rate at the level of 5% and 10% respectively. But the quantile Granger causality test shows that there is extensive and significant causality at the interval of extreme points. This enlightens us that the healthy development of the real estate market is of great significance to stabilize the value of the currency and to stimulate the export. It is necessary to integrate the exchange rate factors into the regulation of the real estate market.