汇率与房价只是硬币两面——基于DSGE和中日数据的实证分析

Exchange Rate and Housing Prices:Two Sides of a Coin:An DSGE Based Empirical Study Using Data from China and Japan

人民币出现贬值压力之后,开始出现"保房价"还是"保汇率"的声音,并且列举日本等国情况说明两者只能选其一。本文通过构建DSGE模型,同时运用中日两国1998-2011年以及1977-2004年数据,发现房价和汇率之间并不是替代关系,而是同时由第三方因素决定,即存在类似住宅偏好等冲击可以同时使得住宅价格下降,同时净出口为负,使得本币贬值(或存在贬值预期)。从我们的经济机制可以看出"保房价"或者"保汇率"是伪命题,要防止陷入两者"二选一"的陷阱。

Under the RMB depreciation pressure, the voice of "‘stabilizing house prices’ or ‘stabilizing exchange rates’ " appears. It argues that we must choose one from the two according the experiences of other countries such as Japan. Using China and Japan’s data during 1998-2011 and 1977-2004, respectively, this paper shows that the changes of house price and exchange rate are not substitutes by constructing DSGE model. Instead, they are determined by third factors. Namely, factors such as housing preference shocks can simultaneously cause housing prices to fall, while net exports are negative, causing the currency to depreciate(or there is an expectation of devaluation). It can be seen from our economic mechanism that "‘stabilizing house prices’ or ‘stabilizing exchange rates’ " is a false proposition, and we must avoid falling into the trap of "choosing one of the two".