人民币汇率波动与我国房价关系的实证分析

分析了汇率影响房价的机制,利用人民币实际有效汇率、房地产价格指数和银行同业拆借利率共30组数据(2005,07～2007,12)建立了向量自回归模型(VAR),并使用协整、Granger因果检验,脉冲响应分析对人民币汇率波动与我国房地产价格之间的关系进行实证检验.研究结果表明,人民币实际有效汇率对房地产价格产生正向影响,人民币升值是引起房价上涨的格兰杰原因.在现阶段,控制因人民币升值而进入中国的境外资金过度流入房地产市场,有利于保持我国房地产价格稳定.

An Empirical Analysis on Correlation Between RMB Exchange Rate Fluctuation and Housing Price

This paper analyzed the mechanism which the exchange rate influenced the housing price based on the literature review. A vector auto regression (VAR) model was formed using monthly data of RMB real effective exchange rate,housing price index and inter bank offered rate from July,2005 to December,2007. The correlation between RMB exchange rate fluctuation and housing price was tested by co-integration,granger-causality test and impulse response analysis. The results suggest that the real effective exchange rate has a positive effect on housing price and the appreciation of RMB is the Granger cause of the jack-up of housing price. At present,it is advantageous for China to keep stabilization of housing price by controlling excessive inflow of foreign capital caused by RMB appreciation.