汇率和房地产价格是当前中国经济的两大热点问题。理论分析表明,人民币汇率与房地产价格之间存在互动关系.而短期国际资本流动可以作为汇率与房地产价格之间互相作用的桥梁。通过构建包含人民币汇率、短期国际资本流动及房地产价格的MS—VAIL模型并选取中国2005年7月至2012年12月的月度数据进行实证研究.结果表明.在不同的经济状态下.三个变量间的动态关系不同。两区制下.人民币升值会带来房地产价格上升.房地产价格上涨也会导致人民币升值且持续时间较长,但区制1下的响应幅度要明显小于区制2。为保持经济体系的稳定.应多管齐下稳房价、加强对短期国际资本流动的监管、加快利率和汇率市场化进程。
On the basis of theoretical analyses of the relationship between the RMB exchange rate and real estate price, this paper has set up a MS-VAR model which contains the RMB exchange rate, international capital flow in short run and real estate price and conducted an empirical study with monthly data from July 2005 to December 2012. The empirical results show that the dynamic relationship between and among the three variables differs in different state of economy. In both regimes, an appreciation of RMB real exchange rate will lead to an increase of real estate price and the rise of actual real estate price will lead to a long term appreciation of the real exchange rate of RMB. The fluctuations of real estate price and the real exchange rate of RMB under regime 1 are significantly lower than those in regime 2. In order to keep the economy system stable, this paper suggests that the government should control the real estate price, strengthen the short term capital flow regulation and speed up the liberalization of interest rate and exchange rate.