区域差异化下汇率与房地产价格关系研究

摘要

从理论方面验证了汇率对房地产价格的传导机制,并建立马尔科夫区制转换的向量自回归模型(MS-VAR),在区域差异的基础上研究汇率与房地产价格的非线性互动关系.实证研究表明汇率与我国房地产价格间互动关系在不同区域的情况有差异性:一线城市房地产价格与汇率相互促进,在经济波动较大(区制2)的情况下,响应程度更加明显;三线城市房地产价格与汇率之间的关系很微弱,且在两个区制下响应程度相似.并根据所得结果对房价调控政策提出了建议.%This paper confirmed the transmission mechanism of exchange rate to real estate price in theory and then built up a model of Markov-Switching Vector Autoregress to study the non-linear interactive relationship between exchange rate and real estate price in view of regional differences.Empirical studies show that the interactions between the exchange rate and the real estate prices are different in different regions: in the first-tier city,real estate prices and exchange rates are mutually reinforcing and the degree of response is more pronounced in the case of large economic fluctuations (regime 2);in the third-tier city, the relationship between real estate prices and exchange rates is weak and the responses are similar in two regimes.Therefore, we gave some advice to policies of price regulation according to the results.