人民币汇率与我国股价、房价的联动关系研究

近年来,我国人民币汇率形成机制、股票市场和房地产市场发生了巨大变化,人民币汇率和股价、房价之间的信息传导和波动关联备受瞩目。本文采用VAR-MGARCH-BEKK模型,分析了我国人民币汇率、股价和房价之间的联动关系。研究结果表明,从波动的溢出效应来看,人民币汇率的波动率、股票价格的增长率和房地产价格的增长率之间存在非常明显的波动溢出效应;从资产价格的水平影响来看,人民币汇率与股票价格、房地产价格等国内资产价格的水平相关性较弱,而股票价格对房地产价格的影响较明显,并就该结论提出了相关的理论解释和政策建议。

Study on the Relation Between RMB Exchange Rate,Stock Prices and Real Estate Prices in China

In recent years,China’s RMB exchange rate formation mechanism,the stock market and real estate market has changed dramatically,information transfer and volatility interrelationship among RMB exchange rate,the stock prices and the real estate price associated with more high-profile.This paper studies the relationship of exchange rate,the stock prices and the real estate prices using a VAR-MGARCH-BEKK model.The results show,from the spillover effects of the fluctuations of view,there are very significant volatility spillover effect among the RMB exchange rate volatility,stock price growth rate and growth rate of real estate prices;from the level of assets prices,the relationship between the RMB exchange rate and national prices is weak,the stock price has an significant impact on real estate prices,and then we give an alternative explanation in theory and the policy recommendations.