我国汇率通过房地产价格渠道对实体经济作用效果的实证检验——基于2005年汇改后数据的VAR模型分析  

An Empirical Test on Exchange Rate's Effect on Real Economy by Real Estate Prices Channel:An Analysis of VAR Model based on the Data since Exchange Rate Reform in 2005

作　　者：盖静[1,2] 

机构地区：[1]北京大学,北京100871 [2]中国人民银行营业管理部,北京100045

出　　处：《金融理论与实践》2017年第1期37-44,共8页Financial Theory and Practice

摘　　要：2016年人民币对美元显著贬值,而楼市火爆风险陡增,汇率与房价随之成为社会各界关注的热点。伴随着我国的货币政策工具从数量型工具向价格型工具的转变,汇率作为外汇资产价格,正逐渐成为货币政策传导中的重要渠道。通过构建人民币汇率、房地产价格、产出、通货膨胀四个内生变量的VAR模型,实证分析了汇率通过房地产价格渠道对实体经济的作用效果,研究表明,人民币汇率通过房地产价格对产出具有长期影响,汇率向房地产价格的传递存在一定阻滞。The RMB depreciated significantly against the US dollar in 2016, at the same time the property market risk of hot increased sharply. Exchange rate and real estate prices became the focus of attention of all sectors of society. As the foreign exchange asset prices, exchange rate gradually were to be the main channel for monetary policy transmission. In this paper we built a VAR model with four endogenous variables including RMB exchange rate, real estate prices, output and inflation, and analyzed empirically the exchange rate's effect on the real economy by real estate prices channels. The result showed that RMB exchange rate had long-term effect on real estate prices and output, however exchange rate had a certain block influence on real estate prices' pass-through.

关 键 词：汇率 房地产价格 汇率传递 VAR 

分 类 号：F832.61[经济管理—金融学]