人民币汇率与股价、房价的联动关系与时变动态相关性  

Linkage Relationship and Time Dynamic Correlation between RMB Exchange Rate,Stock Price and Real Estate Price

作　　者：郭锐欣[1] 朱怀任 

机构地区：[1]对外经济贸易大学保险学院,副教授北京100029 [2]哈尔滨理工大学经济与管理学院,硕士研究生哈尔滨150080

出　　处：《浙江社会科学》2017年第10期31-40,共10页Zhejiang Social Sciences

基　　金：教育部人文社会科学青年基金项目"信息不对称环境下金融控股公司管控模式研究:作用机制与效果评估"(项目编号:14YJC790041)的阶段性研究成果

摘　　要：本文首先构建了汇率、股价和房地产价格的形成机制模型和联动模型,然后基于VAR-DCC-MGARCH模型建立时间序列方程,实证分析了2007年1月至2016年12月人民币汇率、股价和房价的联动关系与时变动态相关性。通过对人民币汇率、股价和房价三者间联动关系的研究,得出结论:人民币汇率市场化改革吸引短期资本持续流入国内,国内资本流动性增强,对股市与房地产市场产生正面影响;股票市场对外汇市场影响不大。人民币汇率、股价与房价之间所具有的密切联动关系对中国系统性金融风险监管提出了挑战,最后给出政策建议。Based on the model of Dieci & Westerhoff(2010), this paper constructs the formation mechanism model and linkage model of exchange rate, stock price and real estate price. Then we establishes the VAR-DCC-MGARCH model to analyze the linkage and dynamic correlation between RMB exchange rate,stock price and real estate price based on the data from January, 2007 to December, 2015. The result shows that short-term capital continues to flow into the domestic because the reform of exchange rate. So domestic capital liquidity increased which stimulate the stock market and real estate market. The stock market has no obvious influence on the foreign exchange market due to the weakening of the stock market's attractiveness to the short-term circulating capital. The close relationship between RMB exchange rate, stock price and real estate price poses a challenge to China's systemic financial risk regulation. This paper gives relevant policy recommendations.

关 键 词：人民币汇率 股价 房价 VAR-DCC-MGARCH模型 

分 类 号：F299.23[经济管理—国民经济] F832.51F832.6