利率、汇率和房价谁是波动的源头?——基于MGARCH模型的波动溢出效应研究  

Who Is the Source of Volatility,Interest Rate,Exchange Rate or Housing Price?——Study on the Effect of Volatility Spillover Based on MGARCH Model

作　　者：徐升艳 王睿智 周玉琴 XU Sheng-yan;WANG Rui-zhi;ZHOU Yu-qin

机构地区：[1]河海大学商学院 [2]青岛国信金融控股公司

出　　处：《经济论坛》2020年第3期47-59,共13页Economic Forum

基　　金：国家自然科学基金青年项目“地方政府土地配置结构失衡的机制分析和效应测度——基于房地产市场分化和工业企业TFP的考察”(71603071);中央高校基本科研业务费专项资金资助:“地方政府土地配置结构研究”(2017B19114)。

摘　　要：利率、汇率、房价稳定是金融稳健运行的核心,对于保证经济稳健运行具有重要意义。这三个因素谁是波动的源头?本文基于2000年3月-2017年3月月度数据,构建BEKK-GARCH与DCC-GARCH模型,研究利率、汇率、房价变化率波动溢出效应的传导方向与动态变化。研究发现:房价变化率波动是信息波动的源头,房价波动向货币市场与外汇市场传导。利率波动也会传导到外汇市场,但外汇市场向外信息传递的作用有限。利率、汇率、房价三者之间存在波动溢出效应,包括直接效应与间接效应。波动溢出效应呈现动态变化,在利率、汇率改革等重要时点前后波动溢出效应会发生显著变化。研究说明,稳定房价对于稳定利率和汇率具有重要作用,保持房价平稳有利于降低房价波动对利率与汇率的冲击。研究也发现,利率、汇率改革短期会加剧波动,但长期有利于利率、汇率和房地产市场的稳定。因此,房价进入平稳阶段后,应抓住机遇深化利率、汇率市场化改革,以建立完善稳健的金融运行体系。Interest rate,exchange rate,and house price stability are the core of financial sound operation,and have important practical significance for ensuring stable economic operation.Who are the three sources of volatility?Based on the monthly data from March 2000 to March 2017,this paper constructs BEKK-GARCH and DCCGARCH models to study the transmission direction and dynamic changes of the volatility spillover effects of interest rate,exchange rate and house price change rate.The study found that fluctuations in house price change rate are the source of information fluctuations,and house price fluctuations are transmitted to the money market and the foreign exchange market.Interest rates will also be transmitted to the foreign exchange market,but the role of the foreign ex⁃change market for information transfer is limited.There are volatility spillover effects between interest rates,ex⁃change rates,and housing prices,including direct and indirect effects.The volatility spillover effect shows a dynam⁃ic change,and the volatility spillover effect will change significantly before and after important time points such as interest rate and exchange rate reform.The research conclusions show that stable housing prices play an important role in stabilizing interest rates and exchange rates.Maintaining stable housing prices is conducive to reducing the impact of housing price fluctuations on interest rates and exchange rates.The study also found that interest rate and exchange rate reforms will exacerbate volatility in the short term,but will benefit the stability of interest rates,ex⁃change rates and the real estate market in the long run.Therefore,in the stage of stable housing prices,we should seize the opportunity to deepen interest rate and exchange rate market reforms in order to improve China's sound fi⁃nancial operation system.

关 键 词：波动溢出 传导路径 动态变化 多元GARCH 

分 类 号：F299.23[经济管理—国民经济] F832.6