Based on the theoretical analysis of the influencing factors of real estate market and the transmission channel of exchange rate to house price, this paper constructs a financial dynamic CGE model which conforms to the macroeconomic framework of China. The empirical results show that exchange rate volatility has an obvious impact on the real estate market price, and there is a periodic response to the imported deflation effect and the Balassa-Samuelson effect brought about by the appreciation of RMB and the depreciation; in addition, the credit effect, liquidity effect, expectation effect and wealth effect brought about by the exchange rate change all have impacts on housing prices, and the most influential factor is spillover effect. To avoid the impact of cross-border arbitrage capital on domestic asset prices, formation mechanism of RMB exchange rate, cross-border capital should be regulated by policymakers, so as to achieve long-term stable and healthy deve-lopment of the housing market and economy.
Key words
Exchange rate /
House price /
Financial dynamic computational general equilibrium /
Imported deflation /
Balassa-Samuelson hypothesis
{{custom_keyword}} /
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
References
[1] Benson E D, Hansen J L. The Influence of Canadian Investment on U.S.Residential Property Values[J].Journal of Real Estate Research, 1997(13): 231-250.
[2] Miller N G, Sklarz M A, Nicholas Ordway. Japanese Purchases, Exchange Rates, and Speculation in Residential Real Estate Markets[J].Journal of Real Estate Research, American Real Estate Society, 1988, 3(3): 39-49.
[3] Benson E, Hansen J, Schwartz A, Smersh G. Canadian /U.S Exchange Rates and Non-resident Investors: Their Influence on Residential Property Values[J].Journal of Real Estate Research, 1999, 18(3):433-462.
[4] Ghosh S, Reitz S. Capital Flows, Financial Asset Prices and Real Financial Market Exchange Rate: A Case Study for an Emerging Market India[J].Journal of Reviews on Global Economics, 2013(2): 158-171.
[5] 周京奎.利率、汇率调整对房价的影响——基于理论与经验的研究[J].金融理论与实践,2006(12):3-6.
[6] 杜敏杰,刘霞辉.人民币升值预期与房地产价格变动[J].世界经济,2007(1):61-66.
[7] 廖慧,张敏. 人民币汇率与我国股价、房价的联动关系研究[J].投资研究,2012(7):108-117.
[8] 王申,陶士贵. 人民币汇率与房地产价格的互动关系:基于Markov区制转换VAR模型的实证研究[J].金融与经济,2015(6):62-67.
[9] 郭锐欣,朱怀任. 人民币汇率与股价、房价的联动关系与时变动态相关性[J].浙江社会科学,2017(10):31-40.
[10] 朱孟楠,丁冰茜,闫帅. 人民币汇率预期、短期国际资本流动与房价[J].世界经济研究,2017(7):17-29.
[11] Lamont O, Stein J C. Leverage and House Price Dynamics in US Cities[J].Rand Journal of Economics, 1997, 30(3): 498-514.
[12] Magne F, Rady S. Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints[J].The Review of Economic Studies, 2006, 73(2): 459-485.
[13] Mankiw N G, Weil D. The Baby Boom, the Baby Bust and the Housing Market[J].Regional Science and Urban Economics, 1989, 19(2): 235-258.
[14] Peng R, Wheaton W C. Effects of Restrictive Land Supply on Housing in Hong Kong: An Econometric Analysis[J].Journal of Housing Research, 1994, 5(2):263-291.
[15] Chesheire P, Sheppard S.The Welfare Economics of Land Use Planning[J].Journal of Urban Economics, 2002, 52(2): 242-269.
[16] 刘民权、孙波. 商业地价形成机制、房地产泡沫及其治理[J].金融研究,2009(10):22-37.
[17] Girouard N, Kennedy M, Noord V D. Recent House Price Developments: The Role of Fundamentals[Z].SSRN 1618196, 2006.
[18] Gete P. Housing Markets and Current Account Dynamics[Z].SSRN Working Paper Series, 2010.
[19] 郑玉歆、樊明太.中国CGE模型及政策分析[M].北京:社会科学出版社,1999.
{{custom_fnGroup.title_en}}
Footnotes
{{custom_fn.content}}
PDF(3374 KB)
