摘要
本文运用EGARCH模型求出人民币汇率波动的量度,然后在VAR模型的基础上,通过协整分析、Granger因果检验、脉冲响应等方法进行实证检验。研究表明:(1)人民币升值会推动房价上涨;(2)房价上涨会进一步加大人民币升值压力,人民币升值与房价上涨二者之间存在正反馈效应;(3)扩大人民币汇率波动区间会降低房价。在当前扩大人民币汇率波动区间能够在一定程度上避免为保持经济平稳较快发展而产生的对高房价调控的有所顾虑的可能行为,从而有利于加强对高房价的调控。
Firstly, this paper gets the measure of the RMB exchange rate fluctuation by establishing EGARCH model, and then based on the model of VAR, adopts the methods of co - integration test, Granger Causality, the IRF（ impulse response function） and so on to study the effectiveness of the appreciation of RMB and the fluctuation of RMB Exchange Rate. The results of empirical research show： （ 1 ） the appreciation of RMB does push up the housing price; （2）the rising of housing price in turn increases the pressure of the appreciation of RMB ; （3） the enlargement of the RMB exchange rate fluctuation does decrease the housing price. At present, the enlargement of the RMB exchange rate fluctuation can improve the effectiveness of macro - control of surge of housing price because of the weakness of impossibility of real control of housing price afraid of affecting the GDP.
出处
《经济与管理研究》
CSSCI
北大核心
2010年第6期43-50,共8页
Research on Economics and Management
基金
国家社会科学基金项目(06&ZD028)"完善国家宏观调控体系与保持经济平衡较快发展"的阶段性研究成果
关键词
人民币升值
汇率波动
房价调控
Appreciation of RMB
the Fluctuation of RMB Exchange Rate
the Control of the Housing Price
