本文以我國人民幣匯率變化與房價波動的歷史趨勢為背景,從理論上分析了匯率變化對房價影響的綜合效應和相互間動態影響機制,以2007年10月-2011年12月的月度數據基礎,通過構建VAR-FBEKK模型引入貨幣供應量作為中介變量從直接和間接兩個角度分析了人民幣匯率變化對我國房價波動的影響,并通過主成分分析模擬中斷的2011年1月-2015年6月的全國新建住宅價格指數對模型估計結果進行了穩健性檢驗和對比分析。本研究發現:人民幣匯率變化對我國房價波動沒有直接顯著的推動作用,但可能存在以貨幣供應量為中介的間接傳導關系;人民幣匯率變化對房價增速的直接波動溢出效應很小,但匯率變化率與貨幣供應量變化率的聯合波動以及貨幣供應量變化率的波動均對房價增速變化具有顯著影響,即人民幣匯率變化對房價增速存在間接波動溢出效應。這說明人民幣匯率變化對房價波動影響并不直接顯著,中央銀行可進一步協調好貨幣政策與匯率政策,繼續穩步實施匯率制度改革,同時加強對房價波動的"關注"。上述研究豐富了資產價格與匯率政策關系的相關研究成果,并且從直接和間接影響兩個角度提供了匯率變化如何作用房價波動的新證據。

Based on the historical trend of RMB exchange rate changes and real estate price’s fluctuation in China,the comprehensive impact of exchange rate changes on real estate price and the mechanism of dynamic impact between each other are analyzed in theory.Based on monthly data from October 2007 to December 2011 and VAR-FBEKK model,the effects of the RMB exchange rates’ changes on the volatility of real estate price form direct and indirect perspective are studied by introducing the money supply as an intermediary variable,and the estimating results of model are made a robustness test and a comparative analysis through simulating interrupt data of National New Housing Price Index from January 2011 to June2015by Principal Component Analysis.The results show that,the changes in RMB exchange rates don’t play a directly significant role on the China’s real estate price’s fluctuations,but indirect relationship of exchange rates’ changes transferring to the real estate price’s fluctuations may exist through money supply as an intermediary variable;the changes in RMB exchange rates have little directly spillover effects on the real estate price’s growth rate,but both the co-volatility of exchange rates’ changes and changes in the money supply and the volatility of changes in the money supply have significant impacts on the estate price’s growth rate,namely the changes in RMB exchange rates have an indirectly spillover effect on the real estate price’s growth rate.Therefore,the central bank should further coordinate monetary policy and exchange rate policy;continue to steadily implement the reform of the exchange rate regime,while strengthening "attention" on the real estate price’s fluctuations.The above findings enrich the theoretical research of the relationship between asset price and exchange rate policy,and also provide new evidence of how exchange rate changes affect real estate price’s fluctuation form the point of view of direct and indirect effects.