本文以我国人民币汇率变化与房价波动的历史趋势为背景，从理论上分析了汇率变化对房价影响的综合效应和相互间动态影响机制，以2007年10月-2011年12月的月度数据基础，通过构建VAR-FBEKK模型引入货币供应量作为中介变量从直接和间接两个角度分析了人民币汇率变化对我国房价波动的影响，并通过主成分分析模拟中断的2011年1月-2015年6月的全国新建住宅价格指数对模型估计结果进行了稳健性检验和对比分析。本研究发现：人民币汇率变化对我国房价波动没有直接显著的推动作用，但可能存在以货币供应量为中介的间接传导关系；人民币汇率变化对房价增速的直接波动溢出效应很小，但汇率变化率与货币供应量变化率的联合波动以及货币供应量变化率的波动均对房价增速变化具有显著影响，即人民币汇率变化对房价增速存在间接波动溢出效应。这说明人民币汇率变化对房价波动影响并不直接显著，中央银行可进一步协调好货币政策与汇率政策，继续稳步实施汇率制度改革，同时加强对房价波动的“关注”。上述研究丰富了资产价格与汇率政策关系的相关研究成果，并且从直接和间接影响两个角度提供了汇率变化如何作用房价波动的新证据。
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 June 2015 by 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.
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