汇率和利率的变动对房地产价格的影响研究
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摘要
本文运用宏观分析与微观分析相结合,规范分析与实证分析相结合的方法,研究了代表国内外资金相对价格的汇率以及代表国内资金价格的利率与房地产价格的互动影响机制,并针对我国的实际情况进行具体分析。通过分析资本市场、商品市场和货币市场的不同影响因素和效应机制,本文将汇率与房地产价格之间的关联效应总结为流动性效应机制、预期效应机制及溢出机制,并对更有说服力的预期机制进行了实证研究,证明了人民币预期升值会促使房地产价格上涨。同时,本文利用“不可能三角形”的理论解释了汇率冲击对不同国家房地产泡沫影响各异的原因,为如何预防国内产生房地产泡沫提供了借鉴。对于利率与房地产价格的关系,本文分别从房地产需求方与供给方的角度进行了研究。利用对中国房地产价格和各种实际存贷款利率关系的实证检验,得出结论,短期而言,利率与房价存在负向影响,长期而言,一年期商业贷款实际利率对房价存在正向影响。同时,本文分析了利率在美国次级抵押贷款危机中的作用,指出错误的利率政策会对房地产市场甚至整个经济产生危害。因此,在现阶段选择适当的利率手段调控房地产市场,有利于保持我国房地产价格的稳定,从而促进宏观经济与金融的稳定。
With the study methodology of combining the micro analysis and macro analysis jointly and binding the positive analysis and the normative analysis together, this thesis focuses on the interaction mechanism between the exchange rate which is on behalf of the relative price of domestic and foreign capital, as well as the interest rate which is on behalf of domestic funds and the real estate prices. And also it carries out a specific analysis against the actual situation of our country. In the analysis of different factors and reactions of the property market, the currency market and the commodity market, this paper summarizes the interaction of the exchange rate and the real estate prices as the expectation, wealth and spill-over effect. It sets up a mathematical model on the most persuasive mechanism of expectation effect to prove that the expected revaluation of RMB exchange rate will lead the estate prices up. At the same time, this article makes use of the "Impossible Triangle" theory to explain the different impacts when the exchange rate shocks different countries' real estate markets, providing a reference for the prevention of domestic real estate bubble. For the relationship between interest rates and real estate prices, this article studies from the perspective of the demand-side and the supply-side separately. By the empirical tests between Chinese real estate prices and the actual deposit and lending rates of, it concludes that for the short term, interest rates affect housing prices negatively, and for the long term, there exists a positive impact for one-year real interest rates of commercial loans on housing prices. The article also analyzes the role of the interest rates in the United States subprime mortgage crisis, pointing out that the wrong interest rate policy will harm the real estate market and even the economy as a whole. Therefore, at this stage, it is better to choose the appropriate interest rate means to control the real estate market. It is conducive to maintain the stability of our country's real estate prices and to promote the stability of macroeconomic and financial market.
With the study methodology of combining the micro analysis and macro analysis jointly and binding the positive analysis and the normative analysis together, this thesis focuses on the interaction mechanism between the exchange rate which is on behalf of the relative price of domestic and foreign capital, as well as the interest rate which is on behalf of domestic funds and the real estate prices. And also it carries out a specific analysis against the actual situation of our country. In the analysis of different factors and reactions of the property market, the currency market and the commodity market, this paper summarizes the interaction of the exchange rate and the real estate prices as the expectation, wealth and spill-over effect. It sets up a mathematical model on the most persuasive mechanism of expectation effect to prove that the expected revaluation of RMB exchange rate will lead the estate prices up. At the same time, this article makes use of the "Impossible Triangle" theory to explain the different impacts when the exchange rate shocks different countries' real estate markets, providing a reference for the prevention of domestic real estate bubble. For the relationship between interest rates and real estate prices, this article studies from the perspective of the demand-side and the supply-side separately. By the empirical tests between Chinese real estate prices and the actual deposit and lending rates of, it concludes that for the short term, interest rates affect housing prices negatively, and for the long term, there exists a positive impact for one-year real interest rates of commercial loans on housing prices. The article also analyzes the role of the interest rates in the United States subprime mortgage crisis, pointing out that the wrong interest rate policy will harm the real estate market and even the economy as a whole. Therefore, at this stage, it is better to choose the appropriate interest rate means to control the real estate market. It is conducive to maintain the stability of our country's real estate prices and to promote the stability of macroeconomic and financial market.
引文
1 数据来源:曹垂龙.论人民币汇改的国际游资抑制效应[J].上海金融,2007,12:73-76
1 王燕.货币政策的房地产价格传导机制[D].南京师范大学,硕士学位论文,2006:11-13
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3 黄平.我国房地产“财富效应”与货币政策的关系验证[J].上海金融,2006,6:32-34
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1 王燕.货币政策的房地产价格传导机制[D].南京师范大学,硕士学位论文,2006:11-13
2 张存涛.中国房地产价格的财富效应分析[J].价格理论与实际,2006,11:48-49
3 黄平.我国房地产“财富效应”与货币政策的关系验证[J].上海金融,2006,6:32-34
1 张红,耿媛元.汇率对房地产投资市场的影响[J].中国房地产金融,1999
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[4] C. Mitchell Conover, H. Swint Friday, G. Stacy Sirmans. Diversification Benefits from Foreign Real Estate Investments [J]. Journal of Real Estate Portfolio Management
[5] Cho, Dongchul. Interest Rate, Inflation, an Housing Price: with an Emphasis on Chonsei Price in Lorea[R]. The Fifteenth NBER East Asian Seminar on Economics at Tokyo, 2004
[6] Chris Brooks. Introductory Econometrics for Finance[M]. Cambridge University Press, 2002
[7] Cooper, Adrian. The Impact of Interest Rates and the Housing Market on the UK Economy [J]. Economic Outlook, 2004, 28: 10-18
[8] Dornbusch, Rudiger. Exchange rate and price [J]. American Economic Review, 1987, 77 (3): 83-1061
[9] Earl D Bensen, Julia L Hansen, Arthur L Schwartz Jr, Gregory T Smersh. The influence of Canadian investment on U.S. residential property values[J]. The Journal of Real Research, 1997, 13, 3: 231-249
[10] Engle, R. F. , Granger, C. W. J. Cointegration an Error Correction: Representation[J]. Estimation and Testing, 1987, 55: 251-276
[11] Eric J.Levin, Robert E. Wright. The impact of speculation on house prices in the United Kingdom [J]. Economic Modelling, 1997, 14: 567-585
[12] Fariborz Moshirian, Toan Pham. Determinants of US investment in real estate abroad [J]. Journal of Multinational Financial Management, 2000, 10: 63-72
[13] Goodmam. J. L. Interest Rates and Housing Demand 1993-1995[J]. The Mid-year AREUEA Meeting of 1995
[14] Granger, C. W. J. Some Recent Development in a Concept of Causality[J]. Journal of Econometrics, 1985, 39: 199-211
[15] Harris J. The Effect of Real Rates of Interest on Housing Prices[J]. Journal of Real Estate Finance and Economics, 1989, 2: 47-60
[16] Hoesli M. , Lekander J. , Witkiewicz W. International Evidence on Real Estate as Portfolio Diversifier [J]. Journal of Real Estate Research, 2004, 26 (2): 161-206
[17] Jack C. Harris. The Effect of Real Rates of Interest on Housing Prices[J]. Journal of Real Estate Finance and Economics, 1989, 2: 47-60
[18] Jieming Zhu, Loo-Lee Sim, Xing-Quan Zhang. Global real estate investments and local cultural capital in the making of Shanghai's new office locations [J]. Habitat International, 2006, 30: 462-481
[19] John Kiff, Paul Mills. Money f or Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets[J]. IMF Working Paper, 2007, 7: 188
[20] John M. Quigley. Real Estate Prices and the Asian Crisis [J]. Journal of Housing Economics, 2001, 10: 129-161
[21] Kau. James B. and Keenan Donald C. The Theory of Housing and Interest Rates[J]. Journal of Financial and Quantitative Analysis, 1980, 6: 833-847
[22] Kenny. G. Modeling the Demand and Supply Sides of the Housing Market Evidence from Ireland[J]. Economic Modeling, 1999, 16: 389-409
[23] Kwame Addae-Dapaah, Hwee L Loh. Exchange Rate Volatility and International Real Estate Diversification: A Comparison of Emerging and Developed Economics [J]. Journal of Real Estate Portfolio Management, 2005, 11: 225-240
[24] Liu, C. , J. Mei. The Predictability of International Real Estate Markets, Exchange Risks, and Diversification Consequences [J]. Real Estate Economics, 1998,26:3-39
[25]Matthias Thomas,Stephen L Lee.The Impact of Exchanges Rates on International Real Estate Portfolio Allocation[J].Journal of Real Estate Portfolio Management,2006,12:277-291
[26]Miller N.,M.Sklarz and N.Ordway,Japanese Purchases,Exchange Rates and Speculation in Residential Real Estate Markets[J].Journal of Real Estate Research,1998,3:39-49
[27]Minaky,H.P.Financial Instability Revisited:The Economics of Disaster[J].Reappraisal of Federal Reserve Discount Mechanism,1975.Stabilizing an Unstable Economy,1986
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[29]Mueller,GlennR,Pauley,Keith R.The effect of interest rate movements on real estate investment trust[J].The Journal of Real Estate Research,1995,10:319-323
[30]Nan-Kuang Chen.Asset price fluctuations in Taiwan:Evidence from stock and real estate prices 1973 to 1992[J].Journal of Asian Economics,2001,12:215-232
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