Real Effective Exchange Rate, “Hot Money”Flow and House PriceTheory and Evidence from China
YUAN Dong, HE Qiugu, ZHAO Bo
National School of Development, Peking University; Crawford School of Public Policy, Australian National University; National School of Development, Peking University
Abstract:
This paper examines the influence of real effective exchange rate (REER) on house price. Based on the theoretical model, we illustrate the potential channel that REER affects house price, and propose two hypothesis. Using data from 45 countries, we verify that rising REER does increase house price, while the financial openness doesn't affect the impact of REER on house price. Using China's national-level data, we employ Granger causality test based on a VAR model to verify the potential mechanism that REER influences house price. We find that the increase in REER can Granger cause the inflow of hot-money, which promotes the rise of house price. Our results indicate that the increase of the REER of RMB can account for about 13~25% of the rise of house price in China from 2005 to 2014.
袁东, 何秋谷, 赵波. 实际有效汇率、“热钱”流动与房屋价格——理论与实证[J]. 金融研究, 2015, 423(9): 17-33.
YUAN Dong, HE Qiugu, ZHAO Bo. Real Effective Exchange Rate, “Hot Money”Flow and House PriceTheory and Evidence from China. Journal of Financial Research, 2015, 423(9): 17-33.
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