Empirical Research on the Correlation Effects of Real Estate Prices and Exchange Rate

摘要：

In this paper, a VAR model is established between the real estate price index and the change rate of exchange rate. With the monthly average data of RMB-U.S. dollar forward exchange rate, the actual nominal exchange rate and the change rate of real estate price index, we conducted a Correlation test, Variance Decomposition and Granger causality test for the relationship between the real estate price index and RMB exchange rate. Then we drew the conclusion as follows: There is a persistent bidirectional effect on the expected change rate of exchange rate and the real estate price index. Furthermore, the expected change rate of the exchange rate is a significant Granger cause of the fluctuation of real estate price index.

关键词： Real estate price RMB exchange rate the expected rate of change

作者: Yanjun Huang Qing Jing Qi Jiao

作者单位: School of Economics, Zhejiang University, Zheda Road 38 Hang Zhou, Zhejiang, China

会议类型: 国际会议

会议名称: International Forum of Knowledge as a Service(2010知识服务国际论坛)

会议地点: 厦门

会议语种:英文

页码: 11-14

在线出版日期: 2010-04-12（万方平台首次上网日期，不代表论文的发表时间）