| Abstract: | 本研究採用平滑移轉模型將人民幣匯率波動率作為門檻變數，消費者物價指數、工業生產指數、利率作為輔助變數，觀察其對上海房地產價格影響的程度。本研究各變數選取時間為2013年7月至2016年12月。實證結果如下：
當人民幣匯率波動率在門檻值附近時，消費者物價指數與房價呈現同向變動，匯率波動率和利率呈現反向變動。即消費者物價指數上升，匯率波動率與利率下降，會導致房價上升；相反，消費者物價指數下降，匯率波動率與利率上升，會導致房價下降；而工業生產指數對房價的影響是不顯著的。當人民幣匯率波動率在門檻值之上下時，變數工業生產指數依然不顯著，消費者物價指數和利率從顯著轉變為不顯著，只有匯率波動率與房價呈現同向變動，從反向顯著轉變為正向顯著，即匯率波動率越大，房價上升，匯率波動率越小，房價下降。
In this study, the Smooth Transition Regression is used, with the volatility of the RMB exchange rate as the threshold variable, and the consumer price index, the industrial production index and the interest rate as auxiliary variables, to observe the RMB exchange rate changes’ impact on the real estate prices in Shanghai. In this study, the variables were quoted from July 2013 to December 2016. The empirical results are as follows:
When the RMB exchange rate is in the vicinity of the threshold, the consumer price index and house prices tend to move in the same direction, while the exchange rate volatility and interest rates display reverse changes. That is, the rising consumer price index, and the declining exchange rate volatility and interest rates lead to rising house prices; conversely, the declining consumer price index, and the rising exchange rate volatility and interest rates, will lead to lower prices; yet the industrial production index does no significant impact on house prices. When the volatility of the RMB exchange rate is in the vicinity of the threshold, the variable industrial production index is still not significant, the consumer price index and the interest rate change from significant to insignificant, only the exchange rate volatility and house prices tend to move in the same direction, which changes from reverse-significant to positive-significant, that is, the greater the exchange rate volatility, the higher the house prices; the smaller the exchange rate volatility, the lower house prices. |
