摘要：本文以FDI作为中介变量，构建人民币汇率对房地产价格作用的概念模型，研究汇率对房价的作用机制。采用中国1996—2015年31个省、市、自治区的面板数据，运用静态和动态面板数据模型，采用层级回归法验证FDI的中介效应，实证研究人民币汇率对房地产价格的短期和长期作用机制，并对东、中、西部三大经济区域的差异性进行比较分析。结果表明：短期内FDI在汇率影响房价的过程中起到了部分中介的作用，形成了汇率→FDI→房价的完整作用路径，而长期中FDI的中介效应不显著；从区域层面，中部地区汇率对房价也存在以FDI为部分中介的传导渠道，而这种间接作用机制在东部和西部地区并不显著；长期来看，房价在很大程度上受到自身惯性的推动作用，房价预期对东部房价的影响程度显著大于其他地区。

关键词：人民币汇率；房价；FDI；中介效应；面板数据模型

A Study on the Mechanism of RMB Exchange Rate on Real Estate Price

Abstract：This paper uses FDI as the mediator variable to construct the conceptual model of the effect of RMB exchange rate on real estate price, and study the mechanism of exchange rate on real estate price. Based on the panel data of 31 provinces, municipalities and autonomous regions in China from 1996 to 2015, the static and dynamic panel data model were used to study the short-term and long-term effects of RMB exchange rate on real estate prices, verifying the intermediary effect of intermediary FDI by using the hierarchical regression method. At the same time, the paper studies the difference of the mechanism of exchange rate on real estate price in the three economic regions of eastern, central and western regions. The results show that in the short term, FDI plays a part of the intermediary role in the process of exchange rate affecting real estate price, which forms the full path of exchange rate→FDI→house price. In the long run, this channel is not significant. From the regional level, FDI also plays a part of the intermediary role in the process of exchange rate affecting real estate price in the central region, but this indirect mechanism is not significant in the eastern and western regions. In the long term, house prices are  promoted  by their  own inertia to a large extent, and the impact of the expectations on the real estate price in the east is significantly greater than in other regions.

Keywords: RMB exchange rate; real estate price; FDI; intermediary; panel data model

目 录

0引言 1

1文献综述 2

1.1汇率与房地产价格之间的关系 2

1.2汇率对房地产价格的作用机制：FDI的中介作用 3

1.3国内外相关研究评述 4

2人民币汇率对房地产价格作用的概念模型构建 4

2.1人民币汇率与房地产价格 4

2.2人民币汇率对房地产价格的作用机制：FDI的中介效应 5

2.3概念模型构建 6

3人民币汇率对房地产价格作用的实证分析 6

3.1变量、数据及模型 6

3.2面板数据模型类型的检验及确定 8

3.3静态面板数据模型 10

3.4动态面板数据模型 12

4研究结论及政策建议 14