RMB exchange Rate and Real Estate Price:An Empirical Study based on Markov Regime Switching VAR Model
构建包含住房市场和外汇市场的理论模型，利用非线性马尔可夫区制转换VAR模型，实证研究2005年汇改后人民币兑美元汇率与中国房地产价格之间的动态关系，发现两者存在相互促进但具有滞后效应的非线性关系。
Based on assuming that there are foreign investors in domestic housing market,this paper constructs a theoretical model including housing market and foreign exchange market to investigate the dynamic relationship between exchange rate and real estate price.The theoretical model suggests that there are mutual promoting relationships between exchange rate and real estate price.By using nonlinear Markov regime switching VAR model, the authors empirically investigate the nonlinear relationship between RMB/USD exchange rate and China's real estate price after the reform of exchange rate regime in 2005.The empirical results show that the rise of China's real estate price will lead to appreciation of real exchange rate,but there are obvious lag effects,and in some state,the appreciation of real exchange rate may drive China's real estate price to rise.