The Empirical Analysis of RMB Appreciation Expectation and Chinese Housing Prices

从短期来看,热钱流入对房价的影响可以分解为“资本流动效应“和“流动性效应“。从长期来看,人民币升值预期还会通过巴拉萨-萨缪尔森效应、财富效应等“结构性效应“影响房地产价格。本文通过HP滤波、基于VAr模型的格兰杰因果检验和协整检验讨论了以上人民币升值预期影响房地产价格的效应,结果发现:(1)人民币升值预期引起了热钱流入,但是热钱流入的“资本流动效应“并不明显,即热钱流入房地产部门并不能在短期内显著影响房价;(2)热钱流入引发的“流动性效应“,在短期内能够影响房地产价格波动;(3)人民币升值预期会通过“结构性效应“中的财富效用渠道对房地产价格产生长期性影响,但是“结构性“效应中的巴拉萨-萨缪尔森效应并不明显。Traditional literature on the impact of RMB appreciation on housing prices has mainly focused on the impact of hot money on housing prices.However,RMB appreciation can affect housing prices in many ways.In the short term,hot money may drive up housing prices through the channel of"capital inflow"effect and"liquidity"effect.In the long term,"structural"effects such as Balassa-Samuelson effect and wealth effect are likely to connect the RMB appreciation and housing prices.This paper employs empirical methods to investigate the three effects and the results indicate that hot money cannot affect housing prices prominently,but liquidity caused by hot money lead to higher volatility of housing prices.In addition,empirical results support the long-term"structural"effects between RMB appreciation and housing prices.国家自然科学基金应急项目“欧洲主权债务危机的影响及对策研究”(71241017); 国家社会科学基金一般项目(12BGJ042); 2012年教育部新世纪优秀人才支持计划; 中央财经大学青年科研创新团队“系统性金融风险的识别、度量与管理”资助项

Structural Modeling and Analysis of Liquidity Premium in Ultra-Long Term Yields

现阶段中国10年期以上超长期国债收益率的编制是完善收益率曲线的重要工作。针对超长期国债流动性较低的市场特征,本文通过引入一个刻画其相对流动性溢价的因子,建立了一个扩展的Nelson-Siegel(NS)无套利利率期限结构模型。实证研究表明:该模型对1-30年期的整条国债收益率曲线具有良好的横截面拟合效果;投资者对超长期国债收益率要求平均为正的流动性溢价,对15-30年期收益率的贡献在13-63个基点;模型提取出的流动性因子与传统的流动性指标具有高度的相关性和一致性;脉冲响应的结果表明流动性因子与三个NS因子之间存在着显著的互动关系,而方差分解表明流动性因子在长期对水平因子和斜率因子的贡献较大。Compiling the ultra - long term bond yields is critical in establishing a reasonable yield curve. Taking into account the liquidity condition of ultra - long term bonds, this paper establishes an arbitrage - free term structure model by introducing a liquidity factor that describes the yields of ultra - long term bond under the Nelson -Siegel setting. The empirical study shows that the model performs well in fitting the yield curve. Investors demand an invariant positive liquidity premium for ultra - long - term bonds, and the liquidity factor is highly correlated and consistent with traditional liquidity measures. Finally, impulse response analysis shows that there is a significant interaction between the liquidity factor and the three NS factors, and according to variance decomposition, the contribution of tbe liquidity factor is significant in explaining the variance of the level and slope factors.国家自然科学基金项目(70903053、71273007)；中央国债登记结算有限责任公司委托“金融工程咨询项目”的资助