Abstract: This paper puts the RMB exchange rate, house price and stock price into a unified analysis framework, and considers the variance and the risk transfer effect between variables from the two aspects of horizontal change and volatility risk. With the monthly data from July 2010 to December 2017, the ternary GARCH and BEKK time series models are used to study the dynamic relationship between RMB exchange rate, house price and stock price and its volatility risk interaction mechanism. The results show that the three markets have significant effects on each other, especially the risk of price fluctuations. There is a risk transfer effect between the real estate market and the stocks, between the stock market and the exchange rate market, either long-term or short-term. Specifically, in terms of the average spillover, the appreciation of the RMB will promote the rise in house prices and stock prices; however, the price effect between house prices and stock prices is not obvious. In terms of volatility spillovers, the volatility spillover effect between house prices and stock prices is obvious. At the same time, there are ARCH and GARCH volatility effects, and the impact of stock price on exchange rate fluctuations also has ARCH and GARCH volatility effects, but the exchange rate versus stock price is only GARCH type volatility effects.

Key words: house price, stock price, RMB exchange rate, GARCH model

摘要： 本文将人民币汇率、房价和股价三者纳入一个统一的分析框架中,从水平变动和波动风险两个方面考虑时变异方差和变量间的风险传递效应,使用“二次汇改”后的2010年6月到2017年12月的月度数据,采用三元GARCH和BEKK时序模型研究人民币汇率、房价和股价之间的动态影响关系及其波动风险互动机制。研究发现,三个市场相互之间具有明显的影响,特别是价格波动的风险传染上,房地产市场与股票之间、股票市场与汇率市场之间或长期或短期都存在风险的传递效应。具体而言,市场在均值溢出方面,人民币升值会促进房价和股价的上涨;但房价与股价之间的价格影响关系并不明显。在波动溢出方面,房价和股价之间的波动溢出效应明显,同时存在ARCH和GARCH型波动效应,而股价对汇率的波动影响也同时存在ARCH和GARCH型波动效应,但汇率对股价仅有GARCH型波动效应。

关键词: 房价, 股价, 人民币汇率, 三元GARCH