人民币升值外资进入与房价上涨宏观经济学——理论与实证rmb.doc

人民币升值、外资进入与房价上涨（宏观经济学） ——理论与实证 RMB appreciation, the inflow of foreign capital and housing price rising ——theory and evidence 摘要：本文通过一个内生化的资本溢出效应模型，在“套利”、“套价”、“套汇”的三重套利框架下，重新研究了当前人民币不断升值背景下，大规模的外资流入与不断上涨房价之间的关系，本文从理论上证明了房价与外资企业数正相关，与内资企业数负相关，同时人民币升值预期与外资流入之间的正向关系，只是未达到最大利润的非均衡状态表现，这些结论都得到了1999-2008年全国30个省面板数据联立方程2SLS估计结果的支持，计量结果还发现房价与外资之间并不存在明显相互作用关系，造成外资流动的三重套利因素中也只有 “套汇”动机得到了证实，最后我们又通过面板var和面板误差修正模型对三者的动态作用机制进行了检验，结果表明在长期中是高房价吸引了外资进入房地产行业，人民币升值预期在长期中并没有明显的吸引外资流入，但是却十分显著的推动了房价的上涨。 关键词：人民币升值 外资 房价 资本溢出效应 三重套利 Abstract:This paper re-examines the relationship between large-scale inflow of foreign capital and rising house prices under the condition of RMB appreciation, by the endogenous spillover effect of capital and triple- arbitrage framework. It proved theoretically that housing price positively correlated with the number of foreign enterprises, while negative correlated with the number of domestic enterprises, and only on the non-equilibrium state, expectations of RMB appreciation positively correlated with foreign inflow. The empirical conclusions employed 2SLS, with 30 provinces from1999 to2008 support them, and then the results show that there is no obvious interaction between the foreign capital and house price and only arbitrage of exchange motive has been confirmed. Finally, we employed PVAR and PVECM to test the three channel of interest arbitrage, in the long run, high prices attracts more foreign investment into the real estate, expectations of RMB appreciation does not attract the inflow of foreign capital, but very significantly contributed to house price increases. Key words:RMB appreciation foreign capital housing price the effect of capital spillover Triple arbitration 人民币升值、外资进入与房价上涨 ——理论与实证 一．引言 改革开放以来，我国与世界各国的经济往来也越来越频繁，这其中我国凭借着廉价的劳动力优势在对外贸易中总是保持净出口的出超地位。特别是2001年入世以来，我国的贸易顺差更是呈现出几何级数般的增长，由2001年的281亿美元上升到2009年的22