The Empirical Study Of The Exchange Rate Of RMB Against Dollar To Real Estate Company’s Share

On July 21,2005, the RMB has a reform of The exchange rate, the RMB had a way to appreciation since, the exchange rate from one us dollar to RMB 8.2765 yuan before the revaluation of the middle price rose to 6.09 RMB for one us dollar. Since March 15,2014 RMB exchange rate fluctuation scope expands from 1% to 2%, the change of exchange rate has important influence to our country economy. The RMB exchange rate changes more and more arouse people’s attention. Under the appreciation of the RMB exchange rate, the value of RMB assets is appreciated, real estate as an important renminbi assets, must become an investment object,while the dollar return, renminbi with a depreciation in anticipation, in August 11,2015, with a new middle pricing mechanism, the RMB Officially enters the devaluation expectations,during three consecutive days, the cumulative drop is about 4%, especially must have important influence to China’s real estate investment for renminbi assets. During the appreciation and depreciation of the exchange rate of RMB against the us dollar, the real estate company’s share price has experienced great changes in Shanghai real estate index. Since July 2005, the Shanghai real estate index float from 735 to7960 in 2008, the Shanghai real estate index dropped after the financial crisis, fall to about 1800 points. with the further appreciation of the RMB exchange rate against the dollar, the Shanghai real estate index continue to rise, with the appreciation of the RMB exchange rate against the dollar, as an important renminbi assets of real estate company’s share price can be roughly about real estate as renminbi assets investment. Under the depreciation anticipation of the RMB exchange rate,the value of renminbi assets devaluation,with the contrary action to the real estate. It is necessary to study the change of the exchange rate’s influence on the real estate company’s share price.Since RMB exchange rate fluctuations has a great significance to the real estate price,This paper first reviews the basic theory knowledge between exchange rate and stock price,and the pathway between them, on the basis of these theories, then combine with the practical situation of China’s real estate specific analysis on the impact of the RMB exchange rate on real estate pathways principle.after the theory analysis is the empirical analysis,first of all, explain the sample selection and data sources, and then analysis the design of the model. In the empirical model, in turn has carried on the unit root test, cointegration test, granger causality test, vector error correction model, impulse analysis and variance decomposition analysis. This article also has carried on the rate of return on the RMB exchange rate and real estate price volatility spillover effect between the inspection.In this paper,has these basic conclusions:Between the price.spilloverd of RMB exchange rate and effect real estate price, using VAR model, cointegration analysis and granger causality test and variance decomposition methods, the empirical results show that the RMB exchange rate against the dollar have a long-term cointegration relationship with China’s real estate shares, in the long term, the appreciation of the RMB exchange rate against the dollar leads to the rising of the real estate price;use Granger causality test to analyze the RMB exchange rate against the dollar and China’s real estate shares; we get that RMB exchange rate against the dollar and real estate prices are granger causality; There is a one-way volatility spillover effect between RMB exchange rate and the real estate share price, it is the RMB exchange rate fluctuations exists spillover effects to real estate shares yield volatility, but the rate of return on real estate price fluctuations of the RMB exchange rate against the dollar volatility spillover effect is not obvious. In August 11,2015,with the new pricing mechanism reform, the RMB Officially enters the devaluation expectations, the corresponding RMB assets are under depreciation, as the main currency assets in the form of a real estate, the share price must fall.