Research On The Time-varying Dynamic Relationship Among RMB Exchange Rate,Money Supply And Housing Prices

After the reform of China's exchange rate system in July 2005,the RMB exchange rate began to adopt a floating exchange rate system.With the reform of China's financial market and the opening of the foreign exchange market,international capital flows frequently.Because of the high profitability of China's housing,the real estate industry,which is one of the capital markets,is favored with foreign capital.At the same time,the influx of hot money makes the scale of foreign exchange reserves continue to increase.Foreign exchange funds have become the main channel for China's money issuance,and excessive money supply may also push up real estate prices by causing inflation.The fluctuations of housing prices will influence the money supply through various channels such as the wealth effect.Based on this,there may be complex linkages and mechanisms among the foreign exchange market,the money market,and the real estate market in China.Whether the three markets can coordinate development will not only affect the healthy development of China's economy,but also affect financial security and social stable.Therefore,we select monthly data from July 2005 to December 2017,and use non-linear methods to study and analyze the nonlinear time-varying dynamic relationship among RMB exchange rate,money supply,and housing prices in China.The main conclusions are as follows:(1)Money supply is the main factor affecting China's housing prices,and housing prices are the main influencing factors of exchange rate.And there are significantly asymmetric relationships in the processes of the fluctuations of money supply affecting house prices and the fluctuations of house price affecting exchange rates.(2)There is a significant long-term relationship between the exchange rate,money supply,and housing prices in China,and there is a long-term asymmetric effect between money supply and house prices.(3)There are significant time-varying dynamic characteristics among RMB exchange rate,money supply,and housing prices in China.(4)The changes in the exchange rate of the RMB and China's money supply will have a significant impact on each other.The sharp fluctuations of house prices will respectively have significant impacts on money supply and RMB exchange rate.