以宏觀經濟學視角論中國人民幣升值與外資進入　房價上漲關係實證研究

An empirical study on the relationship between RMB appreciation and foreign investment and housing price increase from the perspective of Macroeconomics

本文通過一個內生化的資本溢出三重套利框架下的效應模型，在「套利」、「套價」、「套匯」，重新研究了當前中國人民幣不斷升值背景下，大規模的外資流入與不斷上漲房價之間的關係，本文從理論上證明了房價與外資企業數正相關，與內資企業數負相關，同時中國人民幣升值預期與外資流入之間的正向關係，只是未達到最大利潤的非均衡狀態表現，這些結論都得到了2009-2017年全國30個省面板資料聯立方程2SLS估計結果的支持，計量結果還發現房價與外資之間並不存在明顯相互作用關係，造成外資流動的三重套利因素中也只有「套匯」動機得到了證實，最後我們又通過面板var和麵板誤差修正模型對三者的動態作用機制進行了檢驗，結果表明在長期中是高房價吸引了外資進入房地產行業，人民幣升值預期在長期中並沒有明顯的吸引外資流入，但是卻十分顯著的推動了房價的上漲。

This article is based on an endogenous capital spillover effect model under the three arbitrage framework. In the 'arbitrage', 'set price' and 'arbitrage', this paper restudies the relationship between the large-scale inflow of foreign capital and the rising price of house prices in the context of the continuous appreciation of China's RMB. The number of foreign-funded enterprises is positively related to the number of domestic enterprises, and the positive relationship between the appreciation expectation of China's RMB and the inflow of foreign capital is only a non-equilibrium state that has not reached the maximum profit. All these conclusions have been supported by the results of the cubic 2SLS estimate of the 30 Provincial Panel Data Union in 2009-2017 years. It is also found that there is no obvious interaction between house price and foreign capital, and only the 'arbitrage' motivation is confirmed in the three arbitrage factor of foreign capital flow. Finally, we have checked the dynamic mechanism of the three by panel VaR and panel error correction model, and the result shows that in the long term it is high house price. Attracting foreign investment into the real estate industry, the expectation of RMB appreciation is not obviously attracting foreign capital inflow in the long run, but it has greatly promoted the rise of house prices.