In this paper, RMB exchange rate, h

本文将人民币汇率，房价和股票价格纳入一个单一的分析框架，并从水平变化和波动风险两个方面考虑了时间方差与变量之间的风险转移效应。根据第二次汇率改革后2010年6月至2017年12月的月度数据，使用三元GARCH和BEKK时间序列模型研究人民币汇率，房价和股票价格之间的动态关系以及波动风险的相互作用机制。研究发现，三个市场之间存在明显的相互影响，尤其是价格波动的风险传染，房地产市场与股票市场，股票市场与汇率市场，长期或短期之间存在风险传递效应。 -学期。具体来说，就市场平均溢出而言，人民币升值将促进房价和股票价格的上涨；但是，房价与股票价格之间的关系并不明显。在波动性溢出方面，房价与股票价格之间的波动性溢出效应是明显的，并且ARCH和GARCH都具有波动性效应，而股票价格也对汇率具有ARCH和GARCH波动性，但是汇率只具有GARCH波动对股价的影响。

本文将人民币汇率、房价、股价纳入单一分析框架，从横向变化和波动风险两个方面考虑时差与变量之间的风险转移效应。基于2010年6月至2017年12月第二次汇率改革后的月度数据，采用三元GARCH和BERK时间系列模型，研究人民币汇率、房价与股价的动态关系以及波动风险的相互作用机制。研究发现，这三个市场相互影响明显，特别是价格波动的风险传导，房地产市场与股票市场、股票市场与汇率市场之间，或长期或短期之间存在着风险传递效应。具体来说，从市场平均溢出性来看，人民币升值将促进房价和股价的上涨：然而，房价与股价的关系并不明显。在波动性溢出方面，房价与股价之间的波动溢出效应明显，同时存在ARCH和GARCH波动效应，而股价对汇率也有ARCH和GARCH波动效应，但汇率仅对股价具有GARCH波动效应。

In this paper, RMB exchange rate, house price and stock price are brought into a single analysis framework, and the risk transfer effect between time variance and variables is considered from two aspects of horizontal change and fluctuation risk. Based on the monthly data from June 2010 to December 2017 after the second exchange rate reform, ternary GARCH and BEKK time series models are used to study the dynamic relationship among RMB exchange rate, house price and stock price and the interaction mechanism of fluctuation risk. It is found that the three markets have obvious influence on each other, especially on the risk contagion of price fluctuation, and there is risk transmission effect between real estate market and stock market, stock market and exchange rate market, or long-term or short-term. Specifically, in terms of market mean spillover, RMB appreciation will promote the rise of house prices and stock prices; However, the relationship between house price and stock price is not obvious. In the aspect of volatility spillover, the volatility spillover effect between house price and stock price is obvious, and there are both ARCH and GARCH volatility effects, while stock price also has ARCH and GARCH volatility effects on exchange rate, but exchange rate only has GARCH volatility effects on stock price.<br>