20世纪70年代，随着布雷顿森林体系的崩溃，大多数国家开始实行浮动汇率制度，世界主要货币的波动性不断增强，汇率对各国实体经济和金融市场的影响程度逐渐增大。与此同时，资产价格的波动对实体经济的影响也在逐渐增强，特别是资产价格的剧烈波动还可能会引发以货币危机和银行危机为特征的金融危机。根据国际经验，在汇率体制改革过程中，本币的升值往往伴随着资产价格的大幅波动，还会严重影响到本国宏观经济稳定和金融安全。特别是资产泡沫破灭后，将会使一国实体经济的运行陷入困境，甚至引发金融危机和长期的经济衰退。这使得汇率体制改革过程中如何有效调控本币汇率和资产价格成为国内外学者和金融监管部门关注的焦点。我国自2005年7月实行汇率体制改革以来，伴随着人民币的不断升值，人民币汇率的波动幅度在逐渐加大。与此同时，以股票价格和房地产价格为代表的资产价格也大致经历了汇率体制改革以来的大幅上升，受到全球金融危机影响的不同程度的下降，金融危机过后经济开始回暖以来的逐步上升，以及受到欧债危机蔓延加深影响又略有下降的过程。尽管我国资产价格的大幅波动没有造成金融危机的爆发，但还是对我国实体经济产生了一定的负面影响。目前，在欧洲主权债务危机蔓延加深和全球经济复苏放缓的大背景下，热钱又有加速流入我国的趋势，我国资产价格再次出现了上升的苗头。因此，为了使我国在宏观调控的过程中，更好地处理汇率和资产价格之间的关系，从而有效地避免汇率和资产价格的大幅波动对实体经济造成损害，我们有必要深入的研究汇率和资产价格波动之间的作用机制，这不仅具有非常重要的理论意义和现实意义，也是我国制定汇率政策和货币政策必须考虑的问题。在此背景下，本书对人民币汇率和我国资产价格之间相互影响的作用机制进行研究。全书共八章，分为五部分，第一部分（第一章）为导论，第五部分（第八章）为结论和展望，其余部分为正文。第一部分（第一章）：导论。第一章概括性的介绍了本书的选题背景和研究意义、文献综述、结构和研究方法、可能的创新之处，并对相关名词和研究范围进行了简要的解释和说明。第二部分（第二章和第三章）为理论分析。第二章对汇率波动、资产价格波动以及汇率和资产价格关系的基本理论进行介绍，为分析汇率和资产价格之间作用机制奠定了理论基础。第三章通过加入资产价格的方法对著名的蒙代尔—弗莱明模型（Mundell-Fleming Model）加以改进，并据此建立了一个完整的、开放经济条件下的一般均衡分析框架，对汇率和资产价格之间的作用机制进行总体分析。在此基础上，通过加入相关假定与市场现实更加契合的行为金融学中的羊群行为和正反馈交易，使得汇率和资产价格之间作用机制的宏观一般均衡分析具有一定的微观基础，并根据作用渠道的不同将汇率和资产价格之间相互影响的作用机制进一步细分为预期效应、财富效应、流动性效应和溢出效应，采用宏微观相结合的方式为本书的研究搭建理论分析框架。第三部分（第四章和第五章）为实证分析。第四章利用SVAR模型对汇改以来人民币汇率和资产价格之间相互影响的作用机制进行实证分析，得出的结论是：第一，在人民币汇率对资产价格影响的过程中，受国内经济政策和国际经济环境变化的影响，在不同的时期内，人民币汇率分别在财富效应、流动性效应和溢出效应的作用下，通过M2来影响资产价格；在此过程中，人民币汇率还在预期效应的作用下，通过预期收益率进一步强化了对资产价格的影响，因此，我国存在汇率→资产价格这条传导机制。第二，在资产价格对汇率的影响过程中，尽管资产价格通过预期效应来影响汇率，但由于我国利率尚未完全市场化导致财富效应、流动性效应和溢出效应未能在此过程中发挥作用，进而导致我国资产价格→汇率这条传导机制非常微弱。第三，由于股票和房地产之间存在着替代和互补的双重关系，我国的股票价格和房地产价格之间还存在着显著的互动机制。由于我国资产价格→汇率这条传导机制非常微弱，因此第五章对我国汇率→资产价格这条传导机制进行进一步的实证分析，利用状态空间模型突破了SVAR模型估计参数为固定值所导致的局限性，在分别建立股票价格和房地产价格的可变参数状态空间模型的基础上，通过对资产价格的弹性对比，得出的结论是：总的来看，自2005年汇率体制改革以来，随着人民币汇率波动持久性和货币供给机制的不断增强，股权分制改革的完成和住房体制改革的不断推进，我国股票价格和房地产价格对人民币汇率、M2和预期收益率的弹性在逐渐增大。从纵向比较来看，由于和货币政策影响资产价格的传导机制相比，汇率政策影响资产价格传导机制的作用范围更广、作用效率更高，导致了股票价格和房地产价格对人民币汇率的弹性分别略大于股票价格和房地产价格对M2的弹性。因此，在防止资产价格大幅波动方面，汇率政策的作用要略大于货币政策的作用，汇率政策和货币政策协调配合可以更有效的防止资产价格的大幅波动。从横向比较来看，由于股票和房地产在流动性、投资性和风险性上的差异，导致了股票价格对人民币汇率和M2的弹性分别大于房地产价格对人民币汇率和M2的弹性。因此，汇率政策和货币政策在调控股票价格方面比调控房地产价格方面更有效率，为了防止房价大幅波动，相关部门应寻找新的渠道和方法来稳定房价。第四部分（第六章和第七章）为解决问题。第六章在对日本、德国和中国台湾在汇率体制改革过程中调控政策和产生效果进行介绍的基础上，通过对日本和德国在汇率体制改革过程中采取不同的调控策略进而对本币汇率和国内资产价格产生不同影响的正反两方面对比，以及日本和中国台湾在汇率体制改革过程中资产泡沫破灭后所采取的不同政策进而对实体经济产生不同影响的正反两方面对比，为我国在人民币汇率体制改革过程中防范汇率和资产价格的大幅波动提供了一定的经验与借鉴。第七章根据实证分析的结论和汇率体制改革的国际经验，提出：我们应稳步推进人民币汇率体制改革，防范汇率和资产价格的大幅波动；逐步完善货币政策调控体系，合理控制货币流动性；针对资产性质的差异完善调控策略，有效引导公众预期，以便在欧洲主权债务危机蔓延加深和全球经济复苏放缓的大背景下，更好地处理汇率和资产价格之间的关系，逐步完善人民币汇率和资产价格之间的作用机制。第五部分（第八章）为结论和展望。第八章梳理和总结了全书的主要结论和贡献，指出了本书的不足，并阐述了有待进一步研究的问题。相对于国内外为数不多的其他同类研究，本书的创新之处主要体现在理论研究和实证研究这两个方面。在理论研究方面，本书在宏观一般均衡分析的基础上加入了相关假定与市场现实更加契合的行为金融学中的羊群行为和正反馈交易，使得汇率和资产价格之间的宏观一般分析中具有一定的微观基础，采用宏微观相结合的方式为本文的研究搭建理论分析框架。在实证研究方面，本书同时采用SVAR模型和状态空间模型对人民币汇率和资产价格波动之间的作用机制进行分析，以增加政策建议的可靠性和科学性，为政策制定者在实施相关政策时提供理论和实践的依据。特别是可变参数的状态空间模型的应用，有效地克服了以往研究依据历史数据结果提出相应政策建议的缺陷，为未来在人民币汇率波动性逐渐增强的趋势下，提出逐步完善汇率和资产价格之间作用机制的政策建议提供了更加有力的实证依据，具有一定的学术价值和实践意义。关键词：人民币汇率 股票价格 房地产价格 SVAR模型 状态空间模型

The global economic situation experienced a fundamental changes with the collapse of Bretton Woods system in 1970s: Most countries had begun to implement floating exchange rate system;the volatility of the major currencies in the world has been growing gradually;and the influence of the exchange rate on the entity economy and financial markets of all the countries in the world has been increasing gradually. At the same time,the influence of the fluctuation of asset prices on the entity economy was increasing gradually and the drastic fluctuation of the asset prices may lead to the financial crisis which is characterized by currency crisis and banking crisis.According to international experience,the appreciation of local currency is always accompanied by the fluctuation of asset prices,which will seriously affect the domestic macro economic stability and financial security in the process of exchange rate system reform. The real economy will be trapped which may even cause the economic crisis and long-term economy recession,especially after the burst of asset price bubble. Thus,how to regulate exchange rate and asset prices effectively in the process of exchange rate system reform becomes the focus concerned by both the domestic and foreign scholars and financial regulation departments.With the increase of fluctuation range of RMB exchange rate,the asset prices which is represented by the stock price and real estate price also experienced significant fluctuation in the process of the appreciation of RMB,since the implementation of the RMB exchange rate system reform of China in 2005. Along with the increasing of fluctuation range of RMB exchange rate,it is necessary for us to deeply study the interaction mechanism between the exchange rate and fluctuation of asset prices,so as to deal with the relationship between exchange rate and asset prices effectively and avoid the harm to real economy caused by the great fluctuation of exchange rate and asset prices in the process of Macro-control in the context of the spreading of European sovereign debt crisis and the slowing recovery of the global economy. It is not only very important in the theory and practice,but also the problem which we must consider in the process of the formulation of exchange rate policy and monetary policy.In this context,this book researches the interaction mechanism of the exchange rate of RMB and asset prices. It consists of five parts,divided into 8 chapters. The first part （chapter 1） is the introduction,the fifth part （chapter 8） is the conclusion and prospects,and the rest parts are the body.The first part （Chapter1） is the introduction. Chapter1 summarizes the background and the significance of the research,the literature review,the structure of the research,the method of the research and the possible innovations,and then illustrates some relevant terms and the research scope of this paper briefly.The second part （Chapter 2 and Chapter 3） is the theoretical analysis. Chapter 2 introduces the basic theory of the fluctuation of exchange rate,the fluctuation of asset prices and relationship between the exchange rate and asset prices,which places the theoretical foundation for the analysis of the mechanism of exchange rate and asset prices. Chapter 3 does the overall analysis on the mechanism of exchange rate and asset prices from the angle of macroscopic general equilibrium analysis by the method of joining the asset price to the famous Mundell - Fleming model to improved this model in the framework of the complete and open economy. Based on this,this part adds the herding behavior and positive feedback trading in the behavior finance of which assumptions fit the market reality more to the macroscopic general equilibrium analysis to make interaction mechanism of macroscopic general equilibrium analysis with certain microcosmic foundation,and then subdivides the interaction mechanism of exchange rate and asset prices into the expected effect,wealth effect,liquidity effect and spillover effect according to different channels to build up a theoretical analysis framework by the method of combining macroscopic and microscopic for this paper.The third part （Chapter 4 and Chapter 5） is the empirical analysis. Chapter 4 does an empirical analysis on the interaction mechanism of the RMB exchange rate and Chinese asset prices by the SVAR model,and then draws the conclusion that: firstly,there is a exchange rate to asset price transmission mechanism in our country. Secondly,the asset prices to exchange rate transmission mechanism in our country is weak. In addition,there is significant interaction mechanism between stock price and real estate price in our country. On the basis of the empirical analysis of the Chapter 4,Chapter 5 makes the empirical analysis of the transmission mechanism of RMB exchange rate to Chinese asset prices by state space model to break through limitation of fixed parameters in the SVAR model，and then draws the conclusion by the contrast of elasticity of asset prices to various factors. Since RMB exchange rate system reform in 2005,the influence of the RMB exchange rate,money supply and the expected rate of return on asset prices have been increasing gradually on the whole. From the longitudinal comparison,the effect of exchange rate policy is slightly larger than that of monetary policy on the prevention of asset prices fluctuation. From the horizontal comparison,the regulation on the stock price by the exchange rate policy and monetary policy is more efficient than the regulation on real estate price.The fourth part （Chapter 6 and Chapter 7） is about the solutions to the problems. Based on the introduction of the regulation policies and the effects in the process of exchange rate reform of Japan,Germany and Taiwan China,Chapter 6 compares the different regulation strategies and their effects on the economies in the process of exchange rate system reforms of Japan and Germany,and the influences on the entity economy after the burst of asset bubble in the process of exchange rate system reform of Japan and Taiwan China. Through the comparison,Chapter 6 provides some experience and reference that prevent the volatility of RMB exchange rate and asset prices in the process of RMB exchange rate system reform for this book. According to the conclusion of the empirical analysis and the related international experience in the process of exchange rate system reform,Chapter 7 proposes that we should promote the reform of RMB exchange rate formation mechanism steadily to avoid the volatility of the exchange rate and asset prices;improve the monetary policy control system gradually to control the monetary liquidity reasonably;improve the control strategy according to the difference of assets nature in order to guide public expectation effectively to deal with the relationship between exchange rate and asset prices and then to perfect the interaction mechanism between RMB exchange rate and asset price in the context of the spreading of the European sovereign debt crisis and the slowing recovery of the global economy.The fifth part （Chapter 8） is the conclusion and prospect. Chapter 8 summarizes the main conclusions and contributions of this paper,and then points out the shortcomings and discusses the problems to be further studied.Compared with the several similar domestic and foreign researches,the main innovation of this book lies in two aspects. One is the theoretical research aspect,and the other is the empirical research. On the theoretical research aspect,this book adds the herding behavior and positive feedback trading in the behavior finance of which assumptions fit the market reality more to the macroscopic general equilibrium analysis to make interaction mechanism of macroscopic general equilibrium analysis with certain microcosmic foundation,and build up a theoretical analysis framework by the method of combining macroscopic and microscopic for this paper. On the empirical research aspect,this book uses the SVAR model and state space model at the same time to analyze the interaction mechanism between RMB exchange rate and asset prices volatility and provides more detailed evidence to increase the science and reliability of the policy suggestion,which provides the theoretical and practical basis in the implementation of related policies for the policy makers. Especially,the application of state space model with variable parameters overcomes the previous research defects based on historical data and then proposes the suggestions. Based on this,this book provides some more powerful empirical basis for the suggestions of the prevention of the volatility of the exchange rate and asset prices effectively in the trend of the fluctuations of RMB exchange rate gradually in the future. So this research has some academic value and practical significance.Keywords：RMB Exchange Rate　Stock Price　Real Estate Price　SVAR Model　State Space Model