科研之友
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摘要
This paper studies the relationship between two series of the money supply (M2), short-term international capital flows and housing prices by employing a continuous wavelet method. This method can enable us to examine the relation in both time and frequency domains in detail. We use data from China for empirical analysis. Although the relations are not stable, several main findings are observed. First, M2 affects short-term international capital flows mainly in the long term. The upward momentum of M2 has led foreign investors to be optimistic about China's economy, thus attracting inflows of capital. However, capital flows have little effect on the M2 due to the effectiveness of sterilization. Second, housing prices and M2 move synchronously before 2008. After 2008, housing prices are caused by M2 due to the excessive currency from the government's monetary and fiscal policies. Furthermore, M2 affects housing prices significantly in the long term. Additionally, after eliminating the influence of the M2, we find that a strong relationship exists between short-term international capital flows and housing prices in the short term, which means that this influence is mainly through a direct effect. These findings provide implications for the government to formulate monetary policy and regulate the housing market and capital flows.
