关键词: 投资者风险态度, 资产价格, 汇率预期, DCC-GARCH, TVP-SV-VAR

Abstract: In the face of the increasingly complex process of global economic integration, the contagious effects of dynamic fluctuations between different capital markets have become more and more significant, and its transmission direction and path are also more profoundly affected by investors’ risk attitudes. This paper uses the DCC-GARCH model and the TVP-SV-VAR model to test the dynamic relationship between investors’ risk attitudes, asset prices (housing prices, stock prices) and exchange rate expectations. The study finds that investors’ risk preference will promote asset prices and expected appreciation of the RMB; the rise of asset price rises or expected appreciation of the RMB will stimulate investors’ risk preference. When the RMB is expected to appreciate, there will be a crowding-out effect of real estate on stock investment. Furthermore, in the bull market, housing prices are more susceptible to external economic conditions such as monetary policies. When investors are generally risk-averse, asset prices will play a significant intermediary role between investors’ risk attitudes and exchange rate expectations. In expected RMB depreciation, asset prices and investors’ risk attitudes are more sensitive to changes in the foreign exchange market environment. Therefore, decision-making departments should promote the opening of capital accounts in an orderly manner while maintaining macroeconomic stability, carry out reforms of the real estate market and stock market in light of the domestic and foreign economic situations, strengthen anticipatory guidance and prevent financial risk contagion between different markets.

Key words: Investors’ Risk Attitude, Asset Prices, Exchange Rate Expectations, DCC-GARCH, TVP-SV-VAR