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博碩士論文 etd-0409116-144506 詳細資訊
Title page for etd-0409116-144506
論文名稱
Title
台北市房地產價格與總體經濟指數之關聯性研究
The Study on Relationships of Housing Prices in Taipei City and Macroeconomic Indices
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
43
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-04-28
繳交日期
Date of Submission
2016-05-09
關鍵字
Keywords
房價、總體經濟、單根檢定、共整合檢定、向量誤差修正模型、因果關係、衝擊反映分析
Impulse Response Analysis, Granger Causality Test, Vector Error Correction Model, Co-integration Test, Unit Root Test, Housing Price
統計
Statistics
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中文摘要
台北市房價居高不跌,造成年輕族群不敢買房,因此政府應有責任適度調節房價,根據總體經濟現況來制定政策。本研究針對台北市房價、國內生產毛額、消費者物價指數、房貸利率、就業率五個總體經濟變數,探討其相互的關聯性。將五個變數進行單根檢定、共整合檢定、向量誤差修正模型、Granger因果關係檢定和衝擊反應分析,研究期間從2001年第一季到2014年第四季共56筆季資料。從實證結果可知,這五個變數有長期穩定的均衡關係。房價與國內生產毛額和就業率有正向關係,如國內生產力增加,刺激民眾買房意願,勢必增加房屋價格。另外,就業率提升,代表更多人有工作,有更多人買房。房價與消費者物價指數和房貸利率呈現反向關係,表示利息負擔較少,民眾有較高意願買房。另外,房價過高,會降低民眾的民生消費意願。觀察變數之短期變動關係,國內生產毛額會受到前一期的房價、利率和就業率的正向影響,表示高房價、熱錢和就業人口增加帶動後續的國民所得增加。消費者物價指數受到前一期的房價的正向影響,國內生產毛額的反向影響。利率受到前一期的房價和利率有正面影響,表示中央銀行因前期房價和利率來調整後期的利率。就業率受到前一期的房價和消費者物價指數的正向影響。
Abstract
The housing price in Taipei city is so high that it is difficult for young people to buy a new apartment. Therefore, the government should monitor the housing price and makes policies according the macro economical state to ensure that the housing market is not over heated. The study discusses the relationship among five macroeconomic indices, i.e. housing prices in Taipei city, gross domestic product (GDP), consumer price index (CPI), interest rate, and employment rate. The five variables are examined with unit root test, co-integration test, vector error correction model, Granger causality test and impulse response analysis. The research period is from 2001 Q1 to 2014 Q4 and 56 quarterly data is used. The result shows that there is a long-term equilibrium relationship between five variables. There is a positive relationship between housing prices, GDP and employment rate. That means the housing prices is rising when the growing GDP makes people much more eager to invest in the real estate market. In addition, the rising employment rate means more people have jobs to afford an apartment. The housing price is inversely related to CPI and interest rate. That is, people are more willing to buy an apartment with a lower interest rate. On the other hand, people reduce overall consumption due to a high housing price. In the short-term relationship of variables, GDP is positively related to the housing price, interest rate and employment rate in the previous period. CPI is positively related to the housing price and negatively to GDP in the previous period. The interest rate is positively related to the housing price and interest rate in the previous period. The employment rate is positively related to the house price and CPI.
目次 Table of Contents
誌 謝 i
摘 要 ii
Abstract iii
目 錄 iv
圖 次 v
表 次 vi
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻探討 4
第一節 台灣房地產相關文獻綜述 4
第二節 國外房地產相關文獻綜述 6
第三章 研究方法 9
第一節 單根檢定(Unit Root Test) 10
第二節 最適落後期數檢定 12
第三節 共整合檢定 12
第四節 向量誤差修正模型(VECM) 15
第五節 Granger 因果關係檢定 16
第六節 衝擊反應分析 18
第四章 實證結果與分析 19
第一節 資料來源與處理 19
第二節 單根檢定 22
第三節 最適落後期數 23
第四節 共整合檢定 24
第五節 向量誤差修正模型 25
第六節 Granger因果關係檢定 27
第七節 衝擊反應分析 27
第五章 結論與建議 30
第一節 結論 30
第二節 建議 31
參考文獻 32
參考文獻 References
一、中文部分
1.李元華 (2009),「台北市房屋價格指數與總體經濟景氣指標之連動研究」,台灣大學經濟學系,碩士論文。
2.姚蕙芸(2010),「美國次級房貸風暴期間房地產價格、利率與股價之因果關係研究」,台北大學企業管理學系,博士論文。
3.洪淑娟 、雷立芬(2010) ,「中古屋、預售屋/新成屋房價與總體經濟變數 互動關係之研究」,臺灣銀行季刊第六十一卷第一期 ,155-167。
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6.許晉維(2010),「跨國性共同趨勢與不動產有效稅率對房價影響之研究」,台北大學經濟學系,碩士論文。
7.郭貞吟 (2013),「台灣房地產價格與銀行房屋貸款相關性之分析」,台灣大學經濟學系,碩士論文。
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9.陳姵妌 (2012) 「房地產市場價格、推案量與總體經濟變數關係之研究─以臺中市新推住宅個案為例」,逢甲大學土地管理學系,碩士論文。
10.陳宣宇 (2008),「台北市購屋貸款與可能影響因子彈性之探討」,國立台北大學經濟研究所,碩士論文。
11.蔡雅琪 (2014),「台灣新成屋房價決定因素」,台灣大學經濟系,碩士論文。
12.顏玲玲(2008),「總體經濟因素對臺灣房價影響之研究」,台中技術學院事業經營研究所,碩士論文。

二、英文部分
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4.Davis E P. and Zhu H.(2004), “Bank Lending and Commercial Property Cycles: Some Cross-Country Evidence”, BIS Working Papers, 150.
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6.Engle, R. F. and Granger, C. W. J. (1987), “Co-integration and Error Correction: Representation”, Estimation and Testing. Econometrica, 55(2), 251-276.
7.Granger, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 37, 24-36.
8.Gerlach S. and Peng W. (2003), “Bank Lending and Property Prices in Hong Kong”, HKIMR Working Paper, 12.
9.Gonzalo J. (1994), “Five alternative methods of estimating long-run equilibrium relationships”, Journal of Econometrics, 60(1-2), 203-233.
10.Johansen, S. (1992), “Determination of co-integration rank in the presence of a linear trend”, Oxford Bulletin of Economics and Statistics 54, 383–397.
11.Johansen, S. (1995), “Likelihood-Based Inference in Cointegrated Vector Auto-regressive Models”, Oxford University Press, Inc., New York.
12.Johansen, S. and Jeselius, K. (1990), “Maximum likelihood estimation and inference on cointegration – with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52(2), p169-210.
13.Lütkepohl, H. (1993), An Introduction to Multiple Time Series Analysis, 2nd ed., Springer-Verlag, New York.
14.MacKinnon, J. G. (1991), “Critical values for cointegration tests,” Chapter 13 in Long-Run Economic Relationships: Readings in Cointegration, ed. R. F. Engle and C. W. J. Granger. Oxford, Oxford University Press.
15.Nelson C. R. and Plosser C. I. (1982), “Trends and Random Walk in Macroecnomic Time Series” Journal of Monetary Economics, 10, 139-162.
16.Nieh, C. C. and Lee C. F. (2001), “Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries,” Quarterly Review of Economics and Finance, 41(4), 477-490.
17.Phillips, P. C. B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75 (2), 335–346.
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三、網頁資料
1.信義房價指數,http://www.sinyi.com.tw/knowledge/HPI_season.php/5812/2 ,2015年12月23日瀏覽。
2.中華民國資訊統計網,http://statdb.dgbas.gov.tw/pxweb/dialog/statfile9L.asp ,2015年12月23日瀏覽。
3.台北市統計資料庫查詢系統,http://210.69.61.217/pxweb2007-tp/dialog/statfile9.asp,2015年12月23日瀏覽。
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