利率與景氣對台灣房價之影響

Abstract

本研究探討台灣近年以來預售屋房價是否會受到利率與景氣的影響。樣本資料期間為2000年第一季至2020年第二季的季資料。首先，透過單根檢定與共整合檢定來判斷時間序列資料之型態與變數之間的關係，結果發現全部變數皆存在單根，變數之間也存在兩組共整合關係，因此接下來將使用向量誤差修正模型(VECM)進行分析預售屋房價是否會受到利率與景氣之影響。模型分析結果顯示落後兩期的利率與景氣指標對預售屋房價有顯著之影響，其中，利率對預售屋房價為負向之影響，景氣指標對預售屋房價為正向之影響。

This study aims at exploring whether pre-sales housing prices in Taiwan can be affected by the changes in the interest rate and business cycle. By using the data from 2000Q1 to 2020Q2. First of all, we use unit root test and Johansen cointegration test to determine the stationarity and cointegration of the time series variables respectively, results show that all variables exist unit root and have two cointegrating vectors. So the research should establish Vector Error Correction Model(VECM) to examine whether the Housing prices can be affected by the changes in the interest rate and business cycle. The results show that interest rate and business cycle with two-period lag have significant effect on housing prices in VECM model. Interest rate has negative effect on housing prices and business cycle has positive effect on housing prices.