請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84498
標題: | 大台北房價與匯率及其他總體變數間的實證研究 An Empirical Study of Relationship between Housing Prices of Greater Taipei Area, Exchange Rate and other Macroeconomic Variables |
作者: | 劉建宏 Jian-Hong Liou |
指導教授: | 林建甫 Chien-Fu Lin |
關鍵字: | 房地產市場,匯率,Johansen共整合檢定,向量誤差修正模型,Granger因果關係檢定, Real Estate Market,Exchange Rate,Johansen Cointegration Test,VECM,Granger Causality Test, |
出版年 : | 2022 |
學位: | 碩士 |
摘要: | 2003年SARS疫情結束後,房地產市場自谷底攀升,本研究欲探究匯率與常見總體變數如五大行庫平均房貸利率、台股加權指數與消費者物價指數等對房地產價格之影響,觀察該等因素與大台北房價指數之間的關係。資料期間自2005年1月至2022年7月,共211筆月資料。研究結果如下:
(1) 變數間存在1組共整合關係;匯率、房貸利率與房地產價格呈反向變動,消費者物價指數與房地產價格則呈同向變動。 (2) 考慮雙變數間Granger因果關係,匯率、房貸利率與台股加權指數均「Granger領先」大台北房價指數,至消費者物價指數與大台北房價指數具有雙向回饋關係。 The real estate market had strived and climbed from the cold hard valley bottom after the end of SARS epidemic in 2003. This study made a thorough inquiry of how do the macroeconomic variables might affect the real estate market. In order to explore the relationship between housing price and some specific macroeconomic factors, four major variables, which are exchange rate, the average of mortgage interest rate, the weighted index of Taiwan Stock, and CPI, were selected. The sample period is from January 2005 to July 2022, with a total of 211 monthly data. The results of this exploratory study are as follows: (1) There exists at most one cointegration among the variables. (2) The exchange rate, mortgage interest rates and real estate prices move in the opposite direction, while the consumer price index and real estate prices move in the same direction. (3) According to the results of Pair-wise Granger Causality Test, i. The exchange rate, mortgage interest rate and the weighted index of Taiwan stocks are all "Granger Cause" to the House Price Index of the Greater Taipei Area. ii. There is a two-way feedback relationship between CPI and the House Price Index of the Greater Taipei area. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84498 |
DOI: | 10.6342/NTU202204189 |
全文授權: | 同意授權(限校園內公開) |
電子全文公開日期: | 2022-10-20 |
顯示於系所單位: | 經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-111-1.pdf 授權僅限NTU校內IP使用(校園外請利用VPN校外連線服務) | 1.48 MB | Adobe PDF | 檢視/開啟 |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。