物價、工業產出、失業率、聯邦基金利率與美國10大城市房價之互動關係研究

Abstract

本研究應用多種時間序列計量方法來探討消費者物價指數、失業率、美國聯邦基金利率及工業生產指數等總體經濟變數與美國標普/席勒10大城市房價指數之間的互動關聯性。研究期間1987年1月 至 2015年 2月，共 323 筆月資料觀察值。 實證結果顯示，房價與工業生產指數有相互Granger的因果關係，房價在1%顯著水準下Granger影響（領先）失業率，顯示房地產市場的景氣對失業率及工業生產指數有影響。另外房價與聯邦基金利率、物價沒有統計上顯著的Granger因果關係，根據文獻上定義，如果房價Granger影響(領先)物價，代表房價具有抗通膨的效果，本研究則顯示房價不具有抗通膨的效果。 房價的衝擊對於工業生產指數有長期正向影響，對於失業率有長期負向的衝擊反應，另外房價如果受自身衝擊影響，將產生正向的影響，且影響時間很長，影響程度為所有變數最大，投資人可考慮參考過去房價走勢來做為投資房地產指標。從預測誤差變異數分解結果來看，美國標普/席勒10大城市房價指數對於工業生產指數及失業率其解釋比例高於其他變數，施政者或許可考量房價對於景氣及失業率的關聯，有利於總體經濟相關政策的執行。

Abstract In this study it attempts to apply multiple time-series econometrics approach to explore the relative correlation of the American Case-Shiller macroeconomics 10-city composite index with macroeconomics in terms of variables such as the American national home price index、the commodity price index、the unemployment rate、the U.S.A. Federal Funds Rate and the Industrial Production Index. The observance data ranging from January 1987 to February 2015,during the study period from January 1987 to February 2015,a total of 323 months of data observation. The empirical results show that the American Case-Shille 10-city home prices have Granger causality interaction on industrial production index,and at 1% of the significant level Granger impact (leading) unemployment rate,showing the real estate market have effect to unemployment rate. There is no statistically significant Granger causality between house prices and the federal funds rate,which is based on the literature, if the house price Granger affects (leading) prices,the price is anti-inflation,and this study shows that house prices do not have anti-effect. The impact of house prices has a long-term positive impact on the index of industrial production, there is a long-term negative impact on the unemployment rate,if the housing prices impulse by itself,and impact of their own recession,will have a lasting postitive impact and the degree of impact for all variables the largest, investors can consider the past trend of housing prices as a real estate investment. indicators From the results of the decomposition of the forecast error variance,the price index of the US Standard & Poor's / Case-Schiller 10 cities home prices is higher than the other variables for the industrial production index and the unemployment rate. Finally the government may consider the relationship between the house price for the economy and unemployment rate,Is conducive to the implementation of the overall economic-related policies.