大台北房價與匯率及其他總體變數間的實證研究

Abstract

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.