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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫 | zh_TW |
| dc.contributor.advisor | Chien-Fu Lin | en |
| dc.contributor.author | 劉建宏 | zh_TW |
| dc.contributor.author | Jian-Hong Liou | en |
| dc.date.accessioned | 2023-03-19T22:13:31Z | - |
| dc.date.available | 2023-11-10 | - |
| dc.date.copyright | 2022-10-20 | - |
| dc.date.issued | 2022 | - |
| dc.date.submitted | 2002-01-01 | - |
| dc.identifier.citation | 劉秀玲、張金鶚（1993），“房地產品質、價格與消費者物價指數之探討”， 《國立政治大學學報》，第六十七期，頁369-400。(Chang, Chin-oh and Liou, Hsiou-ling (1993). “The Study of Housing Quality, Housing Price and Consumer Price Indices,” The National Cheng Chi University Journal. 67 part 2,369-400.)
陳隆麒、李文雄（1998），“臺灣地區房價、股價、利率互動關係之研究─聯立方程模型與向量自我迴歸模型之應用”， 《中國財務學刊》，五卷四期，頁51-71。(Long-Chie Chen and Wen-Hsiung Lee (1998). “On the Dynamic Relations among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan-Simultaneous Equations Model and Vector Auto-regression Model,” Journal of financial studies. 5:4 1998.04, 51-71) 彭建文、張金鶚（2000），“總體經濟對房地產景氣影響之研究”， 《國家科學委員會研究彙刊：人文及社會科學》，十卷三期，頁330-343。(Peng, Chien-wen and Chang, Chin-oh (2000). “The Influence of Macroeconomic Variables on Real Estate Cycles in Taiwan,” Proceedings of the National Science Council, Part C:Humanities and Social Science. 10:3 2000.07. 330-343) 彭建文、林秋瑾、楊雅婷（2004），“房價結構性改變影響因素分析—以台北市、台北縣房價為例”，《台灣土地研究》，七卷二期，頁27-46。(Peng, Chien-Wen, Lin, Vickey C. C. and Yang, Ya-Ting. “An Analysis of Structural Changes in Housing Prices: Cases of Taipei City and Taipei,” Journal of Taiwan Land Research. 7(2), 27-46) 陳旭昇（2013），《時間序列分析-總體經濟與財務金融之應用》，二版，東華書局。(Chen, Shiu-Sheng (2013). “Applied Time-Series Econometrics for Macroeconomics and Finance,” 2nd Edition) 鄧筱蓉（2017），“房市泡沫與總體經濟關係”，《 住宅學報》，二十六卷二期，頁27-50。(Teng, Hsiao-Jung (2017) “Relationship Between Housing Bubbles and Macroeconomic Factors,” Journal of Housing Studies. 26:2, 27-50) 蔡永順、臧仕維、黃乃玟、張俊評（2022），“房貸需求與房屋供給對房價的影響”， 《藝見學刊》，第23期，頁49-68。(Tsai, Yung-Shun, Tzang, Shyh-Weir, Huang, Nai-Wen and Chang, Chun-Ping (2022). “The Impact of Mortgage Demand and Housing Supply on Housing Prices,” Art Vision Journal. 23, 49-68) Benson, Earl D., Hansen, Julia L., Schwartz Jr., Arthur L., and Smersh, Greg T.（1997）, “The Influence of Canadian Investment On U.S. Residential Property Values,” The Journal of Real Estate Research, Vol. 13, No. 3, 1997 Benson, Earl D., Hansen, Julia L., Schwartz Jr., Arthur L., and Smersh, Greg T.（1999）, “Canadian/U.S. Exchange Rates and Nonresident Investors： Their Influence on Residential Property Values,” The Journal of Real Estate Research, Vol. 18, No. 3, 1999, p.433-461 C.W.J. Granger and P. Newbold（1974）, “Spurious Regressions in Econometrics,” Journal of Econometrics, p.111-120 Denis Kwiatkowski, Peter Phillips, Peter Schmidt and Yongcheol Shin（1992）, “Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?” Journal of Econometrics, 1992, vol. 54, issue 1-3, 159-178 Dickey, D. and Fuller, W. A.（1979）, “Distribution of the Estimates for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 74, p.427-431 Dickey, D. and Fuller,W. A.（1981）, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, Vol. 49, p.1057-1072 Graham Elliott, Thomas J Rothenberg and James Stock（1996）, “Efficient Tests for an Autoregressive Unit Root,” Econometrica, 1996, vol. 64, issue 4, 813-36 Hui An, Lijie Yu, and Rakesh Gupta（2016）, “Capital Inflows and House Prices: Aggregate and Regional Evidence from China,” Australian Economic Papers, Vol. 55, Issue 4, p451-475 LIU Yang and HU Zhiqiang（2012）, “on Correlation between RMB Exchange Rate and Real Estate Price based on Financial Engineering,” Systems Engineering Procedia, Volume 3, 2012, p.146-152 LIU Ya-chen and ZHANG Shuai（2013）, “Econometric Analysis on the Relationship Between RMB Exchange Rate and Real Estate Price by VAR Model,” 2nd International Conference on Science and Social Research（ICSSR 2013）p.428-430 Phillips, P. and Perron, P.（1988）, “Testing for a Unit Root in Time Series Regression,” Biometrica, Vol. 75, p.335-346. Serena NG and Pierre Perron (2001), “LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, Vol. 69, No. 6 (November, 2001), 1519–1554 Shiu-Sheng Chen and Tzu-Yu Lin（2021）, “Revisiting the Link between House Prices and Monetary Policy,” The B.E. Journal of Macroeconomics, Vol. 22, Issue 2, p.481-515 | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84498 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T22:13:31Z (GMT). No. of bitstreams: 1 U0001-2809202209110400.pdf: 1512581 bytes, checksum: 8f7c3a1e00c4ca80900a195aebb24398 (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 中文摘要 iii Abstract iv 目錄 v 圖目錄 vii 表目錄 viii 第一章 緒論 1 1.1 研究背景與動機 1 1.1.1研究背景 1 1.1.2研究動機 2 1.2 研究目的 5 1.3 研究流程與架構 6 第二章 文獻回顧 8 2.1 匯率與房地產市場關聯性之相關文獻 8 2.2 總體經濟環境與房地產市場相關文獻 9 第三章 研究方法 11 3.1 實證研究方法 11 3.2 單根檢定(Unit Root Test) 13 3.3 共整合檢定(Co-Integration Test) 15 3.4 向量誤差修正模型(VECM) 16 3.5 Granger因果關係分析 17 第四章 實證結果分析 19 4.1 資料來源與變數說明 19 4.2 敘述統計分析 26 4.3 單根檢定結果 28 4.4 Johansen共整合檢定結果 30 4.5 向量誤差修正模型 32 4.6 Granger因果關係檢定結果 38 第五章 結論與建議 43 5.1 研究結論 43 5.2 研究檢討與建議 43 參考文獻 46 中文文獻 46 英文文獻 48 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | Granger因果關係檢定 | zh_TW |
| dc.subject | 匯率 | zh_TW |
| dc.subject | Johansen共整合檢定 | zh_TW |
| dc.subject | 向量誤差修正模型 | zh_TW |
| dc.subject | 房地產市場 | zh_TW |
| dc.subject | Granger Causality Test | en |
| dc.subject | Real Estate Market | en |
| dc.subject | Exchange Rate | en |
| dc.subject | Johansen Cointegration Test | en |
| dc.subject | VECM | en |
| dc.title | 大台北房價與匯率及其他總體變數間的實證研究 | zh_TW |
| dc.title | An Empirical Study of Relationship between Housing Prices of Greater Taipei Area, Exchange Rate and other Macroeconomic Variables | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 111-1 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 謝德宗;李顯峰;王柏元 | zh_TW |
| dc.contributor.oralexamcommittee | Der-Tzon Hsieh;Hsien-Feng Lee;Po-Yuan Wang | en |
| dc.subject.keyword | 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, | zh_TW |
| dc.subject.keyword | Real Estate Market,Exchange Rate,Johansen Cointegration Test,VECM,Granger Causality Test, | en |
| dc.relation.page | 49 | - |
| dc.identifier.doi | 10.6342/NTU202204189 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2022-09-29 | - |
| dc.contributor.author-college | 社會科學院 | - |
| dc.contributor.author-dept | 經濟學系 | - |
| dc.date.embargo-lift | 2022-10-20 | - |
| 顯示於系所單位： | 經濟學系 | |
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