臺灣博碩士論文加值系統

聯邦儲備銀行從2000年至2004年執行寬鬆貨幣政策，且自2004年到2007年再逐年緊縮，但卻可發現美國房價自2000年至2007年卻穩定攀升。另一方面，房利美與房地美通稱為政府贊助企業 (GSEs)，以提供居者有其屋為政策目標，並且在房貸次級市場佔有主要功能與地位。在本研究中，作者試圖探討GSEs 之行為在2000年至2007年間對於房價報酬是否有推波助瀾之效果，以及其行為對房價報酬之波動是否有穩定或加劇之效果。本文採用共整合與誤差修正模型來衡量GSEs 行為對房價報酬之效果，並利用GARCH模型來探討GSEs 行為對波動性所產生之影響。本研究結果發現，在2004年前期與後期來看，GSEs 行為對房價報酬產生顯著性的增加；另外，GSEs 行為並無統計上證據支持會對房價報酬波動性有穩定或加劇之效果。

The Fed starts its easing policy from 2000 to 2004, and reveres the policy from 2004 to 2007, but the prices on the U.S. housing markets have steadily grown up for the whole period from 2000 to 2007. Fannie Mae and Freddie Mac, the Government-Sponsored Enterprises (GSEs), are the main players in the secondary mortgage markets to fulfill the goal of housing affordability. In our research, we investigate if the activities of GSEs prolong the housing returns and if GSEs are stabilizing the housing returns volatility. We employ the VECM model to evaluate the GSEs’ impacts on the FHFA housing markets, and apply the GARCH model to examine if the GSEs activities are able to stabilize the housing volatility. Our results indicate that the GSEs activities do significantly stoke the increase in housing prices returns before and after 2004, but the GSEs activities don’t show significant statistics evidence in stabilizing the housing returns volatility.

I. INTRODUCTION.........................................1
II. LITERATURE REVIEW....................................4
III. DATA.................................................7
IV. METHODOLOGY.........................................10
V. EMPIRICAL RESULTS...................................12
VI. CONCLUSION..........................................19
VII. REFERENCE...........................................20

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