(35.175.212.130) 您好!臺灣時間:2021/05/18 04:31
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:錢美容
研究生(外文):Chien, Meirong
論文名稱:房價、利率與總體經濟的波動
論文名稱(外文):House Price,Interest Rates and Macroeconomic Fluctuation
指導教授:倪仁禧倪仁禧引用關係
指導教授(外文):Ni, Jenshi
口試委員:黃台心劉景中
口試委員(外文):Haung, TaishingLlu, Jinchung
口試日期:2011-06-21
學位類別:碩士
校院名稱:德明財經科技大學
系所名稱:服務業經營管理研究所
學門:商業及管理學門
學類:行銷與流通學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:77
中文關鍵詞:房屋價格指數向量自我迴歸模型向量誤差修正模型共整合Granger-Causality效果衝擊反應函數
外文關鍵詞:House Market IndexVector Autocorrelation ModelVector Error Correction ModelCointegrationGranger-Causality effectImpulse-response function
相關次數:
  • 被引用被引用:6
  • 點閱點閱:515
  • 評分評分:
  • 下載下載:41
  • 收藏至我的研究室書目清單書目收藏:1
房地產傳統以來均被視為地域性資產且缺乏流動性,但2007年美國的次級房貸問題產生時卻衝擊全球股匯市。2008年美國大型金融公司逐一破產後更引發全球金融危機,全球經濟活動陷入嚴重的衰退。房地產市場與總體經濟波動關係為何,是否具有國際傳導特性?本文以時間序列VAR模型分析美國、中國、香港及台灣房屋市場及總體經濟波動關係。本文發現香港房屋市場受美國及中國房屋市場波動影響顯著,台灣房屋市場受香港房屋市場波動影響顯著。美國、中國及台灣利率互有顯著預測效果,而香港利率受中國及台灣影響,利率對房價指數在四地區呈現負面衝擊效果。美國GDP成長率有助於預測中國、香港、台灣GDP成長率波動。中國、香港及台灣股價指數有顯著影響房價指數的效果。香港房屋市場受美國及中國房屋市場波動影響顯著,台灣房屋市場受香港房屋市場波動影響顯著,房屋市場存在國際傳遞現象。
Traditionally real estates is regarded as the asset with region-limititing characteristics and less liquidity. But, the Sub-prime mortgage crisis in 2007 had a big impact on global stock and foreign exchange markets. In 2008, some US giant, famous financial conglomerate bankrupted one after another, even triggered global financial crisis, and put global economy into serious recession. What is the degree of the influence of housing market to macro economy? Does the prosperity of housing market carry international transmission mechanism? This paper uses VAR Model of Time-Series model to interrelationship of fluctuations between housing market and macro-economy for US, Hong Kong, Mainland China and Taiwan. Find that the housing market of Hong Kong is significantly affected by the fluctuations of US and Mainland China market, and the housing markets of Taiwan are significantly affected by Hong Kong market. For the interest rate market, there is a mutual predictable function among US, Mainland China and Taiwan significantly. The Hong Kong interest rate market is significantly affected by the fluctuation of Mainland China and Taiwan market. The impacts of the changes of interest rates to the house price indexes showed a negative signal for each area. The US GDP growth rates are helpful to predict the variations of GDP growth rates of Hong Kong, Mainland China and Taiwan. The stock price indexes of Mainland China, Hong Kong and Taiwan, all have significant influences to house price indexes. The housing market of Hong Kong is significantly affected by the fluctuation of US and Mainland China market, and the housing markets of Taiwan are significantly affected by the fluctuation of Hong Kong. The changes of housing market have the characteristics of international transmission.

中文摘要...................................................................................i
Abstract...................................................................................ii
目錄.........................................................................................iv
表目錄......................................................................................v
圖目錄.....................................................................................vi
第一章 緒論............................................................................1
第一節 研究背景....................................................................1
第二節 研究動機與目的........................................................3
第三節 研究對象及方法........................................................4
第四節 研究步驟與架構........................................................4
第二章 文獻回顧....................................................................7
第一節 房屋市場與資本市場................................................7
第二節 房屋市場與VAR模型................................................8
第三節 房屋市場與總體經濟................................................8
第四節 房屋市場與國際景氣................................................9
第三章 研究方法..................................................................11
第一節 單根檢定..................................................................11
第二節 VAR模型............... ..................................................13
第三節 共整合檢定.............................................................16
第四節 Granger causality檢定..........................................18
第五節 向量誤差修正模型..................................................19
第四章 實證分析..................................................................20
第一節 基本資料.................................. ...............................20
第二節 向量自我迴歸模型..................................................29
第三節 共整合檢定..............................................................38
第四節 向量誤差修正模型..................................................40
第五節 Granger causality檢定..........................................47
第六節 衝擊反應函數及預測誤差變異數分解..................49
第七節 實證結果..................................................................59
第五章 結論與建議..............................................................61
第一節 結論..........................................................................61
第二節 研究限制及建議......................................................62
參考文獻...............................................................................63
.
中文部分
林秋瑾、王健安、張金鶚, (1996),「房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討」,國科會人文及社會科學彙刊, 第七卷, 第一期,頁35-56。
周京奎 (2005),「金融過渡支持與房地產泡沫-理論與實證研究」,北京大學出版社。
倪仁禧、劉景中、黃順錫 (2010) ,「中港美房屋市場與證券市場關聯性之研討」,世界華人不動產學會。
陳明吉、廖茂成 (2005) ,「資本市場關聯性與財富效果-台灣股票市場與不動產市場之分析」,台灣土地金融季刊,第四十二卷,第一期 ,頁25-42。
黃台心 (2009) ,「計量經濟學」二版,新陸書局。
彭建文、張金鶚 (2000) ,「總體經濟對房地產景氣影響之研究」,國科會人文及社會科學彙刊,第十卷, 第三期,頁330-343。
楊奕農 (2009) ,「時間序列分析經濟與財務上之應用」二版,雙葉書廊有限公司。
張金鴞 (1997) ,「房地產投資與決策分析-理論與實務」,台北華泰書局。
英文部分
Ambrose,B. E. Ancel. and M. Griffiths. (1992).“The fractal structure of Real Estate Investment Trust Returns: A search for Evidence of Market Segmentation and Nonlinear Dependency”, Journal of the American Real Estate and Urban Economics Association 20, 25-54.
Banerjee, A. Dolado. J. and Hendry. D. F. (1993). “Cointegration, Error-Correction, and the Econometric Analysis of Non-Stationary Data”, New York Oxford University Press.
Beltratti, A. and Morana. C. (2010). “International house prices and macroeconomic fluctuations”, Journal of Banking & Finance, 34, 533–545.
Bernanke, S. Ben. Jean .Boivin. and Eliasz.P.(2005). “Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach”, Finance and Economics Discussion Series. Federal Reserve Board.
Bernanke, S. Ben. (2010). “Monetary Policy and the Housing Bubble”, Federal Reserve Board. Annual Meeting of the American Economic Association.
Bjornland, H. C. and Jacobsen. D. H. ( 2010). “The role of house prices in the monetary policy transmission mechanism in small open economies”, Journal of Financial Stability.
Brooks, C. (2008) “ Introductory Econometrics for Finance”, Cambridge university press. United Kingdom.
Bonnie, J. B. (1998). “The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis ”, Journal of Real Finance and Economics, 17 ,179-197.
Case, B. Goetzmann. W. and Rouwenhorst. K. G. (1999). “Global real estate markets –cycles and fundamentals”, Yale International Center for Finance Working Paper,No. 99-03.
Cheung Yin-Wong and Lai Kon S. 1993.“Finite-Sample Sizes of Johansen’s Likelihood Ratio Tests for Cointegration.” Oxford Bulletin of Economics and Statistics 55(3), 313-328.
Chirinko, R. S. de Han. L. Sterken. E. (2004). “Asset price shocks, real expenditures, andfinancial structure: A multicountry analysis.” De Nederlansche Bank, Working Paper, No. 14/04.
Cooper, A.(2004).“The Impact Of Interest Rates And The Housing Market On The UK Economy”, Economic Outlook, 28(2), 10-18.
Davis, M. and Jonathan. H. (2004). “The Price and Quantity of Residential Land in the United States”, Working Paper No.01-09 , Federal Reserve Board.
Dickey, D. A. and Fuller. W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica, 49, 1057-1072.
Engle, R. F. and Granger. C. W. J. (1987). “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 51, 251-276.
Engle, R. F. and Yoo. B . (1987).“Forecasting and Testing in Cointegrated systems” Journal of Econometrics , 35, 588-589.
Gallin, J., (2006). “The long-run relationship between house prices and income: evidence from local housing markets”, Real Estate Economics 34 (3), 417–438.
Goodman, A. C. (1978). “Hedonic Prices, Price Indices and Housing Markets”, Journal of Urban Economics 5,471-484.
Goodman, A. C. (1981). “Housing Submarkets Within Urban Areas: Definitions and Evidence”, Journal of Regional Science 21, 175-185.
Granger, C.W. J. and Newbold. P. (1974). “Spurious Regressions in Econometrics ”, Journal of Econometrics, 2, 111-120.
Granger, C. W. J. (1969). “ Investigating Causal Relations by Econometric Model and Cross-spectral Methods” Econometrica, 37(3), 424-438.
Gupta, R. and Das. S. (2008).“Spatial Bayesian Methods Of Forecasting House Prices In Six Metropolitan Areas Of South Africa”, South African Journal Of Economics, 76(2).
Gyourko, J. and D. Keim. (1992). “What Does the Stock Market Tell Us About Real Returns”, Journal of the American Real EstateFinance and Urban Economics Association 20(3),457-486.
Harris, J. C. (1989).“The Effect Of Real Rates Of Interest Of Housing Prices”, Journal of Real Eatate Finance and Economic, 2(1), 47-60
Hott, C.and Monnin. P. (2008). “Fundamental Real Estate Prices:An Empirical Estimation with International Data ”, Journal of Real Finance and Economics, 36, 427-450.
Haroon, M. and Paolo. S. (2009). “The Transmission of International Shocks:A Factor-Augmented VAR Approach”, Journal of Moneys Credit and Banking. 41, 1.
Hui, E. C. M. and Yue. S. (2006). “ Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study” , Journal of Real Estate Financial Economics , 33, 299-327.
Iacoviello, M. (2005). “House Prices Borrowing Constraints and Monetary Policy in the Business Cycle ”, The American Economic Review, 6, 739-762.
Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control , 12, 231-254.
Johansen, S. and Juselius. K. (1990). “Maximum Likelihood Estimationand Inference on Cointegration-With Application to the Demand for Money”, Oxford Bullentin of Economics and Statistics, 52, 169-210.
Johansen, S. (1991).“Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Regression Models”, Econometrica , 59, 1551-1580.
Kau, J. B. and Donald. C. k. (1980)“The Theory of Housing And Interest Rates”Journal of Financial And Quantitative Analysis, 15(4), 833-847.
Kenny, C. (1999).“Modelling The Demand And Supply Sides Of The Housing Market From Ireland”, Economic Modelling, 16(3), 389-409.
Liu, C. H. D. J. Hartzell.W. Greig. and T. V. Grissom. (1990). “The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence” , Journal of Real Estate Finance and Economics 3, 261-282.
Miles, M. R. Cole and Guikey. D. (1990). “A Different Look at Commercial Real Estate Turns”, Journal of American Real Estate and Urban Economics Association 18(4), 403-430.
Nelson, C. R. and Plosser. C. I. (1982). “Trends and Random Walks in Macroeconomic Time Series’’ , Journal of Monetary Economics, 10, 139-162.
Okunev, J. and P. Wilson. (1997). “Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets’’ , Real Estate Economics 25, 487-503.
Okunev, J. P. Wilson. and Zurbruegg. R .(2000). “The Causal Relationship Between Real Real Estate and Stock Markets’’ , Journal of Real Estate Economics 21(3), 251-261.
Okunev, J. P. Wilson. and Zurbruegg. R.(2002). “Relationships Between Australian Real Estate and Stock Market Prices – A Case of Market Inefficiency’’, Journal of Forecasting 21, 181-192.
Otrok, C. and Terrones. M. E. (2005). “House prices, interest rates and acroeconomic fluctuations International evidence”, International Monetary Fund mimeo.
Parker, J. A. ( 2000). Comments and discussion on: K.E. Case (2000), “Real estate and the macroeconomy”, Brookings Papers on Economic Activity 20 (2), 150–158.
Phillips, P. ( 1987). Time series regression with a unit root. Econometrica, 55, 277-301.
Phillips, P. and P. Perron. (1988). Testing for unit root in time series regression. Biometrika, 75, 335-346.
Poterba, J. M. (1984). “Tax subsidies to owner-occupied housing: an asset market approach”, Quarterly Journal of Economics 99 (4), 729–752.
Schnare, A. and R. Struyk. (1976). “Segmentation in Urban Housing Markets”, Journal of Urban Economics 3, 146-166.
Singh, A. (2010). “Asia is moving into a leadership role in the world economy”, International Monetary Fund, 47, 1-2.
Sims, C. A. (1980). “Macroeconomics And Reality”, Econometrica 48, 1-48.
Taylor, J. B. (2007).“Housing And Monetary Policy”, National Bureau Of Economic Research Working Paper 13682.
Timmermann, A.( 1995). “Cointegration tests of present value models with a time-varying discount factor”, Journal of Applied Econometrics 10. (1), 17–31.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top