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
.

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