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研究生:鄭瑞燉
研究生(外文):Jui-Tun Cheng
論文名稱:家戶所得與房價的影響
論文名稱(外文):The Study of the influence between household income and house pricing
指導教授:李正文李正文引用關係
指導教授(外文):Cheng-Wen Li
學位類別:碩士
校院名稱:中原大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:55
中文關鍵詞:完全修正普通最小平方法Panel共整合Panel Granger因果關係
外文關鍵詞:FMOLSPanel integrationPanel Granger causality
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在不動產的研究領域之中,房價一直是很重要的研究主題,由於近年來的房價持續上揚,亦有不少學者從事於不動產價格變動因素之研究,藉以探討國內的房屋價格是如何受到其他經濟因素的衝擊,而對房價影響最為明顯的經濟因素,又以國民所得最為重要。

本文以整合的跨區的方式,研究以台灣地區1998年到2010年的年資料,並以五大城市為對象,可避免僅以單一縣市的結果做為房價與家戶所得之長期均衡關係的依據,採時間序列和橫斷面之panel data的分析方法,並運用 Pedroni於1999年提出的追蹤資料共整合模型,續以Panel共整合檢定與完全修正普通最小平方法分析長期整合向量關係,最後利用Panel Granger的因果關係檢定,探討台灣的房價與家戶所得的因果之關係。

實證結果發現Panel共整合檢定房價與家戶所得的結果為至少有一個城市有長期均衡的關係,而由完全修正普通最小平方法分析得知共整合向量的穩定關係是不受歡迎的結果,另由Panel Granger因果關係檢定,僅新北市之房價與家戶所得互為因果關係。
In the field of real estate study, house pricing has always been one of the major topics in such area. Due to the continuous rising of the house pricing, a lot of the scholars have embedded themselves in searching for the root cause of such fluctuations and therefore connects all the dots of economic elements in making up this syndrome. The most economical factor is the national income to influence the house pricing.

This thesis looks into the inter-regional phenomena by targeting five of Taiwan’s major cities used the yearly data from 1998 to 2010 to avoid any possible biases in evaluating the trend between household income and house prices. Panel data approach including the material with time series and cross section was applied along with Pedroni(1999)and then Panel cointegration and FMOLS as a tool to analyze the way of long term integration. Finally used Panel Granger causality test to re-evaluate the effect and study the relationship of causality between house prices and household income.

Finally, the conclusion we found that there is the relationship with Long-term equilibrium for one city between house pricing and household income .Then, using Fully Modified Ordinary Least square with error collection model, we found it is not popular for the relationship in stability. And another, using Panel Granger causality, we found only New Taipei county is bi-directional between house pricing and household income.
目錄
摘 要I
AbstractII
目錄III
表目錄V
圖目錄VI
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的4
第三節 論文架構6
第二章 文獻探討8
第一節 房價與總體變數相關文獻8
第二節 房價共整合相關文獻15
第三章 實證理論模型與研究方法22
第一節 實證理論模型22
第二節 研究方法25
一 、Panel單根檢定25
二 、Panel共整合檢定27
三、完全修正普通最小平方(FMOLS)分析法29
四、 Panel因果關係30
第四章 實證結果與分析31
第一節 資料來源 31
第二節 Panel單根檢定結果34
第三節 Panel共整合估計結果 36
第四節 完全修正普通最小平方(FMOLS)分析法估計結果40
第五章 結論與建議44
第一節 結論與建議44
第二節 研究限制及後續研究47
參考文獻 48

表目錄
表1-1台灣民眾資產配置調查比較表 單位:% 1
表2-1房價與所得水準的關係13
表2-2房價與利率變動的關係13
表2-3房價與貨幣供給的關係14
表2-4房價與股價14
表2-5房價共整合相關文獻整理20
表2-6 房價與總體變數之相關性21
表4-1變數資料與衡量方式31
表4-2 簡單敘述統計量32
表4-3 Panel單根檢定35
表4-4 Engle and Granger共整合檢定結果36
表4-5 Engle and Granger共整合檢定結果37
表4-6 Engle and Granger共整合檢定結果38
表4-7 Panel共整合檢定39
表4-8 Panel group FMOLS results 40
表4-9 Panel group FMOLS 結果並結合其他變數41
表4-10 Panel因果關係檢定42
表4-11 Panel因果關係檢定(各都會區資料)43
附表1 房價原始資料55
附表2 家戶所得原始資料55

圖目錄
圖1-1 研究流程圖7
圖3-1 研究架構圖22
圖4-1房價趨勢圖33
圖4-2 家戶所得趨勢圖33
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