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研究生:蔡欣潔
研究生(外文):Sin-Jie, Cai
論文名稱:影響國際房價之總體經濟因素-追蹤資料共整合分析之實證研究
論文名稱(外文):A Panel Cointegration Analysis for Macroeconomic Determinants of International Housing Market
指導教授:簡美瑟簡美瑟引用關係李建強李建強引用關係
指導教授(外文):Mei-Se, ChienChien-Chiang, Lee
口試委員:張存炳胡德中
口試委員(外文):Chun-Ping, ChangTe-Chung, Hu
口試日期:2014-05-05
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融系金融資訊碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:45
中文關鍵詞:房價總體經濟追蹤資料共整合檢定動態普通最小平方法
外文關鍵詞:House pricesMacroeconomyPanel cointegrationDynamic OLS
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本文擬探討影響國際房地產市場之總體經濟因素,但由於國際房地產之資料具有不易收集或是期間過短的問題,本文因而擬考量以不平衡之追蹤資料共整合檢定來進行驗證。本文首先根據DiPasquale and Wheaton (1996)的理論模型假設下,依此模型中的三個總體變數,包括長期利率、建築成本及經濟活動變數,根據此理論來探討上述三總體變數對於國際房價之影響。在實證方法與資料上,本研究亦利用三種panel cointegration方法針對1980Q1 ~2013Q1期間之33個國家來實證。本文的實證步驗,將先利用panel單根檢定檢測變數間恆定性,再採用panel cointegration檢定變數間長期均衡關係。最後,為使共整合向量更具一致性與有效性,進一步再根據Kao and Chiang (2000)提出異質性的FMOLS,以及動態普通最小平方法DOLS,來進一步探討變數間之長期關係。本文的實證結果,由panal共整合分析結果顯示,長期利率與跨國間房價呈反向變動,但建築成本與跨國間房價呈正向變動,經濟活動變數也與跨國間房價呈正向變動。本文也將根據實證結果,進一步解析不同總體經濟因素對國際房價的長短期衝擊程度與影響下,提供投資人投資決策之參考建義,以及提供貨幣主管當局之相關貨幣政策執行的政策建議。
The main purpose of this paper is to investigate the long-run equilibrium and short-run dynamics of international housing prices when macroeconomic variables change. Because the periods of house markets’ data often are shorter, we hence apply the Pedroni (1999, 2004), Kao’s (2000), and Fisher-type panel cointegration, using the unbalanced panel data analysis of 33 economies over the period from 1980Q1 to 2013Q1, to examine the relationships among house prices and macroeconomic variables. Based on the static equilibrium model of DiPasquale and Wheaton (1996), we employ macroeconomic variables, including the long-term interest rate, construction cost, and the variable “Economic Activity”, which is calculated by taking the first principal component of the matrix consisting of real money supply, real consumption, real industrial production, real GDP, and real employment.
The steps of cointegration analysis for non-stationary panel data are as follows. First, we examine the variables for stationarity by applying panel unit root tests. Second, panel cointegration tests check the long-term equilibrium relationships. Third and finally, we estimate the short-term dynamics. Our empirical results of panel data cointegration tests support the existence of cointegration among these macroeconomic variables and house prices. The results of Johansen’s Fisher panel cointegration tests support that there is a panel long-run equilibrium relationship among house prices, economic activity, long-term interest rates, and construction cost as they move together in the long run. The results of panel DOLS further present that a 1% increase in economic activity, long-term interest rates, and construction costs cause house prices to respectively change 2.16%, -0.04%, and 0.22% in the long run. The coefficients of economic activity in Asia are more consistent than other continents, especially the coefficient of China which is the highest at 15.81. Lastly, for most developing and emerging economies among these 33 economies, an increase in economic activity raises house prices while it inversely decreases house prices for developed economies.

CONTENTS
摘 要 i
ABSTRACT ii
ACKNOWLEDGEMENTS iv
CONTENTS v
List of Figures vi
List of Tables vi
1.Introduction 1
2.Literature 4
3.Model Specification and Methodology 9
3.1 DW model 9
3.2 Panel unit root tests 12
3.3 Panel cointegration tests 13
4.Data and Empirical Results 16
4.1. The data and results of the unit-root tests 16
4.2. Panel cointegration test results 21
4.3. More discussions 25
5.Conclusion 30
References 32

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