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研究生:吳端霖
研究生(外文):Duan-Lin Wu
論文名稱:短期資本流動與房價的關係─台灣實證研究
論文名稱(外文):Capital Flows and House Prices: An Empirical Study of Taiwan
指導教授:王泓仁王泓仁引用關係陳南光陳南光引用關係
口試委員:蔡宜展
口試日期:2015-06-11
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:41
中文關鍵詞:房價指數熱錢自迴歸模型向量自我迴歸模型馬可夫鍊
外文關鍵詞:House priceHot moneyAR modelVAR modelMarkov-switching model
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  • 被引用被引用:0
  • 點閱點閱:214
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本文旨在探討熱錢如何影響台灣的房地產報酬,文中使用兩階段的模型進行估計。結果顯示熱錢在蕭條(bust)時期才對台灣房價有正向的影響,繁榮(boom)時期則無;而台灣房地產報酬的蕭條時期發生在亞洲金融風暴後,這個時期台灣的資金流入為正,故資金流入會抬升房地產報酬;因此在蕭條時期,台灣政府應更加注意資金的流入,以防止房市泡沫的發生。

This paper investigates the impact of hot money on Taiwan''s real estate market. The Markov-switching approach with two-stage estimation is applied in this paper. The estimation results indicate that inflows of hot money drove up housing return in the bust regime, while it did not significantly affect the housing return in the boom regime. The capital flow surges into Taiwan after the Asian financial crises, which is the bust regime in our estimation, could drive up the housing return. Thus the government in Taiwan should pay more attention on the capital inflow during the bust regimes in case that the bubble happens.

致謝 i
中文摘要 ii
Abstract iii
Contents iv
List of Figures vi
List of Tables vii
1 Introduction 1
2 Background 5
3 The empirical models and the data 8
3.1 Stage one: remove the e
ect of the foreign macro-variables from the domestic variables 9
3.2 Stage two: the dynamics of Taiwan''s housing returns 10
3.3 The Data 14
4 The results 19
4.1 The baseline result 19
4.2 Interpretations of the result 24
4.3 Robustness checks 29
5 Conclusions 32
Bibliography 34
A The estimated results 38

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