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題名 房價變動對經濟成長及消費支出之影響
The influence of house prices on economic growth and consumption
作者 林佑倫
Lin, Yu Lun
貢獻者 林左裕<br>徐士勛
Lin, Tsoyu Calvin<br>Hsu, Shih Hsun
林佑倫
Lin, Yu Lun
關鍵詞 房價
經濟成長
消費支出
費雪方程式
向量自我回歸模型
衝擊反應函數
House prices
Economic growth
Consumption
VAR
Fisher equation
IRF
日期 2015
上傳時間 1-May-2017 11:26:09 (UTC+8)
摘要 臺灣不斷攀升的房價已使民眾的購屋貸款負擔能力惡化，尤其在次級房貸風暴後所實施的寬鬆貨幣政策，在低持有稅及交易稅的環境下，臺北市於2014年的房價所得比已高達16倍，高於世界多數城市。高房價所帶來的高貸款負擔率，似乎也已排擠了消費能力及經濟成長。有鑑於此，本文透過向量自我迴歸模型分析探討房價對消費支出的影響，研究結果顯示，臺灣消費支出受到加權股價指數及消費支出落後期顯著的正向影響;而不斷攀升的房價對消費支出則有負向影響。透過衝擊反應分析發現，房價指數對本身的衝擊反應最顯著，效果也最長，消費支出的衝擊反應次之。研究結果指出的高房價已明顯排擠消費支出，並導致經濟成長緩慢甚至衰退，透過此結論政府應深思期以不動產為所謂的「火車頭工業」刺激房價時對消費及經濟所產生的負向連鎖效應。
The soaring housing price in Taiwan has deteriorated the home affordability of citizens in Taiwan, especially after the Quantitative Easing (QE) monetary policy after the subprime crisis as well as in the low tax environment. For example, the Price-to-Income (PTI) Ratio in Taipei City reached 16 in 2014 is higher than most cities in the world. The pressure of mortgage payment for households seems to crowd out the consumption capability and therefore the economic growth. To discover the influence of housing prices on consumption and economy, we employ the Vector Autoregression Model (VAR) for empirical analysis. Results show that consumption in Taiwan is highly and positively influenced by the stock price index and the lagging consumer expense, whereas interest rate plays a minimal role. On the other hand, rising house prices have negative effects on consumption. Through the analysis of impulse response function, we discover that housing index has a significant impact on itself with long period effect, and secondly on the consumption. We also find that high housing price has a crowding-out effect on consumption and in turn results in the sluggish economic growth in Taiwan. The findings of this study provide the government with a policy direction in deciding whether to stimulate or control housing prices for long-term housing affordability and economic sustainability.
參考文獻 Chinese Reference

Lin, C. V., Wang C. A., Chang C.O., 1996 , “The Timing Relationship Analysis Between Real Estate Cycle and Business Cycle in Taiwan, ” The National Science Council Research (Humanities and Social Sciences), 7, 35-36.
Yang, Y. N., 2011 , Time Series Analysis in Economics and Finance, Taipei: Yoh Yoh Book Gallery.

English Reference

Attanasio, O.P., Blow, L., Hamilton, R. and Leicester, A., 2009, “Booms and Busts: Consumption, House Prices and Expectations”, Economica, 76, 20-50.
Buiter, W.H., 2010, “Housing Wealth isn’t Wealth,” Economics – Open-Assessment E-Journal, 4, 1-29.
Chang, T., Simo-Kengne, B. D. and Gupta, R., 2013, “The Causal Relationship Between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests”, International Journal of Economic Policy in Emerging Economies, 6, 296-310.
Cooper, D., 2010, “Did Easy Credit Lead to Overspending? Home Equity Borrowing and Household Behavior in the Early 2000s”, Federal Reserve Bank of Boston, Public Policy Discussion Papers, No.09-7.
Dlamini, S., 2012, “Relationship of Construction Sector to Economic Growth”, School of Construction Management and Engineering, University of Reading, UK.
Dickey, D and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49: 1057–1072.
Enders, W., 2010, Applied Econometric Time Series, New York: Wiley.
Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55(2), 257–273.
Fama, E.F. and Schwert, G.W., 1977, “Asset Returns and Inflation”, Journal of Financial Economics, 5, 115-146.
Glenn, C., Dynan, K., Passmore and Wayne, 2006, “Mortgage Refinancing in 2001 and Early 2002”, Federal Reserve Bulletin, 12.
Greene, W. H., 1993, Econometric Analysis. 2^nded., New York: Macmillan Publishing Co.
Granger, C. and P. Newbold, 1974, “Spurious Regression in Econometrics”, Journal of Econometrics, 2, 111–120.
Harris, R. and Arku, G., 2005, “Housing and economic development: The evolution of an idea since 1945”, Habitat International, 30, 1007–1017.
Haurin, D. R. and Rosenthal, S. S., 2006, “House Price Appreciation, Savings, and Consumer Expenditures”, Working Paper, The Ohio State University.
Johansen, S., 1998, “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.
Klotz, P., Lin, T. C. and Hsu, S.H., 2013, “Property Bubbles and the Driving Forces in the PIGS Countries”, International Doctoral Program in Asia-Pacific Studies, National ChengChi University, Taiwan.
Kmenta, J., 1986, Elements of Econometrics. 2^nded., New York: Macmillan Publishing Co.
Li, W., and Yao, R., 2007, “The Life Cycle Effects of House Price Changes”, Journal of Money, Credit and Banking, 39, 1376-1409.
Liu, H., Park, Y. W. and Zheng, S., 2002, “The Interaction between Housing Investment and Economic Growth in China”, International Real Estate Review, 5, 40-60.
Mian, A., and Sufi, A., 2011, “House Prices, Home Equity-based Borrowing, and the U.S. Household Leverage Crisis”, American Economic Review, 101, 2132-56.
Perron, P., Zhu, X., 2005, “Structural Breaks with Stochastic and Deterministic Trends”, Forthcoming in the Journal of Econometrics.
Strassman, W. P., 1970, “Construction Productivity and Employment in Developing Countries”, International Labour Review, 101, 503–518.
Sims, C. A., 1980, “Macroeconomics and Reality”, Econometrica, 48, 1–48.
Turin, D. A., 1973, “The Construction Industry: Its Economic significance and its Role in Development”, London: University College Environment Research Group.
Wells, J., 1985, “The Role of Construction in Economic Growth and Development”, Habitat International, 9, 55-70.
描述 碩士
國立政治大學
地政學系
1022570161
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1022570161
資料類型 thesis
dc.contributor.advisor 林左裕<br>徐士勛zh_TW
dc.contributor.advisor Lin, Tsoyu Calvin<br>Hsu, Shih Hsunen_US
dc.contributor.author (Authors) 林佑倫zh_TW
dc.contributor.author (Authors) Lin, Yu Lunen_US
dc.creator (作者) 林佑倫zh_TW
dc.creator (作者) Lin, Yu Lunen_US
dc.date (日期) 2015en_US
dc.date.accessioned 1-May-2017 11:26:09 (UTC+8)-
dc.date.available 1-May-2017 11:26:09 (UTC+8)-
dc.date.issued (上傳時間) 1-May-2017 11:26:09 (UTC+8)-
dc.identifier (Other Identifiers) G1022570161en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/109265-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政學系zh_TW
dc.description (描述) 1022570161zh_TW
dc.description.abstract (摘要) 臺灣不斷攀升的房價已使民眾的購屋貸款負擔能力惡化，尤其在次級房貸風暴後所實施的寬鬆貨幣政策，在低持有稅及交易稅的環境下，臺北市於2014年的房價所得比已高達16倍，高於世界多數城市。高房價所帶來的高貸款負擔率，似乎也已排擠了消費能力及經濟成長。有鑑於此，本文透過向量自我迴歸模型分析探討房價對消費支出的影響，研究結果顯示，臺灣消費支出受到加權股價指數及消費支出落後期顯著的正向影響;而不斷攀升的房價對消費支出則有負向影響。透過衝擊反應分析發現，房價指數對本身的衝擊反應最顯著，效果也最長，消費支出的衝擊反應次之。研究結果指出的高房價已明顯排擠消費支出，並導致經濟成長緩慢甚至衰退，透過此結論政府應深思期以不動產為所謂的「火車頭工業」刺激房價時對消費及經濟所產生的負向連鎖效應。zh_TW
dc.description.abstract (摘要) The soaring housing price in Taiwan has deteriorated the home affordability of citizens in Taiwan, especially after the Quantitative Easing (QE) monetary policy after the subprime crisis as well as in the low tax environment. For example, the Price-to-Income (PTI) Ratio in Taipei City reached 16 in 2014 is higher than most cities in the world. The pressure of mortgage payment for households seems to crowd out the consumption capability and therefore the economic growth. To discover the influence of housing prices on consumption and economy, we employ the Vector Autoregression Model (VAR) for empirical analysis. Results show that consumption in Taiwan is highly and positively influenced by the stock price index and the lagging consumer expense, whereas interest rate plays a minimal role. On the other hand, rising house prices have negative effects on consumption. Through the analysis of impulse response function, we discover that housing index has a significant impact on itself with long period effect, and secondly on the consumption. We also find that high housing price has a crowding-out effect on consumption and in turn results in the sluggish economic growth in Taiwan. The findings of this study provide the government with a policy direction in deciding whether to stimulate or control housing prices for long-term housing affordability and economic sustainability.en_US
dc.description.tableofcontents CHAPTER 1 INTRODUCTION 1
1.1 BACKGROUND AND MOTIVATION 1
1.2 RESEARCH METHOD AND SCOPE 6
1.3 RESEARCH OVERVIEW 8
CHAPTER 2 LITERATURE AND THEORY REVIEW 10
2.1 LITERATURE REVIEW 10
2.2 THEORY REVIEW 16
2.3 REVIEW OF VARIABLE SELECTION 19
CHAPTER 3 RESEARCH METHOD AND DATA INFORMATION 20
3.1 METHODOLOGY 20
3.2 DATA DESCRIPTION AND PROCESSING 28
CHAPTER 4 EMPIRICAL RESULTS 33
4.1 STRUCTURAL CHANGE 33
4.2 UNIT ROOT TEST 35
4.3 VECTOR AUTOREGRESSION MODEL 36
4.4 IMPULSE RESPONSE FUNCTION 41
CHAPTER 5 CONCLUSIONS AND DISCUSSION 48
5.1 CONCLUSIONS 48
5.2 SUGGESTIONS 50
REFERENCE 53		zh_TW
dc.format.extent 3599904 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1022570161en_US
dc.subject (關鍵詞) 房價zh_TW
dc.subject (關鍵詞) 經濟成長zh_TW
dc.subject (關鍵詞) 消費支出zh_TW
dc.subject (關鍵詞) 費雪方程式zh_TW
dc.subject (關鍵詞) 向量自我回歸模型zh_TW
dc.subject (關鍵詞) 衝擊反應函數zh_TW
dc.subject (關鍵詞) House pricesen_US
dc.subject (關鍵詞) Economic growthen_US
dc.subject (關鍵詞) Consumptionen_US
dc.subject (關鍵詞) VARen_US
dc.subject (關鍵詞) Fisher equationen_US
dc.subject (關鍵詞) IRFen_US
dc.title (題名) 房價變動對經濟成長及消費支出之影響zh_TW
dc.title (題名) The influence of house prices on economic growth and consumptionen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Chinese Reference

Lin, C. V., Wang C. A., Chang C.O., 1996 , “The Timing Relationship Analysis Between Real Estate Cycle and Business Cycle in Taiwan, ” The National Science Council Research (Humanities and Social Sciences), 7, 35-36.
Yang, Y. N., 2011 , Time Series Analysis in Economics and Finance, Taipei: Yoh Yoh Book Gallery.

English Reference

Attanasio, O.P., Blow, L., Hamilton, R. and Leicester, A., 2009, “Booms and Busts: Consumption, House Prices and Expectations”, Economica, 76, 20-50.
Buiter, W.H., 2010, “Housing Wealth isn’t Wealth,” Economics – Open-Assessment E-Journal, 4, 1-29.
Chang, T., Simo-Kengne, B. D. and Gupta, R., 2013, “The Causal Relationship Between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests”, International Journal of Economic Policy in Emerging Economies, 6, 296-310.
Cooper, D., 2010, “Did Easy Credit Lead to Overspending? Home Equity Borrowing and Household Behavior in the Early 2000s”, Federal Reserve Bank of Boston, Public Policy Discussion Papers, No.09-7.
Dlamini, S., 2012, “Relationship of Construction Sector to Economic Growth”, School of Construction Management and Engineering, University of Reading, UK.
Dickey, D and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49: 1057–1072.
Enders, W., 2010, Applied Econometric Time Series, New York: Wiley.
Engle, R. F. and Granger, C. W. J., 1987, “Cointegration and Error Correction Representation, Estimation and Test”, Econometrica, 55(2), 257–273.
Fama, E.F. and Schwert, G.W., 1977, “Asset Returns and Inflation”, Journal of Financial Economics, 5, 115-146.
Glenn, C., Dynan, K., Passmore and Wayne, 2006, “Mortgage Refinancing in 2001 and Early 2002”, Federal Reserve Bulletin, 12.
Greene, W. H., 1993, Econometric Analysis. 2^nded., New York: Macmillan Publishing Co.
Granger, C. and P. Newbold, 1974, “Spurious Regression in Econometrics”, Journal of Econometrics, 2, 111–120.
Harris, R. and Arku, G., 2005, “Housing and economic development: The evolution of an idea since 1945”, Habitat International, 30, 1007–1017.
Haurin, D. R. and Rosenthal, S. S., 2006, “House Price Appreciation, Savings, and Consumer Expenditures”, Working Paper, The Ohio State University.
Johansen, S., 1998, “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.
Klotz, P., Lin, T. C. and Hsu, S.H., 2013, “Property Bubbles and the Driving Forces in the PIGS Countries”, International Doctoral Program in Asia-Pacific Studies, National ChengChi University, Taiwan.
Kmenta, J., 1986, Elements of Econometrics. 2^nded., New York: Macmillan Publishing Co.
Li, W., and Yao, R., 2007, “The Life Cycle Effects of House Price Changes”, Journal of Money, Credit and Banking, 39, 1376-1409.
Liu, H., Park, Y. W. and Zheng, S., 2002, “The Interaction between Housing Investment and Economic Growth in China”, International Real Estate Review, 5, 40-60.
Mian, A., and Sufi, A., 2011, “House Prices, Home Equity-based Borrowing, and the U.S. Household Leverage Crisis”, American Economic Review, 101, 2132-56.
Perron, P., Zhu, X., 2005, “Structural Breaks with Stochastic and Deterministic Trends”, Forthcoming in the Journal of Econometrics.
Strassman, W. P., 1970, “Construction Productivity and Employment in Developing Countries”, International Labour Review, 101, 503–518.
Sims, C. A., 1980, “Macroeconomics and Reality”, Econometrica, 48, 1–48.
Turin, D. A., 1973, “The Construction Industry: Its Economic significance and its Role in Development”, London: University College Environment Research Group.
Wells, J., 1985, “The Role of Construction in Economic Growth and Development”, Habitat International, 9, 55-70.		zh_TW