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題名 總體景氣波動對房價之不對稱影響
The asymmetric influence of macroeconomic fluctuation on housing price
作者 邱麒安
Chiu, Chi-An
貢獻者 吳文傑
邱麒安
Chiu, Chi-An
關鍵詞 總體經濟
房價
不對稱影響
Macroeconomic
Housing price
Asymmetric influence
日期 2018
上傳時間 24-Jul-2018 11:02:43 (UTC+8)
摘要 本研究希望可以了解總體景氣波動及其他總體經濟因素對房價造成的顯著程度及影響方向，並進一步探討在總體景氣繁榮及衰退下，房價受到的影響是否具有不對稱性。\n\n本研究利用2005年至2017年共156筆月資料，以信義房價指數作為被解釋變數，失業率、經濟成長率、放款利率、貨幣供給額年增率、消費者物價指數年增率、台灣加權股價指數作為解釋變數，採用複迴歸模型以最小平方法(OLS)進行實證分析，實證結果主要結論如下：(1)總體景氣循環期間，失業率無法解釋房價的變動，經濟成長率與房價呈現順循環現象，當景氣繁榮時房價上漲，景氣衰退時房價下跌，其餘解釋變數中，利率及股價顯著影響台北市房屋價格，通貨膨脹率顯著性較低，而貨幣供給額年增率則完全不顯著。(2)總體景氣繁榮期間，不論是失業率及經濟成長率皆無法顯著影響房價。(3)總體景氣衰退期間，失業率及經濟成長率皆顯著影響房價，且影響方向為順循環，表示總體景氣衰退會影響房價下跌。(4)對照總體景氣繁榮及衰退期間，以經濟成長率所建立之模型對於房價的影響程度有不對稱性發生，且景氣衰退期間對房價的負向影響效果大於景氣繁榮期間對房價的正向影響效果。
This study aims to understand the extent to which the macroeconomic fluctuations and other macroeconomic factors contribute to housing prices, and further explore whether there is asymmetry in the impact of housing prices under the overall prosperity and recession.\n\nThis study collected a total of 156 monthly data from January 2005 to December 2017. The Xinyi Housing Price Index was used as response variable. The unemployment rate, economic growth rate, lending rate, annual growth rate of money supply, annual increase rate of consumer price index, and Taiwan`s weighted stock price index were used as explanatory variables. A complex regression model and the ordinary least squares method (OLS) were employed for empirical analysis. The main conclusions of the empirical results are as follows:\n\n(1) During the overall cycle, the unemployment rate could not explain the change in housing prices, and the economic growth rate and housing prices showed a procyclical phenomenon: the housing prices rose when the economy boomed; the prices fell as the economy deteriorated. In the remaining explanatory variables, interest rates and stock prices significantly affected housing prices in Taipei; the inflation rate was less significant, and the annual growth rate of money supply was not significant at all.\n\n(2) During the overall prosperity period, neither the unemployment rate nor the economic growth rate could significantly affect housing prices.\n\n(3) During the general economic downturn, both the unemployment rate and economic growth rate significantly affected housing prices, and the direction of impact was a procyclical cycle, indicating that the overall economic downturn would affect the decline in housing prices.\n\n(4) Compared with the prosperity period and the recession period, the model established by the economic growth rate had an asymmetry in the impact on housing prices, and the negative effect on the housing price during the economic downturn was greater than the positive effect on the house price during the boom period.
參考文獻 一、中文部分\n\n王玟婷(2010)，「房市與股市之相關性探討」，國立高雄大學金融管理所，碩士 論文\n王健安(1995)，「房地產景氣與總體經濟景氣之研究」，國立政治大學地政研究所，碩士論文\n吳鶴窈(2013)，「國內房價指標與經濟因素之關聯研究」，國立政治大學經營管理碩士學程，碩士論文\n林秋瑾、王健安、張金鶚(1997)，「房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討」，國家科學委員會研究彙刊，7(1)，35-56\n高銘駿(2005)，「台灣銀行業的資本適足率與景氣循環之關係」，國立雲林科技大學財務金融所，碩士論文\n許雯(2010)，「總體景氣波動對銀行業不良債權比率之不對稱影響」，國立政治大學財政所，碩士論文\n陳明吉、曾琬婷(1998)，「台灣不動產市場從眾行為之檢視」，管理與系統，15(4)，591-615\n黃文治(1987)，「建築業及其景氣」，台灣房屋市場，18(2)，59-71\n趙倚欣(2013)，「總景氣波動對捐贈之不對稱影響」，國立政治大學財政所，碩士論文\n蔡怡純、陳明吉(2008)，「台北地區不動產價格波動之不對稱性探討」，住宅學報，17(2)，1-11\n蔡怡純、陳明吉(2013)，「房價不對稱均衡調整：門檻誤差修正模型應用」，台灣土地研究，16(1)，37-58\n顏玲玲(2008)，「總體經濟因素對台灣房價影響之研究」，台中科技大學事業經營研究所，碩士論文\n卓輝華(2014)，「房市激盪五十年」，財信出版\n陳旭昇(2013)，「時間序列分析－總體經濟與財務金融之應用」，東華書局\n張金鶚、花敬群、彭健文、楊宗憲(2013)，「房地產市場分析－理論與實務」，華泰文化事業\n\n\n二、英文部分\n\nAbraham, M. J. and P. H. Hendershott (1994),“ Bubbles in Metropolitian Housing Markets.”NBER Working Paper Series, No.4774.\nBernanke, B. S. and M. Gertler (1997),“ Systematic Monetary Policy and the Effects of Oil Price Shocks.”Brookings Papers on Economic Activity, 1997(1), 91-157.\nCase, K. E. and R. J. Shiller (1990),“Forecasting Prices and Excess Returns in the Housing Market”Real Estate Economics, 18(3), 253-273.\nChen, M. C. and K. Patel (2002),“The Empirical Analysis of Determination of Housing Prices in the Taipei Area”Taiwan Economic Review, 30(4), 563-594.\nChen, N. K. (2001),“Asset Price Fluctuations in Taiwan: Evidence from Stock and Real Estate Prices 1973 to 1992”Journal of Asian Economics, 12, 215-232.\nClapp, J. M. and C. Giaccotto (1994),“The Influence of Economic Variables on Local House Price Dynamics.”Journal of Urban Economics, 36, 161-183.\nDarrat, A. F. and J. L.Glascock (1993),“On the Real Estate Market Efficiency.”Journal of Real Estate Finance and Economics, 7, 55-72.\nDickey, D. A. and W. A. Fuller (1979),“Distribution of the Estimators for Autoregressive Time Series with a Unit Root.”Journal of the American Statistical Association, 74, 427-431.\nDickey, D. A. and W. A. Fuller (1981) ,“Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”Econometrica, 49, 1057-1072.\nDougherty, A. and R. V. Order (1982),“Inflation, Housing Costs, and the Consumer Price Index.”The American Economic Review, 72(1), 154-164.\nFortura, P. and J. Kushner (1986),“Canadian Inter-City House Price Differentials.” Real Estate Economics, 14(4), 525-536.\nGenesove, D. and C. Mayer (2001),“Loss Aversion and Seller Behavior：Evidence from the Housing Market.”The Quarterly Journal of Economics, 116(4), 1230-1260.\nGoldstein, M. A. and E. F. Nelling (1999),“Market Making and Trading in Nasdaq Stocks.”The Financial Review, 34(1), 27-44.\nGranger, C. W. J.and P. Newbold (1974),“Spurious regression in econometrics.”Journal of econometrics, 2, 111-120.\nHodrick, R. J. and E. C. Prescott (1997),“Postwar U.S. Business Cycles: An Empirical Investigation.”Journal of Money, Credit and Banking, 29, 1-16.\nJud, G. D. and D. T. Winkler (2002) ,“The Dynamics of Metropolitan Housing Prices.”Journal of Real Estate Research, 23(1/2), 29-45.\nLastrapes, W. D. (2002),“The The Real Price of Housing and Money Supply Shocks：Time Series Evidence and Theoretical Simulations.”Journal of Housing Economics, 11(1), 40-74.\nLuchtenberg, K. F. and M. J. Seiler (2014),“Did the Recent Financial Crisis Impact Integration between the Real Estate and Stock Market？”Journal of Real Estate Portfolio Management, 20(1), 1-20.\nMarkowitz, H. (1952),“ Portfolio Selection”The Journal of Finance, 7(1), 77-91.\nMatteo, L. (2000),“House Prices and the Macroeconomy in Europe：Results from a Structural VAR Analysis.”ECB Working Paper, 18, 1-67.\nMcCue, T. E. and J. L. Kling(1994),“Real Estate Returns and the Macroeconomy：Some Empirical Evidence from Real Estate Investment Trust Data,1972-1991.”The Journal of Real Estate Research, 9(3), 277-287.\nMocan, N. H. and T. G. Bali (2010) ,“Asymmetric Crime Cycle.” Review of Economics and Statistics,92,899-911\nNelson, C. R. and C. R. Plosser (1982) ,“Trends and random walks in macroeconmic time series：some evidence and implications”Journal of monetary Economics, 10(2), 139-162.\nNewey, W. K. and K. D. West (1987),“A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.”Econometrica, 55(3), 703-708.\nNorman, M. and L. Peng (2009),“House Prices and Economic Growth”Journal of Real Estate Financial Economics, 42, 522-541.\nPhillips, P. C. B. and P. Perron (1988),“Testing for a Unit Root in Time Series Regression.”Biometrika, 2(1), 335-346.\nPrais, S. J. and C. B. Winsten (1954),“ Trend estimators and serial correlation Chicago: Cowles Commission discussion paper.”, 383, 1-26\nQuan, D. C. and S. Titman (1999),“Do Real Estate Prices and Stock Price Move Together？An International Analysis.”Real Estate Economics, 27(2), 183-207.\nRosen, S. (1974) ,“Hedonic Prices and Implicit Markets：Product Differentiation in Pure Competition.”Journal of Political Economy, 82(1), 34-55.\nSchwab, R. M. (1982),“Inflation Expectation and the Demand for Housing.”American Economic Review, 72(1), 143-153.\nShefrin, H. and M. Statman (1985),“The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence.”Journal of Finance, 40(3), 777-790.\nWu, W. C. and H. P. Cheng (2010),“Symmetric Mortality and Asymmetric Suicide Cycles.”Social Science and Medicine, 70(12), 1974-1981.
描述 碩士
國立政治大學
財政學系
105255021
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1052550211
資料類型 thesis
dc.contributor.advisor 吳文傑zh_TW
dc.contributor.author (Authors) 邱麒安zh_TW
dc.contributor.author (Authors) Chiu, Chi-Anen_US
dc.creator (作者) 邱麒安zh_TW
dc.creator (作者) Chiu, Chi-Anen_US
dc.date (日期) 2018en_US
dc.date.accessioned 24-Jul-2018 11:02:43 (UTC+8)-
dc.date.available 24-Jul-2018 11:02:43 (UTC+8)-
dc.date.issued (上傳時間) 24-Jul-2018 11:02:43 (UTC+8)-
dc.identifier (Other Identifiers) G1052550211en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=136702-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政學系zh_TW
dc.description (描述) 105255021zh_TW
dc.description.abstract (摘要) 本研究希望可以了解總體景氣波動及其他總體經濟因素對房價造成的顯著程度及影響方向，並進一步探討在總體景氣繁榮及衰退下，房價受到的影響是否具有不對稱性。\n\n本研究利用2005年至2017年共156筆月資料，以信義房價指數作為被解釋變數，失業率、經濟成長率、放款利率、貨幣供給額年增率、消費者物價指數年增率、台灣加權股價指數作為解釋變數，採用複迴歸模型以最小平方法(OLS)進行實證分析，實證結果主要結論如下：(1)總體景氣循環期間，失業率無法解釋房價的變動，經濟成長率與房價呈現順循環現象，當景氣繁榮時房價上漲，景氣衰退時房價下跌，其餘解釋變數中，利率及股價顯著影響台北市房屋價格，通貨膨脹率顯著性較低，而貨幣供給額年增率則完全不顯著。(2)總體景氣繁榮期間，不論是失業率及經濟成長率皆無法顯著影響房價。(3)總體景氣衰退期間，失業率及經濟成長率皆顯著影響房價，且影響方向為順循環，表示總體景氣衰退會影響房價下跌。(4)對照總體景氣繁榮及衰退期間，以經濟成長率所建立之模型對於房價的影響程度有不對稱性發生，且景氣衰退期間對房價的負向影響效果大於景氣繁榮期間對房價的正向影響效果。zh_TW
dc.description.abstract (摘要) This study aims to understand the extent to which the macroeconomic fluctuations and other macroeconomic factors contribute to housing prices, and further explore whether there is asymmetry in the impact of housing prices under the overall prosperity and recession.\n\nThis study collected a total of 156 monthly data from January 2005 to December 2017. The Xinyi Housing Price Index was used as response variable. The unemployment rate, economic growth rate, lending rate, annual growth rate of money supply, annual increase rate of consumer price index, and Taiwan`s weighted stock price index were used as explanatory variables. A complex regression model and the ordinary least squares method (OLS) were employed for empirical analysis. The main conclusions of the empirical results are as follows:\n\n(1) During the overall cycle, the unemployment rate could not explain the change in housing prices, and the economic growth rate and housing prices showed a procyclical phenomenon: the housing prices rose when the economy boomed; the prices fell as the economy deteriorated. In the remaining explanatory variables, interest rates and stock prices significantly affected housing prices in Taipei; the inflation rate was less significant, and the annual growth rate of money supply was not significant at all.\n\n(2) During the overall prosperity period, neither the unemployment rate nor the economic growth rate could significantly affect housing prices.\n\n(3) During the general economic downturn, both the unemployment rate and economic growth rate significantly affected housing prices, and the direction of impact was a procyclical cycle, indicating that the overall economic downturn would affect the decline in housing prices.\n\n(4) Compared with the prosperity period and the recession period, the model established by the economic growth rate had an asymmetry in the impact on housing prices, and the negative effect on the housing price during the economic downturn was greater than the positive effect on the house price during the boom period.en_US
dc.description.tableofcontents 論文摘要 I\n目錄 III\n第一章 緒論 1\n第一節 研究背景與動機 1\n第二節 研究目的 5\n第三節 研究方法 5\n第四節 研究範圍及限制 6\n第五節 研究架構 7\n第二章 台灣房地產演進與現況 9\n第三章 文獻回顧 17\n第一節 影響房價的總體經濟因素相關文獻 17\n第二節 不對稱影響之相關文獻 22\n第四章 研究方法 25\n第一節 實證模型設定 25\n第二節 變數介紹 32\n第三節 資料來源及敘述統計結果 36\n第五章 實證分析 39\n第一節 單根檢定及相關分析結果 39\n第二節 總體景氣波動對房價之實證結果分析 42\n第三節 總體景氣波動與房價的不對稱性實證分析 46\n第四節 穩健性測試 51\n第六章 結論與建議 55\n第一節 結論 55\n第二節 研究限制與建議 58\n參考文獻 59zh_TW
dc.format.extent 1377436 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1052550211en_US
dc.subject (關鍵詞) 總體經濟zh_TW
dc.subject (關鍵詞) 房價zh_TW
dc.subject (關鍵詞) 不對稱影響zh_TW
dc.subject (關鍵詞) Macroeconomicen_US
dc.subject (關鍵詞) Housing priceen_US
dc.subject (關鍵詞) Asymmetric influenceen_US
dc.title (題名) 總體景氣波動對房價之不對稱影響zh_TW
dc.title (題名) The asymmetric influence of macroeconomic fluctuation on housing priceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分\n\n王玟婷(2010)，「房市與股市之相關性探討」，國立高雄大學金融管理所，碩士 論文\n王健安(1995)，「房地產景氣與總體經濟景氣之研究」，國立政治大學地政研究所，碩士論文\n吳鶴窈(2013)，「國內房價指標與經濟因素之關聯研究」，國立政治大學經營管理碩士學程，碩士論文\n林秋瑾、王健安、張金鶚(1997)，「房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討」，國家科學委員會研究彙刊，7(1)，35-56\n高銘駿(2005)，「台灣銀行業的資本適足率與景氣循環之關係」，國立雲林科技大學財務金融所，碩士論文\n許雯(2010)，「總體景氣波動對銀行業不良債權比率之不對稱影響」，國立政治大學財政所，碩士論文\n陳明吉、曾琬婷(1998)，「台灣不動產市場從眾行為之檢視」，管理與系統，15(4)，591-615\n黃文治(1987)，「建築業及其景氣」，台灣房屋市場，18(2)，59-71\n趙倚欣(2013)，「總景氣波動對捐贈之不對稱影響」，國立政治大學財政所，碩士論文\n蔡怡純、陳明吉(2008)，「台北地區不動產價格波動之不對稱性探討」，住宅學報，17(2)，1-11\n蔡怡純、陳明吉(2013)，「房價不對稱均衡調整：門檻誤差修正模型應用」，台灣土地研究，16(1)，37-58\n顏玲玲(2008)，「總體經濟因素對台灣房價影響之研究」，台中科技大學事業經營研究所，碩士論文\n卓輝華(2014)，「房市激盪五十年」，財信出版\n陳旭昇(2013)，「時間序列分析－總體經濟與財務金融之應用」，東華書局\n張金鶚、花敬群、彭健文、楊宗憲(2013)，「房地產市場分析－理論與實務」，華泰文化事業\n\n\n二、英文部分\n\nAbraham, M. J. and P. H. Hendershott (1994),“ Bubbles in Metropolitian Housing Markets.”NBER Working Paper Series, No.4774.\nBernanke, B. S. and M. Gertler (1997),“ Systematic Monetary Policy and the Effects of Oil Price Shocks.”Brookings Papers on Economic Activity, 1997(1), 91-157.\nCase, K. E. and R. J. Shiller (1990),“Forecasting Prices and Excess Returns in the Housing Market”Real Estate Economics, 18(3), 253-273.\nChen, M. C. and K. Patel (2002),“The Empirical Analysis of Determination of Housing Prices in the Taipei Area”Taiwan Economic Review, 30(4), 563-594.\nChen, N. K. (2001),“Asset Price Fluctuations in Taiwan: Evidence from Stock and Real Estate Prices 1973 to 1992”Journal of Asian Economics, 12, 215-232.\nClapp, J. M. and C. Giaccotto (1994),“The Influence of Economic Variables on Local House Price Dynamics.”Journal of Urban Economics, 36, 161-183.\nDarrat, A. F. and J. L.Glascock (1993),“On the Real Estate Market Efficiency.”Journal of Real Estate Finance and Economics, 7, 55-72.\nDickey, D. A. and W. A. Fuller (1979),“Distribution of the Estimators for Autoregressive Time Series with a Unit Root.”Journal of the American Statistical Association, 74, 427-431.\nDickey, D. A. and W. A. Fuller (1981) ,“Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”Econometrica, 49, 1057-1072.\nDougherty, A. and R. V. Order (1982),“Inflation, Housing Costs, and the Consumer Price Index.”The American Economic Review, 72(1), 154-164.\nFortura, P. and J. Kushner (1986),“Canadian Inter-City House Price Differentials.” Real Estate Economics, 14(4), 525-536.\nGenesove, D. and C. Mayer (2001),“Loss Aversion and Seller Behavior：Evidence from the Housing Market.”The Quarterly Journal of Economics, 116(4), 1230-1260.\nGoldstein, M. A. and E. F. Nelling (1999),“Market Making and Trading in Nasdaq Stocks.”The Financial Review, 34(1), 27-44.\nGranger, C. W. J.and P. Newbold (1974),“Spurious regression in econometrics.”Journal of econometrics, 2, 111-120.\nHodrick, R. J. and E. C. 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dc.identifier.doi (DOI) 10.6814/THE.NCCU.PF.023.2018.F07-