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題名 政策不確定性對台灣房市之影響
The Impact of Policy Uncertainty on the Taiwanese Housing Market作者 吳冠臻
Wu, Kuan-Chen貢獻者 陳明吉
Chen, Ming-Chi
吳冠臻
Wu, Kuan-Chen關鍵詞 不確定性指數
Google Trends
政策不確定性
房市政策
房地產市場
Uncertainty Index
Google Trends
Policy Uncertainty
Housing Market Policy
Real Estate Market日期 2023 上傳時間 2-Aug-2023 13:00:40 (UTC+8) 摘要 政策不確定性指的是政府執行政策時衍生出的風險，為影響投資人決策的重大因素之一，過往有文獻建構了經濟政策不確定性指數，並在後續的研究中，以該指數衡量不確定性對資產市場所帶來的影響，而過去的文獻較少著墨於政策不確定性對不動產的影響，因此本研究以台灣房市相關的財政政策、住宅政策以及央行政策為基礎，編製了屬於台灣的不動產政策不確定性指數（REPU指數），並與現有文獻所建構的經濟政策不確定性指數（EPU指數）進行比較，探討兩政策不確定性指數對於房地產市場中房價、議價空間、房屋交易量與流動天數的影響。經實證研究發現，兩政策不確定性指數與房市變數之間，並不存在結構性改變，因此以線性模型進行後續的分析，結果顯示EPU指數與REPU指數皆對房價具有領先關係，且當EPU指數受到衝擊時，房價也出現明顯下跌情形，而 REPU指數對房價則不存在顯著動態影響；在議價天數方面，EPU指數與REPU指數皆無法有效解釋該房市變數，但當REPU指數發生衝擊時，對於議價空間出現持續性的負面影響；在房屋交易量方面，兩政策不確定性指數對於房屋交易量皆存在領先關係，且當REPU指數發生衝擊時，對房市交易量具有顯著的正向影響；最後，在流動天數的部分，兩政策不確定性指數皆無法有效解釋該房市變數並對其產生動態影響。
Policy uncertainty refers to the risks derived from the implementation of government policies and is one of the major factors that influence investment decisions. Previous studies have constructed indices to measure economic policy uncertainty and examine its impact on asset markets. However, there has been limited research focused on the impact of policy uncertainty on the real estate market. Therefore, this study is based on real estate-related fiscal policies, housing policies, and central bank policies in Taiwan to develop the Real Estate Policy Uncertainty Index (REPU Index). The REPU Index is then compared with the Economic Policy Uncertainty Index (EPU Index) constructed in existing literature. The purpose of this study is to investigate the effects of these two policy uncertainty indices on house prices, bargaining space, trading volume, and days on market in the real estate market.The results of the study indicate that there are no structural changes between the two policy uncertainty indices and the housing market variables. Consequently, a linear model is used for subsequent analysis. The results show that both the EPU index and the REPU index have a leading relationship with house prices. When the EPU Index experiences shocks, there is a significant decline in house prices. However, the REPU index does not have a significant dynamic impact on house prices. In terms of bargaining space, neither the EPU Index nor the REPU Index effectively explains this variable. However, when the REPU Index experiences shocks, it has a persistent negative impact on bargaining space. Regarding housing transaction volume, both policy uncertainty indices have a leading relationship with housing transaction volume. Additionally, when the REPU index is impacted, it has a significant positive effect on the volume of housing transactions. Finally, in terms of days on market, neither the EPU index nor the REPU index can effectively explain this variable and have a dynamic impact on it.參考文獻 英文參考文獻Alpanda, S., & Zubairy, S. （2016）. Housing and Tax Policy. Journal of Money, Credit and Banking, 48(2-3), 485-512.Al-Thaqeb, S. A., & Algharabali, B. G. （2019）. Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20.André, C., Bonga-Bonga, L., Gupta, R., & Muteba Mwamba, J. W. （2020）. Economic Policy Uncertainty, U.S. Real Housing Returns and Their Volatility: A Nonparametric Approach. Journal of Real Estate Research, 39(4), 493-514.Baker, S. R., Bloom, N., & Davis, S. J. （2016）. Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.Balcilar, M., Roubaud, D., Uzuner, G., & Wohar, M. E. （2021）. Housing sector and economic policy uncertainty: A GMM panel VAR approach. International Review of Economics & Finance, 76, 114-126.Bloom, N. （2009）. The impact of uncertainty shocks. Econometrica, 77, 623-685.Brogaard, J., & Detzel, A. （2015）. The asset-pricing implications of government economic policy uncertainty. Management Science, 61(1), 3-18.Castelnuovo, E., & Tran, T. D. （2017）. Google It Up! A Google Trends-based Uncertainty index for the United States and Australia. Economics Letters, 161, 149-153.Diebold, X., F., & Yilmaz, K. （2009）. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119(1), 158-171.Dokko, J., Doyle, B. M., Kiley, M. T., Kim, J., Sherlund, S., Sim, J., & Heuvel, S. V. D. （2011）. Monetary Policy and the Global Housing Bubble. Economic Policy, 26, 237-287.Dzielinski, M. （2011）. Measuring economic uncertainty and its impact on the stock market. Finance Research Letters, 9, 167-175.Granger, C. W. J. （1969）. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 39(3), 424-438.Green, R. K., & Vandell, K. D. （1999）. Giving households credit: How changes in the U.S. tax code could promote homeownership. Regional Science and Urban Economics, 29(4), 419-444.Himmelberg, C., Mayer, C., & Sinai, T. （2005）. Assessing High House Prices: Bubbles, Fundamentals and Misperceptions. Journal of Economic Perspectives, 19(4), 67-92.Hirshleifer, J., Jack, H., & Riley, J. G. （1992）. The analytics of uncertainty and information. Cambridge University Press.Huang, W.-L., Lin, W.-Y., & Ning, S.-L. （2020）. The effect of economic policy uncertainty on China’s housing market. The North American Journal of Economics and Finance, 54.Ioannidis, C., & Ka, K. （2021）. Economic Policy Uncertainty and Bond Risk Premia. Journal of Money, Credit and Banking, 53(6), 1479-1522.Jarociński, M., & Smets, F. （2008）. House Prices and the Stance of Monetary Policy. ECB Working Paper, No. 891.Kang, W., & Ratti, R. （2013）. Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318.Knight, F. H. （1921）. Risk, uncertainty and profit Houghton Mifflin.Kuttner, K. N. （2012）. Low Interest Rates and Housing Bubbles: Still No Smoking Gun.Kuttner, K. N., & Shim, I. （2016）. Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies. Journal of Financial Stability, 26, 31-44.Leippold, M., & Matthys, F. （2022）. Economic Policy Uncertainty and the Yield Curve. Review of Finance, 26(4), 751-797.Luo, Y., & Zhang, C. （2020）. Economic policy uncertainty and stock price crash risk. Research in International Business and Finance, 51.McDonald, C. （2014）. When Is Macroprudential Policy Effective? BIS Working Paper, No. 496.Narwold, A., & Sonstelie, J. （1994）. State Income Taxes and Homeownership: A Test of the Tax Arbitrage Theory. Journal of Urban Economics, 36(3), 249-277.Oates, W. E. （1969）. The Effects of Property Taxes and Local Public Spending on Property Values: An Empirical Study of Tax Capitalization and the Tiebout Hypothesis. The Journal of Political Economy, 77(6), 957-971.Phan, D. H. B., Sharma, S. S., & Tran, V. T. （2018）. Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, 134-150.Sarwar, G. （2014）. U.S. stock market uncertainty and cross-market European stock returns. Journal of Multinational Financial Management, 28, 1-14.Waisman, M., Ye, P., & Zhu, Y. （2015）. The effect of political uncertainty on the cost of corporate debt. Journal of Financial Stability, 16, 106-117.Zhang, D., Lei, L., Ji, Q., & Kutan, A. M. （2019）. Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling, 79, 47-56.Zhang, L., & Zoli, E. （2016）. Leaning Against the Wind: Macroprudential Policy in Asia. Journal of Asian Economics, 42, 33-52.中文參考文獻王泓仁, 陳南光, & 林姿妤 （2017）. 房貸成數(LTV)對臺灣房地產價格與授信之影響. 中央銀行季刊, 39(3), 5-39.江淑玲, 蔡明憲, & 張金鶚 （2011）. 台北市中古屋價格與法拍屋拍定價格非對稱價格調整行為之研究. 管理與系統, 18(2), 317-340.吳聲煌 （2020）. 影響購屋意願因素之研究. 國立政治大學地政學系碩士在職專班碩士論文, 台北市.李明軒, 林祖嘉, & 鄭輝培 （2022）. 不動產有效稅率對於房地產市場價量影響之探討：臺灣縣市級資料之應用. 住宅學報, 31(2), 1--27.林哲民 （2014）. 實價登錄制度對住宅價格定錨效果與分散效果之影響—以台北市為例. 國立屏東商業技術學院不動產經營系碩士論文, 屏東市.林純如 （2017）. 資訊揭露對房價影響分析─以實價登錄制度為例. 國立臺北大學不動產與城鄉環境學系碩士論文, 新北市.花敬群, & 張金鶚 （1999）. 成屋市場與預售屋市場之價量關係：住宅存量—流量模型的檢討與修正. 《國家科學委員會研究彙刊：人文及社會科學》, 9(3), 494-504.俞欣榮 （2021）. 利率政策及總體審慎措施對房價變動的效果評估：台灣的個案研究. 經濟研究處.張金鶚 （2003）. 房地產投資與市場分析---理論與實務. 台北：華泰書局.陳柏如 （2018）. 總體審慎政策工具與臺灣房價的關係－特定目標信用工具與房市相關租稅工具的影響. 經濟研究, 54(2), 287-330.陳英楠, 莫東翠, 唐思華, & 李慧慧 （2019）. 測量中國房地產政策不確定性研究. China Economic Quarterly, 22(2), 405-424.彭建文, & 張金鶚 （2000）. 總體經濟對房地產景氣影響之研究. 國家科學委員會研究彙刊：人文及社會科學, 10(3), 330-343.黃裕烈, & 管中閔 （2019）. 美國聯準會會議紀要的文字探勘與台灣經濟變數預測. 經濟論文叢刊, 47(3), 363-391.黃裕烈, 葉錦徽, & 陳重吉 （2019）. 台灣經濟政策不確定性指標之建構與分析. 經濟論文叢刊, 49(2), 363-391.楊屯山, 林哲群, & 張金鶚 （2022）. 總體審慎措施對房地產價量變化的影響. 住宅學報, 31(2).楊宗憲 （2003）. 住宅市場之產品定位分析-建商推案行為之研究. 住宅學報, 12(2), 123-139.鄒欣樺, 張金鶚, & 花敬群 （2007）. 建商不動產表價與議價策略之探討--景氣時機、個案區位、及建商類型分析. 管理評論, 26(3), 47-69.顏嘉伶 （2018）. 我國實價登錄制度與不動產交易資訊透明度之問題研析. 新北市政府107年度自行研究報告.蘇曉瑞 （2021）. 社會住宅供給對房價與地方消費之影響. 國立政治大學地政學系博士論文, 台北市. 描述 碩士
國立政治大學
財務管理學系
110357032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357032 資料類型 thesis dc.contributor.advisor 陳明吉 zh_TW dc.contributor.advisor Chen, Ming-Chi en_US dc.contributor.author (Authors) 吳冠臻 zh_TW dc.contributor.author (Authors) Wu, Kuan-Chen en_US dc.creator (作者) 吳冠臻 zh_TW dc.creator (作者) Wu, Kuan-Chen en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:00:40 (UTC+8) - dc.date.available 2-Aug-2023 13:00:40 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:00:40 (UTC+8) - dc.identifier (Other Identifiers) G0110357032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146291 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 110357032 zh_TW dc.description.abstract (摘要) 政策不確定性指的是政府執行政策時衍生出的風險，為影響投資人決策的重大因素之一，過往有文獻建構了經濟政策不確定性指數，並在後續的研究中，以該指數衡量不確定性對資產市場所帶來的影響，而過去的文獻較少著墨於政策不確定性對不動產的影響，因此本研究以台灣房市相關的財政政策、住宅政策以及央行政策為基礎，編製了屬於台灣的不動產政策不確定性指數（REPU指數），並與現有文獻所建構的經濟政策不確定性指數（EPU指數）進行比較，探討兩政策不確定性指數對於房地產市場中房價、議價空間、房屋交易量與流動天數的影響。經實證研究發現，兩政策不確定性指數與房市變數之間，並不存在結構性改變，因此以線性模型進行後續的分析，結果顯示EPU指數與REPU指數皆對房價具有領先關係，且當EPU指數受到衝擊時，房價也出現明顯下跌情形，而 REPU指數對房價則不存在顯著動態影響；在議價天數方面，EPU指數與REPU指數皆無法有效解釋該房市變數，但當REPU指數發生衝擊時，對於議價空間出現持續性的負面影響；在房屋交易量方面，兩政策不確定性指數對於房屋交易量皆存在領先關係，且當REPU指數發生衝擊時，對房市交易量具有顯著的正向影響；最後，在流動天數的部分，兩政策不確定性指數皆無法有效解釋該房市變數並對其產生動態影響。 zh_TW dc.description.abstract (摘要) Policy uncertainty refers to the risks derived from the implementation of government policies and is one of the major factors that influence investment decisions. Previous studies have constructed indices to measure economic policy uncertainty and examine its impact on asset markets. However, there has been limited research focused on the impact of policy uncertainty on the real estate market. Therefore, this study is based on real estate-related fiscal policies, housing policies, and central bank policies in Taiwan to develop the Real Estate Policy Uncertainty Index (REPU Index). The REPU Index is then compared with the Economic Policy Uncertainty Index (EPU Index) constructed in existing literature. The purpose of this study is to investigate the effects of these two policy uncertainty indices on house prices, bargaining space, trading volume, and days on market in the real estate market.The results of the study indicate that there are no structural changes between the two policy uncertainty indices and the housing market variables. Consequently, a linear model is used for subsequent analysis. The results show that both the EPU index and the REPU index have a leading relationship with house prices. When the EPU Index experiences shocks, there is a significant decline in house prices. However, the REPU index does not have a significant dynamic impact on house prices. In terms of bargaining space, neither the EPU Index nor the REPU Index effectively explains this variable. However, when the REPU Index experiences shocks, it has a persistent negative impact on bargaining space. Regarding housing transaction volume, both policy uncertainty indices have a leading relationship with housing transaction volume. Additionally, when the REPU index is impacted, it has a significant positive effect on the volume of housing transactions. Finally, in terms of days on market, neither the EPU index nor the REPU index can effectively explain this variable and have a dynamic impact on it. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究問題與目的 3第三節 研究流程 4第二章 文獻回顧 5第一節 政策不確定性對於資產市場與房市的影響 5第二節 政策不確定性指標的編制 8第三節 政府政策對於台灣房市的影響 11第三章 研究設計 15第一節 Google Trends說明與指數建構 15第二節 研究模型 23第三節 變數定義與說明 32第四章 資料與實證研究 37第一節 樣本資料分析 37第二節 政策不確定性指數與房市之非線性關係 47第三節 政策不確定性指數對房市之影響 49第四節 政策不確定性指數之因果關係 51第五節 政策不確定性指數之衝擊反應 54第五章 結論與建議 57第一節 結論 57第二節 建議與限制 59參考文獻 60 zh_TW dc.format.extent 1460057 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357032 en_US dc.subject (關鍵詞) 不確定性指數 zh_TW dc.subject (關鍵詞) Google Trends zh_TW dc.subject (關鍵詞) 政策不確定性 zh_TW dc.subject (關鍵詞) 房市政策 zh_TW dc.subject (關鍵詞) 房地產市場 zh_TW dc.subject (關鍵詞) Uncertainty Index en_US dc.subject (關鍵詞) Google Trends en_US dc.subject (關鍵詞) Policy Uncertainty en_US dc.subject (關鍵詞) Housing Market Policy en_US dc.subject (關鍵詞) Real Estate Market en_US dc.title (題名) 政策不確定性對台灣房市之影響 zh_TW dc.title (題名) The Impact of Policy Uncertainty on the Taiwanese Housing Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 英文參考文獻Alpanda, S., & Zubairy, S. （2016）. Housing and Tax Policy. Journal of Money, Credit and Banking, 48(2-3), 485-512.Al-Thaqeb, S. A., & Algharabali, B. G. （2019）. Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20.André, C., Bonga-Bonga, L., Gupta, R., & Muteba Mwamba, J. W. （2020）. Economic Policy Uncertainty, U.S. Real Housing Returns and Their Volatility: A Nonparametric Approach. Journal of Real Estate Research, 39(4), 493-514.Baker, S. R., Bloom, N., & Davis, S. J. （2016）. Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.Balcilar, M., Roubaud, D., Uzuner, G., & Wohar, M. E. （2021）. Housing sector and economic policy uncertainty: A GMM panel VAR approach. International Review of Economics & Finance, 76, 114-126.Bloom, N. （2009）. The impact of uncertainty shocks. Econometrica, 77, 623-685.Brogaard, J., & Detzel, A. （2015）. The asset-pricing implications of government economic policy uncertainty. Management Science, 61(1), 3-18.Castelnuovo, E., & Tran, T. D. （2017）. Google It Up! A Google Trends-based Uncertainty index for the United States and Australia. Economics Letters, 161, 149-153.Diebold, X., F., & Yilmaz, K. （2009）. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119(1), 158-171.Dokko, J., Doyle, B. M., Kiley, M. T., Kim, J., Sherlund, S., Sim, J., & Heuvel, S. V. D. （2011）. Monetary Policy and the Global Housing Bubble. Economic Policy, 26, 237-287.Dzielinski, M. （2011）. Measuring economic uncertainty and its impact on the stock market. Finance Research Letters, 9, 167-175.Granger, C. W. J. （1969）. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 39(3), 424-438.Green, R. K., & Vandell, K. D. （1999）. Giving households credit: How changes in the U.S. tax code could promote homeownership. 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