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題名 影響日本不動產價格之總體經濟因素
The Influence of Macro-Economic Indicators on Housing Prices in Japan作者 林楚蕎
Lin, Chu-Chiao貢獻者 林左裕
Lin, Tso-Yu
林楚蕎
Lin, Chu-Chiao關鍵詞 日本
總體經濟
房價
時間序列
向量自我回歸模型
Japan
Macro-economic
House prices
Time series
VAR日期 2024 上傳時間 5-Aug-2024 14:15:33 (UTC+8) 摘要 近年來的國際情勢大幅影響全球經濟，各國紛紛祭出相應經濟政策。面對疫情時的量化寬鬆(Quantitative Easing, QE)措施導致的通貨膨漲，加上2022年俄烏戰爭的爆發進一步惡化通膨問題。全球央行為了抑制通膨多採取了緊縮的貨幣政策，然身為全球主要經濟體之一的日本在各國央行普偏升息的情況下仍然堅持寬鬆的貨幣政策方向。 量化寬鬆對於總體經濟的影響過往已透過諸多文獻證實，而房地產價格的波動也常常受到一國的總體經濟變數之影響，促使本研究欲透過時間序列分析方法中的VAR模型及其相關檢定探究日本長期、短期的房價波動與總體經濟發展間的動態關係為何以及日本房市未來將存在哪些潛在風險。 共整合檢定結果顯示日本房價之表現與股市長期為正向共整合；房市與匯率為負向共整合，意味著當日圓升值時，熱錢流入日本，帶動股票以及其他投資消費進而推升房價；房市與GDP表現為負向共整，呈現國民在泡沫經濟後對於不動產的投資轉為保守。因果關係檢定可看出匯率變化在短期為總體經濟表現的領先指標，GDP與CPI的變化則相對滯後，且股價對房價呈單向領先關係，意味股市對房市存在財富效應。衝擊反應分析可得出當GDP受到房價的衝擊時，僅會在前一年有些微的正向反應，隨後則為不顯著，顯示日本的經濟成長已和房價趨勢脫鉤，證實房市作為日本經濟火車頭的時代已不再。透過誤差變異數分析可得出即使經過了兩年匯率對於自我的解釋力仍較高，且該變數能夠部分解釋其餘變數的變動，呼應因果關係檢定中匯率為日本總體經濟之領先指標，本研究建議追蹤日本央行對於利率調控上的政策風向，並關注匯率是否產生劇烈變動，做為觀測房市潛在風險的訊號之一。
The impact of Qualitative Easing (QE) on the macro-economic has been confirmed by many research in the past, and the fluctuation of real estate prices is often affected by a country's macro-economic variables, inspiring this study to explore it through the VAR and related tests in the time series analysis method. Exploring what is the long-term and short-term dynamic relationship between Japan's house prices and macro-economic, and what potential risks will exist in Japan's housing market in the future. The cointegration test results show that the performance of Japanese house prices and stock prices are positively cointegrated in the long term; the house prices and the exchange rate are negatively cointegrated, which means that when the yen appreciates, hot money flows into Japan, driving stocks and other investment consumption and thereby pushing up house prices; the house prices is negatively integrated with GDP, indicating that citizens’ investment in housing has become conservative after the bubble economy. The Granger causality test shows that exchange rates changes is the leading indicator of macro-economic performance in the short term, while changes in GDP and CPI are lagging, and stock prices have a one-way leading relationship with housing prices, which means that the stock market has a wealth effect on the housing market. The impulse responses results can conclude that when GDP is impacted by housing prices, there will only be a slight positive response in the first year, and then it will be insignificant. This shows that Japan's economic growth has been decoupled from the house price trend, confirming that the housing market is no longer the locomotive of Japan's economy. Through variance decomposition, it can be concluded that even after two years, the explanatory power of the exchange rate for itself is still high, and this variable can partially explain the changes in other variables, echoing the exchange rate change in the causality test as the leading indicators of the macro-economic in Japan. This study recommends tracking the BOJ policy direction on interest rate regulation and paying attention to whether there are drastic changes in the exchange rate, as one of the signals for observing potential risks in the housing market.參考文獻 中文部分 伊藤孝司，1999，「日本的不良債權問題與經濟的蕭條」，『國際政治研究』，2：56-60。 李榮謙、高超洋、黃麗倫、楊淑雯，2010，「日本失落十年的經驗與啟示」，『中央銀行季刊』，32(2)：47-64。 吳森田, 1994，「所得、貨幣與房價-近二十年台北地區的觀察」, 『住宅學報』，2：49-65。 吳俊毅、黃裕烈，2018，「美國和日本量化寬鬆貨幣政策對臺灣 經濟衝擊 — GVAR 模型之分析」，『臺灣經濟預測與政策』，48(2)：1-39。 林秋瑾、黃佩玲, 1995，「住宅價格與總體經濟變數關係之硏究一以向量自我迴歸模式(VAR )進行實證」, 『國立政治大學學報』，71：143-159。 邱達生，2023，「2022~2023年 全球經濟景氣回顧與展望」，『臺灣經濟研究月刊』，46(1)：39-45。 高超洋，2016，「日本央行量質兼備寬鬆貨幣政策之效果與限制－兼論中長期退場機制面臨之問題」，『中央銀行國際金融參考資料』，69：69-96。 陳伯志，1999，「九○年代日本經濟不景氣之分析」，『問題與研究』，38(4)：71-94。 陳婕、路靜、高鵬及董紀昌, 2009，「人民幣匯率波動與我國房價關係的實證分析」, 『數學的實踐與認識』，39(13)：73-79。 梅強、林尚毅，2017，「臺灣總體經濟變數對六都房價之影響分析」，『亞太經濟管理評論』，21(1)：33-48。 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』，10：330-343。 趙放，1991，「關於日本累積資產膨脹化問題」，『現代日本經濟』，6：47-50。 鄧筱蓉, 2017，「房市泡沫與總體經濟關係」, 『住宅學報』，26(2)：27-50。 劉慶瑞，2017，「安倍經濟學之成果與日本經濟展望」，『全球政治評論』，5：55-76。 顏玲玲，2008，「總體經濟因素對臺灣房價影響之研究」，『國立臺中技術學院事業經營研究所』，碩士論文。 日文部分 上川龍之進，2014，『日本銀行と政治－金融政策決定の軌跡』，中央公論新社：日本。 大越利之，2014，「金融政策と不動産価格の関係- バブル崩壊以後の日本について」，『土地総合研究』，春号：134-139。 中曽宏、橋本政彦，2023，「国際通貨としての円」，『財務省財務総合政策研究所』，153：178-206。 北坂真一，2012，「地価と日本経済― バブル崩壊後の新しい流れ」，『経済学論叢』，64(2)：381-404。 井出多加子、倉橋透，2010，「不動産バブルとマクロ経済」，『土地総合研究』，夏号：19-42。 吉岡孝昭，2005，「地価とマクロ経済変数との因果性分析を用いた金融政策への一考 察」，『国際公共政策研究』，10 (1)：91-104。 宍戸駿太郎，2010，「マクロモデルと経済政策：世界金融恐慌の教訓」，『環太平洋産業連関分析学会』，18(1-2)：24-29。 陣內了，2022，「資産価格バブルに関するマクロ経済学的分析と政策的含意」，『財務省財務総合政策研究所』，4：76-92。 植村修一、佐藤嘉子，2000，「最近の地価形成の特徴について」，『日本銀行調査月報』，10 月号：161-195。 橘川武郎，2022，「日本の経済発展とイノベーション」，『経済研究所年報』， 35：117-153。 英文部分 Alexey, A., Simon, S., and Maxim, Z., “Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study”, Journal of Real Estate Finance and Economics, 51(4)：503–540. Berkmen, P., 2012, “Bank of Japan’s Quantitative and Credit Easing: Are They Now More Effective?”, IMF Working Paper, No. WP/12/2. Boj, 2023, The Wage Formation Mechanism in Japan- Summary of the Third Workshop on "Issues Surrounding Price Developments during the COVID-19 Pandemic"，BOJ Reports& Research Papers. Chaney, Alain and Martin, H., 2010, “The Interest Rate Sensitivity of Real Estate”, Journal of Property Research, 27(1) : 61-85. Chen, Q., Fiardo, A., He, D., and Zhu, F., 2011, “International Spillover of Central Bank Balance Sheet Policies”, Working Paper, Hong Kong Monetary Authority and Bank for International Settlement. Cuong, N., and Hang, N., 2017, “Monetary Policy and Residential Housing Bubbles in Japan: a Quantile Regression Approach”, The Ritsumeikan Economic Review, 65(4)：485-497. Goodhart, C., and Hofmann, 2008, “House Prices, Money, Credit, and the Macroeconomy”, Oxford Review of Economic Policy, 24 :180-205. Hoshi, T., and Anil, K., 2001, “Corporate Financing and Governance in Japan: The Road to the Future” Cambridge and London: MIT Press. Ito, Takatoshi, and Tokuo, I., 1996, “Explaining Asset Bubbles in Japan”, Monetary and Economic Studies, 14, 143–93. Joshua, H. and Johannes, W., 2014, “Abenomics: Preliminary Analysis and Outlook”, Brookings Papers on Economic Activity, 1-63. Joshua, H., Takashi, U., and Johannes, W., 2019, “Abenomics, the Housing Market, and Consumption”, 経済分析, 200：37-62. Kapopoulos, P., and Siokis, F., 2005, “Stock and Real Estate Prices in Greece: Wealth versus ‘Credit-price’ Effect.”, Applied Economics Letters, 12(2) :125-128. Kwon, E., 1998, “Monetary Policy, Land Prices, and Collateral Effects on Economic Fluctuations: Evidence from Japan,” Journal of the Japanese and International Economies, 12 : 175-203. Lin, T.c., and Lin, Z., 2011, “Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asioan Economics”, Pacific Basin Finance Journal, 19(5) : 571-585. Liow, K.H., and Yang, H., 2005, “Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets”, The Journal of Real Estate Finance and Economics, 31(3)：283-300. Mishkin, F., 2007, “Housing and the Monetary Transmission Mechanism”, NBER Working Paper, 13518：359-413. Miyao, Ryuzo, 2016, “Unconventional Monetary Policies”, Yuhikaku Publishing Co., Ltd：Japan. Mohsen, B.O., Wu, T.P., 2018, “Housing Prices and Real Effective Exchange Rates in 18 OECD Countries: A Bootstrap Multivariate Panel Granger Causality”, Economic Analysis and Policy, 60：119-126. Nada, M., 2008, “The Effect of Bank Credit on Asset Prices: Evidence from the Japanese Real Estate Boom during the 1980s”, Journal of Money, Credit and Banking, 40(1)：57-87. Nuobu, R., 2018, “House prices, Inflation and Unconventional Monetary Policy”. Nuobu, R., 2022, “Do House Prices Play a Role in Unconventional Monetary Policy Transmission in Japan?”, Journal of Asian Economics, 83：1-15. Owen, H., and Michael, S., 2008, “Japan’ s Quantitative Easing Policy”, Economic Trends, December：6-8. Pesaran, H. and Shin, Y., 1998, “Generalized Impulse Response Analysis in Linear Multivariate Models”, Economics Letters, 58：17–29. Pesaran, H., Schuermann, T., and Weiner, S., 2004, “Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model”, Journal of Business and Economic Statistics, 22：129–162. Rahal, C., 2016, “Housing Markets and Unconventional Monetary Policy”, Journal of Housing Economics, 32：67-80. Richard, G., 2002, “Stock Prices and House Prices in California: New Evidence of a Wealth Effect?”, Regional Science and Urban Economic, 32：775-783. Robert, D., 2017, “Japanese Monetary Policies and Spillovers to Asia: A Global VAR Approach”, 経済分析, 193：227-248. Roman, M., Stephanos, P., Aleksandar, Š., Nickolaos, T., 2019, “The Effectiveness of Quantitative Easing: Evidence from Japan”, Journal of International Money and Finance, 99：1-15. Stone, D. and Ziemba, W., 1993, “Land and Stock Prices in Japan”, The Journal of Economic Perspectives, 7(3) : 149-165. Takayasu, I., 2021, “The Determinants of Residential Property Prices in Japan: Analysis of Different Monetary Policy Regimes”, Journal of Corporate Accounting & Finance, 32：90-95. 描述 碩士
國立政治大學
地政學系
111257011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111257011 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tso-Yu en_US dc.contributor.author (Authors) 林楚蕎 zh_TW dc.contributor.author (Authors) Lin, Chu-Chiao en_US dc.creator (作者) 林楚蕎 zh_TW dc.creator (作者) Lin, Chu-Chiao en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-Aug-2024 14:15:33 (UTC+8) - dc.date.available 5-Aug-2024 14:15:33 (UTC+8) - dc.date.issued (上傳時間) 5-Aug-2024 14:15:33 (UTC+8) - dc.identifier (Other Identifiers) G0111257011 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152828 - 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) 111257011 zh_TW dc.description.abstract (摘要) 近年來的國際情勢大幅影響全球經濟，各國紛紛祭出相應經濟政策。面對疫情時的量化寬鬆(Quantitative Easing, QE)措施導致的通貨膨漲，加上2022年俄烏戰爭的爆發進一步惡化通膨問題。全球央行為了抑制通膨多採取了緊縮的貨幣政策，然身為全球主要經濟體之一的日本在各國央行普偏升息的情況下仍然堅持寬鬆的貨幣政策方向。 量化寬鬆對於總體經濟的影響過往已透過諸多文獻證實，而房地產價格的波動也常常受到一國的總體經濟變數之影響，促使本研究欲透過時間序列分析方法中的VAR模型及其相關檢定探究日本長期、短期的房價波動與總體經濟發展間的動態關係為何以及日本房市未來將存在哪些潛在風險。 共整合檢定結果顯示日本房價之表現與股市長期為正向共整合；房市與匯率為負向共整合，意味著當日圓升值時，熱錢流入日本，帶動股票以及其他投資消費進而推升房價；房市與GDP表現為負向共整，呈現國民在泡沫經濟後對於不動產的投資轉為保守。因果關係檢定可看出匯率變化在短期為總體經濟表現的領先指標，GDP與CPI的變化則相對滯後，且股價對房價呈單向領先關係，意味股市對房市存在財富效應。衝擊反應分析可得出當GDP受到房價的衝擊時，僅會在前一年有些微的正向反應，隨後則為不顯著，顯示日本的經濟成長已和房價趨勢脫鉤，證實房市作為日本經濟火車頭的時代已不再。透過誤差變異數分析可得出即使經過了兩年匯率對於自我的解釋力仍較高，且該變數能夠部分解釋其餘變數的變動，呼應因果關係檢定中匯率為日本總體經濟之領先指標，本研究建議追蹤日本央行對於利率調控上的政策風向，並關注匯率是否產生劇烈變動，做為觀測房市潛在風險的訊號之一。 zh_TW dc.description.abstract (摘要) The impact of Qualitative Easing (QE) on the macro-economic has been confirmed by many research in the past, and the fluctuation of real estate prices is often affected by a country's macro-economic variables, inspiring this study to explore it through the VAR and related tests in the time series analysis method. Exploring what is the long-term and short-term dynamic relationship between Japan's house prices and macro-economic, and what potential risks will exist in Japan's housing market in the future. The cointegration test results show that the performance of Japanese house prices and stock prices are positively cointegrated in the long term; the house prices and the exchange rate are negatively cointegrated, which means that when the yen appreciates, hot money flows into Japan, driving stocks and other investment consumption and thereby pushing up house prices; the house prices is negatively integrated with GDP, indicating that citizens’ investment in housing has become conservative after the bubble economy. The Granger causality test shows that exchange rates changes is the leading indicator of macro-economic performance in the short term, while changes in GDP and CPI are lagging, and stock prices have a one-way leading relationship with housing prices, which means that the stock market has a wealth effect on the housing market. The impulse responses results can conclude that when GDP is impacted by housing prices, there will only be a slight positive response in the first year, and then it will be insignificant. This shows that Japan's economic growth has been decoupled from the house price trend, confirming that the housing market is no longer the locomotive of Japan's economy. Through variance decomposition, it can be concluded that even after two years, the explanatory power of the exchange rate for itself is still high, and this variable can partially explain the changes in other variables, echoing the exchange rate change in the causality test as the leading indicators of the macro-economic in Japan. This study recommends tracking the BOJ policy direction on interest rate regulation and paying attention to whether there are drastic changes in the exchange rate, as one of the signals for observing potential risks in the housing market. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景、動機與目的 1 第二節 研究範圍與方法 5 第三節 研究架構與流程 7 第二章 文獻回顧 9 第一節 日本經濟發展脈絡 9 第二節 日本不動產市場表現 17 第三節 影響不動產市場的總體經濟因素 23 第四節 小結 28 第三章 研究設計與資料處理 29 第一節 研究流程設計 29 第二節 資料說明與變數選取 39 第四章 實證結果與分析 43 第一節 實證結果 43 第五章 結論與建議 59 第一節 結論 59 第二節 建議 61 參考文獻 63 zh_TW dc.format.extent 2085745 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111257011 en_US dc.subject (關鍵詞) 日本 zh_TW 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) 時間序列 zh_TW dc.subject (關鍵詞) 向量自我回歸模型 zh_TW dc.subject (關鍵詞) Japan en_US dc.subject (關鍵詞) Macro-economic en_US dc.subject (關鍵詞) House prices en_US dc.subject (關鍵詞) Time series en_US dc.subject (關鍵詞) VAR en_US dc.title (題名) 影響日本不動產價格之總體經濟因素 zh_TW dc.title (題名) The Influence of Macro-Economic Indicators on Housing Prices in Japan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分 伊藤孝司，1999，「日本的不良債權問題與經濟的蕭條」，『國際政治研究』，2：56-60。 李榮謙、高超洋、黃麗倫、楊淑雯，2010，「日本失落十年的經驗與啟示」，『中央銀行季刊』，32(2)：47-64。 吳森田, 1994，「所得、貨幣與房價-近二十年台北地區的觀察」, 『住宅學報』，2：49-65。 吳俊毅、黃裕烈，2018，「美國和日本量化寬鬆貨幣政策對臺灣 經濟衝擊 — GVAR 模型之分析」，『臺灣經濟預測與政策』，48(2)：1-39。 林秋瑾、黃佩玲, 1995，「住宅價格與總體經濟變數關係之硏究一以向量自我迴歸模式(VAR )進行實證」, 『國立政治大學學報』，71：143-159。 邱達生，2023，「2022~2023年 全球經濟景氣回顧與展望」，『臺灣經濟研究月刊』，46(1)：39-45。 高超洋，2016，「日本央行量質兼備寬鬆貨幣政策之效果與限制－兼論中長期退場機制面臨之問題」，『中央銀行國際金融參考資料』，69：69-96。 陳伯志，1999，「九○年代日本經濟不景氣之分析」，『問題與研究』，38(4)：71-94。 陳婕、路靜、高鵬及董紀昌, 2009，「人民幣匯率波動與我國房價關係的實證分析」, 『數學的實踐與認識』，39(13)：73-79。 梅強、林尚毅，2017，「臺灣總體經濟變數對六都房價之影響分析」，『亞太經濟管理評論』，21(1)：33-48。 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』，10：330-343。 趙放，1991，「關於日本累積資產膨脹化問題」，『現代日本經濟』，6：47-50。 鄧筱蓉, 2017，「房市泡沫與總體經濟關係」, 『住宅學報』，26(2)：27-50。 劉慶瑞，2017，「安倍經濟學之成果與日本經濟展望」，『全球政治評論』，5：55-76。 顏玲玲，2008，「總體經濟因素對臺灣房價影響之研究」，『國立臺中技術學院事業經營研究所』，碩士論文。 日文部分 上川龍之進，2014，『日本銀行と政治－金融政策決定の軌跡』，中央公論新社：日本。 大越利之，2014，「金融政策と不動産価格の関係- バブル崩壊以後の日本について」，『土地総合研究』，春号：134-139。 中曽宏、橋本政彦，2023，「国際通貨としての円」，『財務省財務総合政策研究所』，153：178-206。 北坂真一，2012，「地価と日本経済― バブル崩壊後の新しい流れ」，『経済学論叢』，64(2)：381-404。 井出多加子、倉橋透，2010，「不動産バブルとマクロ経済」，『土地総合研究』，夏号：19-42。 吉岡孝昭，2005，「地価とマクロ経済変数との因果性分析を用いた金融政策への一考 察」，『国際公共政策研究』，10 (1)：91-104。 宍戸駿太郎，2010，「マクロモデルと経済政策：世界金融恐慌の教訓」，『環太平洋産業連関分析学会』，18(1-2)：24-29。 陣內了，2022，「資産価格バブルに関するマクロ経済学的分析と政策的含意」，『財務省財務総合政策研究所』，4：76-92。 植村修一、佐藤嘉子，2000，「最近の地価形成の特徴について」，『日本銀行調査月報』，10 月号：161-195。 橘川武郎，2022，「日本の経済発展とイノベーション」，『経済研究所年報』， 35：117-153。 英文部分 Alexey, A., Simon, S., and Maxim, Z., “Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study”, Journal of Real Estate Finance and Economics, 51(4)：503–540. 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