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題名 美國房貸利率對房價和租金的影響
The Impacts of US Mortgage Rates on Housing Prices and Rents作者 王品融
Wang, Pin-Jung貢獻者 林左裕
Lin, Tso-Yu
王品融
Wang, Pin-Jung關鍵詞 房貸固定利率
房價
租金
向量誤差修正模型
Fixed mortgage rate
House price
Rent
Vector error correction model日期 2024 上傳時間 5-Aug-2024 14:16:31 (UTC+8) 摘要 自 2007 年 8 月美國爆發次貸危機以來，多數人認為住宅抵押貸款在經濟發展中發揮著至關重要的作用。近十年，美國房價迅速飆升，讓人不禁聯想到金融風暴前的危機走勢。爾後，為了應對 COVID-19 大流行對經濟成長的負面影響，美國實施了極為寬鬆的貨幣政策，將利率壓低至接近零點，進而導致抵押貸款利率下降，而 2022 年初以後，美國不斷加息，抵押貸款利率隨之上升。因此，美國房屋抵押貸款利率是否為影響不動產市場的關鍵因素，以及其他貸款變數對房價及租金的影響程度值得深入的探討。 本研究以美國 1991 年第 1 季至 2023 年第 4 季的 30 年期房貸固定利率、房價指數與 CPI 房租指數、房屋貸款變數以及總體經濟變數的季資料，採用時間序列分析，透過單根檢定、共整合檢定、向量誤差修正模型、Granger 因果關係檢定、預測誤差變異數分解及衝擊反應函數，以深入了解模型中各變數之間的相互變動情形。而實證結果顯示，房價指數、CPI 房租指數和 30 年期房貸固定利率在短期內受到多個變數的影響，但最終通過特定速度調整至長期均衡狀態。在長期均衡關係下，房價指數的變化可能對 CPI 房租指數產生正向或負向影響，取決於租金市場的供需關係；30 年期房貸固定利率與房價指數呈反向關係，同時，房價指數也可能影響 30 年期房貸固定利率；而 30 年期房貸固定利率與 CPI 房租指數之間亦存在雙向影響關係。 總而言之，本研究揭示了美國不動產市場與房屋抵押貸款利率之間的複雜關係，不動產市場的變化不僅影響購屋者的決策，還對住宅市場的供需、價格及租金產生一定的影響力。在經濟環境不斷變化的情況下，密切關注房屋抵押貸款利率並進行深入研究，有助於更好地理解不動產市場的趨勢和風險。
Since the inception of the subprime mortgage crisis in August 2007, residential mortgages have been seen as crucial to economic development. Over the past decade, U.S. housing prices have surged, reminiscent of pre-crisis trends. To counteract COVID-19's economic impact, the U.S. implemented loose monetary policies, lowering interest rates to nearly zero, which reduced mortgage rates. However, since early 2022, continuous rate hikes have caused mortgage rates to rise. Accordingly, whether the U.S. mortgage interest rates are a key factor influencing the real estate market, and the extent to which other loan variables impact housing prices and rents, are topics worthy of in-depth exploration. This study collects quarterly data from Q1 1991 to Q4 2023, including the 30-year fixed mortgage rate, house price index, CPI rent index, mortgage variables, and macroeconomic variables. Using time series analysis, through unit root tests, cointegration tests, vector error correction models, Granger causality tests, forecast error variance decomposition, and impulse response functions, to better understand the interrelationships among the variables in the model. Results show that in the short term, the house price index, CPI rent index, and 30-year fixed mortgage rate are influenced by multiple variables, yet adjusted to a long-term equilibrium. Changes in the house price index can positively or negatively impact the CPI rent index, depending on rental market conditions. The 30-year fixed mortgage rate is inversely related to the house price index, and there is a bidirectional relationship between the 30-year fixed mortgage rate and the CPI rent index. In summary, this study reveals the complex relationship between the U.S. real estate market and mortgage rates. Changes in the real estate market influence homebuyers' decisions and impact housing supply, demand, prices, and rents. Monitoring mortgage rates and conducting in-depth research can help understand real estate market trends and risks.參考文獻 一、中文參考文獻 林左裕, & 程于芳. (2014). 影響不動產市場之從眾行為與總體經濟因素之研究. 應用經濟論叢, (95), 61-99. 林若筑, 曾懷萱, & 林左裕. (2016). 台北市不動產價格泡沫之探討. 土地問題研究季刊, 15(1), 83-105. 張金鶚, 陳明吉, & 楊智元. (2010). 台北市房價泡沫之再驗. 張金鶚, 陳明吉, 鄧筱蓉, & 楊智元. (2009). 台北市房價泡沫知多少?—房價 vs. 租金, 房價 vs. 所得. 住宅學報, 18(2), 1-22. 陳隆麒, & 李文雄. (1998). 臺灣地區房價, 股價, 利率互動關係之研究-聯立方程模型與向量自我迴歸模型之應用. 中國財務學刊, 5(4), 51-71. 曾建穎, 張金鶚, & 花敬群. (2005). 不同空間, 時間住宅租金與其房價關聯性之研究-台北地區之實證現象分析. 住宅學報, 14(2), 27-49. 蔡永順, 臧仕維, 黃乃玟, & 張俊評. (2022). 房貸需求與房屋供給對房價的影響. 藝見學刊, (23), 49-68. 鄧筱蓉. (2007). 台北市房價泡沫知多少?-房價 vs. 租金與房價 vs. 所得. 二、英文參考文獻 Ambrose, B. W., & Diop, M. (2014). Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market. Journal of Urban Economics, 81, 114-135. André, C., Gil-Alana, L. A., & Gupta, R. (2014). Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries. Applied Economics, 46(18), 2127-2138. Anundsen, A. K., & Jansen, E. S. (2013). Self-reinforcing effects between housing prices and credit. Journal of Housing Economics, 22(3), 192-212. Asal, M. (2018). Long-run drivers and short-term dynamics of Swedish real house prices. International Journal of Housing Markets and Analysis, 11(1), 45-72. Ayuso, J., & Restoy, F. (2006). House prices and rents: An equilibrium asset pricing approach. Journal of Empirical Finance, 13(3), 371-388. Berlinghieri, L. (2010). Essays on house price fluctuations in the US (Doctoral dissertation, University of Washington). Bhutta, N., & Keys, B. J. (2016). Interest rates and equity extraction during the housing boom. American Economic Review, 106(7), 1742-1774. Bourassa, S. C., & Hoesli, M. (2010). Why do the Swiss rent?. The Journal of Real Estate Finance and Economics, 40, 286-309. Brissimis, S. N., & Vlassopoulos, T. (2009). The interaction between mortgage financing and housing prices in Greece. The Journal of Real Estate Finance and Economics, 39(2), 146-164. Campbell, J. Y., & Cocco, J. F. (2015). A model of mortgage default. The Journal of Finance, 70(4), 1495-1554. Campbell, S. D., Davis, M. A., Gallin, J., & Martin, R. F. (2006). A trend and variance decomposition of the rent-price ratio in housing markets. Campbell, S. D., Davis, M. A., Gallin, J., & Martin, R. F. (2009). What moves housing markets: A variance decomposition of the rent–price ratio. Journal of Urban Economics, 66(2), 90-102. Cannon, S., Miller, N. G., & Pandher, G. S. (2006). Risk and return in the US housing market: A cross‐sectional asset‐pricing approach. Real Estate Economics, 34(4), 519-552. Carbó-Valverde, S., & Rodriguez-Fernandez, F. (2010). The relationship between mortgage markets and house prices: does financial instability make the difference?. Federal Reserve Bank of Atlanta CenFIS Working Paper, 10-02. Chambers, M. S., Garriga, C., & Schlagenhauf, D. (2009). The loan structure and housing tenure decisions in an equilibrium model of mortgage choice. Review of Economic Dynamics, 12(3), 444-468. Chatterjee, S., & Eyigungor, B. (2015). A quantitative analysis of the US housing and mortgage markets and the foreclosure crisis. Review of Economic Dynamics, 18(2), 165-184. Chong, F. (2020). Housing price, mortgage interest rate and immigration. Real Estate Management and Valuation, 28(3), 36-44. Coskun, Y., Seven, U., Ertugrul, H. M., & Alp, A. (2020). Housing price dynamics and bubble risk: the case of Turkey. Housing Studies, 35(1), 50-86. Damen, S., Vastmans, F., & Buyst, E. (2016). The effect of mortgage interest deduction and mortgage characteristics on house prices. Journal of Housing Economics, 34, 15-29. Del Negro, M., & Otrok, C. (2007). 99 Luftballons: Monetary policy and the house price boom across US states. Journal of Monetary Economics, 54(7), 1962-1985. Duca, J. V., Muellbauer, J., & Murphy, A. (2016). How mortgage finance reform could affect housing. American Economic Review, 106(5), 620-624. Elbourne, A. (2008). The UK housing market and the monetary policy transmission mechanism: An SVAR approach. Journal of Housing Economics, 17(1), 65-87. Engle, R. F., Lilien, D. M., & Watson, M. (1985). A dymimic model of housing price determination. Journal of Econometrics, 28(3), 307-326. Englund, P., & Ioannides, Y. M. (1997). House price dynamics: an international empirical perspective. Journal of housing economics, 6(2), 119-136. Engsted, T., & Pedersen, T. Q. (2014). Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Journal of Macroeconomics, 42, 91-103. Engsted, T., & Pedersen, T. Q. (2015). 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M., Krishnamurthy, A., & McQuade, T. J. (2021). Mortgage design in an equilibrium model of the housing market. The Journal of Finance, 76(1), 113-168. Harris, J. C. (1989). The effect of real rates of interest on housing prices. The Journal of Real Estate Finance and Economics, 2, 47-60. Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: Bubbles, fundamentals and misperceptions. Journal of Economic Perspectives, 19(4), 67-92. Hofmann, B. (2001). The determinants of private sector credit in industrialised countries: do property prices matter?. Hofmann, B. (2003). Bank lending and property prices: Some international evidence. The Hong Kong Institute for Monetary Research Working Paper, 22(3), 34-47. Kim, J. R. (2015). What drives the price-rent ratio in the UK housing market? An unobserved component approach. Journal of Marketing and Management, 6(2), 74. Kim, K. H., & Renaud, B. (2009). 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International Review of Economics & Finance, 83, 736-749. Lo, D., McCord, M. J., McCord, J., Davis, P. T., & Haran, M. (2021). Rent or buy, what are the odds? Analysing the price-to-rent ratio for housing types within the Northern Ireland housing market. International Journal of Housing Markets and Analysis, 14(5), 1062-1091. McCord, M., McGreal, S., Berry, J., Haran, M., & Davis, P. (2011). The implications of mortgage finance on housing market affordability. International Journal of Housing markets and analysis, 4(4), 394-417. McGibany, J. M., & Nourzad, F. (2004). Do lower mortgage rates mean higher housing prices?. Applied Economics, 36(4). McQuinn, K., & O'Reilly, G. (2008). Assessing the role of income and interest rates in determining house prices. Economic modelling, 25(3), 377-390. Mints, V. (2007). The mortgage rate and housing bubbles. Housing Finance International, 21(4), 34. Nakajima, M. (2011). Understanding house-price dynamics. Business Review, 2(Q2), 20-28. 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國立政治大學
地政學系
111257025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111257025 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) 王品融 zh_TW dc.contributor.author (Authors) Wang, Pin-Jung en_US dc.creator (作者) 王品融 zh_TW dc.creator (作者) Wang, Pin-Jung en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-Aug-2024 14:16:31 (UTC+8) - dc.date.available 5-Aug-2024 14:16:31 (UTC+8) - dc.date.issued (上傳時間) 5-Aug-2024 14:16:31 (UTC+8) - dc.identifier (Other Identifiers) G0111257025 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152833 - 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) 111257025 zh_TW dc.description.abstract (摘要) 自 2007 年 8 月美國爆發次貸危機以來，多數人認為住宅抵押貸款在經濟發展中發揮著至關重要的作用。近十年，美國房價迅速飆升，讓人不禁聯想到金融風暴前的危機走勢。爾後，為了應對 COVID-19 大流行對經濟成長的負面影響，美國實施了極為寬鬆的貨幣政策，將利率壓低至接近零點，進而導致抵押貸款利率下降，而 2022 年初以後，美國不斷加息，抵押貸款利率隨之上升。因此，美國房屋抵押貸款利率是否為影響不動產市場的關鍵因素，以及其他貸款變數對房價及租金的影響程度值得深入的探討。 本研究以美國 1991 年第 1 季至 2023 年第 4 季的 30 年期房貸固定利率、房價指數與 CPI 房租指數、房屋貸款變數以及總體經濟變數的季資料，採用時間序列分析，透過單根檢定、共整合檢定、向量誤差修正模型、Granger 因果關係檢定、預測誤差變異數分解及衝擊反應函數，以深入了解模型中各變數之間的相互變動情形。而實證結果顯示，房價指數、CPI 房租指數和 30 年期房貸固定利率在短期內受到多個變數的影響，但最終通過特定速度調整至長期均衡狀態。在長期均衡關係下，房價指數的變化可能對 CPI 房租指數產生正向或負向影響，取決於租金市場的供需關係；30 年期房貸固定利率與房價指數呈反向關係，同時，房價指數也可能影響 30 年期房貸固定利率；而 30 年期房貸固定利率與 CPI 房租指數之間亦存在雙向影響關係。 總而言之，本研究揭示了美國不動產市場與房屋抵押貸款利率之間的複雜關係，不動產市場的變化不僅影響購屋者的決策，還對住宅市場的供需、價格及租金產生一定的影響力。在經濟環境不斷變化的情況下，密切關注房屋抵押貸款利率並進行深入研究，有助於更好地理解不動產市場的趨勢和風險。 zh_TW dc.description.abstract (摘要) Since the inception of the subprime mortgage crisis in August 2007, residential mortgages have been seen as crucial to economic development. Over the past decade, U.S. housing prices have surged, reminiscent of pre-crisis trends. To counteract COVID-19's economic impact, the U.S. implemented loose monetary policies, lowering interest rates to nearly zero, which reduced mortgage rates. However, since early 2022, continuous rate hikes have caused mortgage rates to rise. Accordingly, whether the U.S. mortgage interest rates are a key factor influencing the real estate market, and the extent to which other loan variables impact housing prices and rents, are topics worthy of in-depth exploration. This study collects quarterly data from Q1 1991 to Q4 2023, including the 30-year fixed mortgage rate, house price index, CPI rent index, mortgage variables, and macroeconomic variables. Using time series analysis, through unit root tests, cointegration tests, vector error correction models, Granger causality tests, forecast error variance decomposition, and impulse response functions, to better understand the interrelationships among the variables in the model. Results show that in the short term, the house price index, CPI rent index, and 30-year fixed mortgage rate are influenced by multiple variables, yet adjusted to a long-term equilibrium. Changes in the house price index can positively or negatively impact the CPI rent index, depending on rental market conditions. The 30-year fixed mortgage rate is inversely related to the house price index, and there is a bidirectional relationship between the 30-year fixed mortgage rate and the CPI rent index. In summary, this study reveals the complex relationship between the U.S. real estate market and mortgage rates. Changes in the real estate market influence homebuyers' decisions and impact housing supply, demand, prices, and rents. Monitoring mortgage rates and conducting in-depth research can help understand real estate market trends and risks. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 5 第三節 研究範圍 7 第四節 研究方法 8 第五節 研究內容與流程 9 第二章 文獻回顧 11 第一節 房屋抵押貸款利率與房屋價格之關係 11 第二節 房屋抵押貸款率與房屋租金之關係 18 第三節 房屋價格與房屋租金之關係 20 第四節 房屋抵押貸款利率、房屋價格與房屋租金之關係 24 第三章 研究設計 31 第一節 研究問題與架構 31 第二節 模型建構 33 第三節 變數選取 39 第四章 實證結果與分析 42 第一節 基本敘述統計 42 第二節 時間序列分析 44 第五章 結論與建議 63 第一節 結論 63 第二節 建議 64 參考文獻 66 zh_TW dc.format.extent 2855684 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111257025 en_US dc.subject (關鍵詞) 房貸固定利率 zh_TW dc.subject (關鍵詞) 房價 zh_TW dc.subject (關鍵詞) 租金 zh_TW dc.subject (關鍵詞) 向量誤差修正模型 zh_TW dc.subject (關鍵詞) Fixed mortgage rate en_US dc.subject (關鍵詞) House price en_US dc.subject (關鍵詞) Rent en_US dc.subject (關鍵詞) Vector error correction model en_US dc.title (題名) 美國房貸利率對房價和租金的影響 zh_TW dc.title (題名) The Impacts of US Mortgage Rates on Housing Prices and Rents en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文參考文獻 林左裕, & 程于芳. 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