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购屋贷款利率和货币供给对房价之影响 -平滑转移自我迴归模型之应用

【中文摘要】:本文利用平滑转移自我迴归模型(Smooth Transition Autoregrssion)来建立一非线性模型来检定利率和房价的关係。同时为了了解中古屋市场的信义台湾房价指数和预售屋市场的台北市预售屋房价是否具有差异,分析了1971Q1~2012Q2台北市预售屋房价的资料(台北市预售屋房价、M2货币供给成长率、质押利率),和1998Q1~2012Q2的信义台湾房价指数(信义台湾房价指数、M2货币供给成长率、五大行库平均购屋贷款利率)。另外还实证了资料期间较长的台北市预售屋房价的资料以1990金融自由化为界线分为前后两期,探讨两期间是否存在差异。而从实证结果发现,较长期台北市预售屋房价和较短期的信义台湾房价指数,和1990年前台北市预售屋房价的皆可用非线性模型LSTAR估计之,且皆具不同门槛变数,对房价影响亦不同,但在所有模型之下,利率皆是显着变数,且大多为负向影响,代表在台湾的房地产市场,在大多时期利率对房价确实有显着影响。另外期间较短、中古屋市场的信义台湾房价指数有一门槛值在2004年,货币供给成长率和利率变动等相关解释变数在2004年前后对房价影响不一致;而期间较长、预售屋市场的台北市预售屋房价结果显示最佳落后2期的台北预售屋房价变化率为一门槛值,且房价有持续性高涨或低迷的现象,且在涨幅过高的情况下,利率并无法有效影响房价。1990年金融自由化前后利率和货币供给成长率对房价关係有明显差异。在1990年前台北市预售屋房价的可用非线性模型LSTAR估计利率和货币供给成长率对房价之间的非线性关係,但在1990年前的资料显示门槛值在1986年,代表1986年前和1986年到1990年的房价行为不相同。
【英文摘要】:The purpose of the research is to find out whether the nonlinear relationship exist between the house price and the financial factors,include mortgage interest rate.and money supply growth rate,which are under the government’s control. Quarterly data on Sin-Yi housing index(1998Q1~2012Q2) and Taipei presale house prices (1971Q1 ~2012Q2) are used for empirical study, which represent presales and existing house prices. The research is essentially constructed by the STAR(Smooth Transition Autoregressive model).In addition, the research also try to examine whether the relationship had changed after Financial Liberalization in 1990.
The major findings are as follows: First,,There is nonlinear relationship between mortgage interest rate、money supply growth rate and house prices,both Sin-Yi housing index and Taipei presale house prices. The effect of mortgage interest rate and money supply growth rate on the Sin-Yi housing index before 2004 is different from after 2004.And in the samples of Taipei presale house prices,the prior house prices growth rate have a positive effect on the current house prices growth rate. Second,under most circumstances,the mortgage interest rates have significant negative effect on house prices,which proves that mortgage interest rates is a important factor for house prices. Third,there is no significant nonlinear relationship between mortgage interest rate、money supply growth rate and Taipei presale house prices after 1990.Simply put,the government can view mortgage interest as an effective tool to adjust the real estate market.
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  • 来源:中山大学;作者:魏新翰
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