Relationships between Macroeconomic Variables and Housing Prices

本研究係探討總體經濟變數對於中古屋房價與預售屋房價之影響。本文的中古屋價格與預售屋價格分別以1991年第三季至2007第四季的信義房價指數、1997年第一季至2007第四季的國泰房價指數為研究期間。所選取之總體經濟變數包括：股價、貨幣供給額、儲蓄率、物價、利率及所得等。實證過程利用因果關係檢定、共整合檢定，配合向量誤差修正模型探討總體經濟變數與中古屋房價、預售屋房價之互動關係，並比較影響中古屋價格與預售屋價格的總體因素之異同。研究的結論如下：.總體經濟變數與住宅價格存在長期及短期均衡關係。.中古屋與預售屋房價皆與股價、貨幣供給額及儲蓄率存在單向或雙向因果關係，其中貨幣供給額與中古屋、預售屋房價皆存在雙向回饋關係。.中古屋房價及預售屋房價兩者與總體經濟變數間的因果關係存在差異性。中古屋房價與利率、物價存在因果關係，預售屋房價指數則與這些因素無關係；預售屋房價指數與所得存在因果關係，中古屋房價指數則無關係，表示價格相對較高的預售屋易受民眾的所得高低影響。.股價領先於中古屋房價，預售屋房價又領先於股價，顯示股價上漲所帶動的財富效果有助刺激價位相對低的中古屋市場，在預售屋市場較不具效用。由向量誤差修正模型顯示，前期股價對中古屋房價為正向影響，對預售屋房價為負向影響，故對投資人而言，股市與中古屋市場為互補關係，股市與預售屋則有替代關係。.中古屋房價在均衡誤差不為零時，有消弭均衡誤差之調整能力，預售屋房價卻不具有此能力，與台灣當前的現實狀況相符。目前預售屋價格屢創新高，甚至引起泡沫化的疑慮，顯示其在偏離均衡時不具有下修的能力。This thesis aims to examine the relationship between macroeconomic variables and housing prices. Quarterly data on Sin-Yi housing index and on Cathay housing index are used for empirical study, which represent presales and existing house prices, respectively. This research uses the Granger Causality Test, Co-integration Test and Vector Error Correction Model (VECM) to fulfill objectives. The macroeconomic variables employed are quarterly observations of the stock price index, money supply, saving ratio, CPI, interest rates and GDP. The major findings of the study are as follows. First, there exist both long-term and short-term equilibrium relationship between macroeconomic variables and housing prices. Secondly, presales and existing house prices both have feedback relationships with money supply. Thirdly, one period lagged money supply has significantly positive effect on presales and existing house prices, and one period lagged saving ratio has significantly negative effect on them. Finally, it reveals that macroeconomic variables have different impacts on the presales and existing house prices. For example, lagged stock price has a positive effect on existing house price, but has a negative effect on presales house price. In addition, existing house price demonstrates a better adjustment mechanism when diverges from value as shown by the coefficient of error correct term. In other words, existing house price has the ability to converge to long-run equilibrium, while presales house price doesn’t.口試委員審定書 i辭 ii文摘要 iIi文摘要 iv一章 緒論 1一節 研究動機 1二節 研究目的與論文架構 4二章 房價相關文獻回顧 6三章 檢定方法與實證模型 14一節 單根檢定 14二節 因果關係檢定 16三節 向量自我迴歸模型 17四節 共整合檢定與向量誤差修正模型 18五節 衝擊反應函數 21六節 預測誤差變異數分解 23四章 實證結果與分析 25一節 資料來源與處理 25二節 中古屋價格與總體經濟變數分析 36三節 預售屋價格與總體經濟變數分析 46四節 實證結果比較 55五章 結論 58考文獻 62錄 6