A study on the relationship between real estate prices and housing loans in Taiwan

自20世紀80年代以來，由於金融自由化、全球化使資金在國際間迅速流動，致世界各國的資產市場均出現巨幅且密集的波動，尤其是房地產價格的波動，舉凡歷年國內外所發生的重大金融事件，幾乎皆與房地產市場有關，2007年美國的次貸風暴即是近期最真實的案例，顯示房地產價格的波動與金融體系發展的互動關係愈趨密切。 本文以台灣1993年第1季到2009年第2季共66筆的季資料，運用結構性轉變檢定、單根檢定、共整合檢定、誤差修正模型及Granger因果關係檢定等實證方法，探討房地產價格與房屋貸款之間的關聯性。實證結果發現，共整合檢定結果支持房屋貸款、房屋價格、利率以及國內生產毛額間存在二個共整合向量，代表變數之間具有長期均衡關係，並由因果關係檢定得知，房屋價格與房屋貸款兩者間互為雙向回饋的互補關係。 綜合上述研究結論可知，台灣房地產價格與房屋貸款之間存在著相互牽引的作用，彼此的交互影響的確是存在的，隱涵銀行體系實與房地產市場之榮枯息息相關，不容忽視。是故政府當局研擬各項政策都應更加全面性審慎評估兩者間之連動關係，或可提供政府擬定攸關策略以穩定房市及金融的參考。Since 1980s, the international funds have circulated rapidly due to the financial globalization and the financial liberalization, so that the asset markets made enormous and frequent fluctuations all over the world, especially real estate. Every significant financial event around the world is almost related to the market of real estate. The US subprime mortgage crisis in 2007 was the most famous case recently. It showed that the volatility of real estate prices and the development of financial system are getting closer and closer. In this research, we took 66 data collected from 1993 Q1 to 2009 Q2 in Taiwan to analyze structural change test, unit root test, co-integration test, error correction model and Granger causality test in order to explore the relationship between real estate prices and housing loans. The results show that there are two co-integration vectors between the housing loans, housing prices, interest rates and gross domestic product, based on co-integration test. It means that there is a long-term equilibrium relationship between the variables. We also find that housing prices and housing loans have a complementary relationship between each other by the Granger causality test. This paper concludes that there is a reciprocal effect between Taiwan''s real estate prices and housing loans and it does exist. It can not be ignored that the implied banking system is closely relative to the real estate market. Therefore, the policies of Government should carefully assess the both relationship with the others. Our research could be a reference for Government to make policies about that how to stabilize the real estate and finance