[[alternative]]The research of non-linear impact of monetary policy on housing prices between Taipei and Shanghai

碩士[[abstract]]近幾年全球房地產價格不斷的上漲，各國政府也相繼推出許多調控房地產價格的政策，而貨幣政策就是用來調控房地產價格的手段之一，因此本研究採用台北市2005年1月至2014年12月，上海市2007年1月至2014年12月之房價指數月資料，以貨幣供給M1b/M1年增率、貸款利率、貸款餘額、消費者物價指數與每戶可支配所得作為解釋變數，並採用非線性平滑移轉模型，將貨幣供給年增率設為門檻變數，觀察台北市與上海市房價受到解釋變數的影響程度。實證結果如下： 1.台北市的部分，當貨幣供給M1b年增率在門檻值附近時，貸款餘額、貸款利率與房價分別呈現正相關與負相關，而貨幣供給年增率、消費者物價指數與每戶可支配所得則不顯著影響房價；另外，當貨幣供給M1b年增率大於或小於門檻值時，貸款餘額與房價呈現正相關，貸款利率、消費者物價指數與房價呈現負相關，而貨幣供給年增率、每戶可支配所得則不顯著影響房價。 2.上海市的部分，當貨幣供給M1年增率小於等於門檻值時，貨幣供給年增率、貸款餘額與房價呈現正相關，而貸款利率、消費者物價指數與每戶可支配所得則不顯著影響房價；相反地，當貨幣供給M1年增率大於門檻值時，貸款餘額、貸款利率與房價呈現正相關，貨幣供給年增率、消費者物價指數與房價呈現負相關，而每戶可支配所得則不顯著影響房價。[[abstract]]In recent years, global housing prices are soaring. Therefore, governments all around the world also release policy to control the housing prices. And the monetary policy is one way to control the housing market. Hence, I used the monthly data for Taipei and Shanghai and selected annual growth rate of the money supply, mortgage rate and balance of loans as monetary policy variables with consumer price index and household disposable income as macroeconomic variables. By using the Smooth Transition Model and setting the annual growth rate of the money supply as a threshold to observe when the annual growth rate of money supply in different intervals, how the independent variables affect real estate market of Taipei and Shanghai in the period from 2005 to 2014 and 2007 to 2014, respectively. The empirical result are described as follow: For Taipei city, when the annual growth rate of the money supply near to the threshold value, the balance of loan was significantly positive affect housing prices and the mortgage rate was significantly negative affect housing prices; In addition, when the annual growth rate of the money supply was greater or less than the threshold value, the balance of loan was also significantly positive affect housing prices while the mortgage rate and consumer price index were significantly negatively affect housing prices. For Shanghai city, when the annual growth rate of the money supply was less or equal to the threshold value, the annual growth rate of the money supply and the balance of loans were significantly positive affect housing prices. In the contrast, when the annual growth rate of the money supply was greater than the threshold value, the balance of loans and the mortgage rate were significantly positive affect housing price while the annual growth rate of the money supply and consumer price index were significantly negative affect housing price.[[tableofcontents]]中文摘要 i 英文摘要 ii 目錄 iii 圖目錄 iv 表目錄 iv 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 6 第三節 研究流程與架構 7 第二章 文獻探討 8 第一節 貨幣政策對房地產價格的影響 8 第二節 總體經濟因素對房地產價格的影響 14 第三節 房價指數說明 18 第三章 研究方法 21 第一節 單根檢定 21 第二節 平滑移轉模型 25 第四章 實證結果與分析 31 第一節 資料來源與變數說明 31 第二節 敘述統計 34 第三節 單根檢定 36 第四節 線性檢定 39 第五節 轉換函數檢定 40 第六節 模型參數之估計檢定 41 第五章 結論與建議 48 第一節 研究結論 48 第二節 建議 50 參考文獻 51 中文文獻 51 英文文獻 52 網路資源 55 圖目錄 圖1-3-1 研究流程與架構 7 圖3-2-1 邏輯型函數 28 圖3-2-2 指數型函數 29 表目錄 表4-1-1 變數代號與資料來源說明 34 表4-2-1 樣本資料之敘述統計 36 表4-3-1 台北市與上海市變數之ADF、PP、NP與KPSS單根檢定結果 38 表4-4-1 LM-TYPE線性檢定 39 表4-5-1 轉換函數檢定 40 表4-6-1 台北市ESTAR模型參數估計 43 表4-6-2 解釋變數對台北市房價指數的影響 44 表4-6-3 上海市LSTAR模型參數估計 46 表4-6-4 解釋變數對上海市房價指數的影響 47[[note]]學號: 602530080, 學年度: 10