房價指數、建築業股價指數、消費者物價指數之互動關係

房地產與股市的互動一直以來具有持續的話題性，在市場上視為經濟核心，也是不可或缺的投資工具，活躍的投資者與消費者，導致經濟增長，房地產價格也不斷地攀升、成長，而股票的投資者會以較低的成本購入，再透過買賣交易獲得報酬，因此房地產與股票成為了國人最喜愛以及最重要的投資工具，尤其房地產近年來的飆升，成為了報酬率最高的投資工具之一。過去研究並無房價指數、建築業股價指數、消費者物價指數三者間互動關係之研究，而本研究分為三個時期進行研究，將使用2009年至2013年、2014年至2018年、2018年至2021年，使用單根檢定、共整合檢定、向量誤差修正模型（格蘭傑因果關係檢定、衝擊反應函數、預測誤差變異數分解）進行三者間互動關係的探討。　　　實證結果發現，第二研究期間房價指數領先消費者物價指數，建築業股價指數和其他兩變數並無領先滯後關係，房價指數和建築業股價指數存在正相關，房價指數和消費者物價指數存在負相關，在疫情研究期間可以發現，三者變數間的衝擊反應在正負象限裡做波動，且對自身和其他變數之解釋能力相較於前兩個研究期間具有更明顯的震盪。

關鍵字

房價指數；建築業股價指數；消費者物價指數；單根檢定；共整合檢定；向量誤差修正模型；格蘭傑因果關係檢定；衝擊反應函數；預測誤差變異數分解

並列摘要

The interaction between real estate and the stock market has always been a topical topic. It is regarded as the core of the economy in the market and an indispensable investment tool. Active investors and consumers lead to economic growth, and real estate prices continue to rise and grow. Stock investors will buy stocks at a lower cost, and then get rewards through trading transactions. Therefore, real estate and stocks have become the most popular and important investment tools for Chinese people. In particular, real estate has soared in recent years and has become the investment with the highest rate of return. One of the tools. In the past, there was no research on the interaction between house price index, construction industry stock price index, and consumer price index. This study is divided into three periods for research, and will use 2009 to 2013, 2014 to 2018, From 2018 to 2021, use single root test, co-integration test, vector error correction model (Granger causality test, shock response function, forecast error variance decomposition) to explore the interactive relationship between the three. The empirical results show that during the second study period, the house price index leads the consumer price index, the construction industry stock price index and other two variables have no leading lag relationship, the house price index and the construction industry stock price index have a positive correlation, and the house price index and the consumer price index have a negative relationship. Relatedly, during the epidemic research period, it can be found that the shock responses among the three variables fluctuate in the positive and negative quadrants, and the ability to explain itself and other variables has more obvious fluctuations than the previous two research periods.

並列關鍵字

House price index ； Construction Stock Price ； Consumer Price index ； Unit-Root Test ； Cointegration test ； Vector error correction model ； Granger causality ； Impulse response function ； Forecast error variance decomposition