台灣房地產景氣與金融變數長期關係之研究

Long-Term Relationships between Financial Variables and Real Estate Cycle in Taiwan

林恩從(Ant-Song Lin) ； 林秋瑾(Vickey C. C. Lin) ； 張金鶚(Chin-Oh Chang)

《中國財務學刊》 4卷4期 (1997/04) Pp. 75-91

https://doi.org/10.6545/JoFS.1997.4(4).4

摘要

本研究運用共整觀念與誤差修正模型探討台灣房地產景氣與金融變數間之長期關係，實証顯示，代表房地產總體面的基準循環指數與代表長期資金成本的擔保放款利率，及代表短期機會成本的3個月期定存利率和銀行同業拆放利率之間，不論是雙變量或多變量，均存在長期共整關係。更且，研究變數間之長期誤差調整功能均相當顯著。然而，短期因果關係卻不顯著，蘊涵套利空間並不存在。

關鍵字

房地產發展 ； 房地產景氣週期 ； 共整 ； 誤差修正模型

並列摘要

The purpose of this paper is to re-examine the long-term relationship between the financial variables and the housing industry development activities by using indexes developed recently by Wang, Chang, and Lin (1995). The methodology combining the cointegrating concept and the error correction model is employed. For the 12-year complete period, the reference cycle index is found to have long-term relationships with three nominal interest rates in both bivariate and multivariate contexts. This finding is quite different from that reported by Lin (1995) where a less representative index was employed and no relationship was found. As far as causality concerns, both the bivariate and multivariate error correction models show existence of adjustments over cointegrating long-term trends; but, no direct causal impact running from the three interest rates to housing industry activities can be justified.

並列關鍵字

real estate development ； real estate cycle ； cointegration ； error correction model