短期資本流動與房價的關係─台灣實證研究

Capital Flows and House Prices: An Empirical Study of Taiwan

吳端霖(Duan-Lin Wu)

指導教授 ： 王泓仁 ； 陳南光

國立臺灣大學/社會科學院/經濟學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.00131

摘要

本文旨在探討熱錢如何影響台灣的房地產報酬，文中使用兩階段的模型進行估計。結果顯示熱錢在蕭條(bust)時期才對台灣房價有正向的影響，繁榮(boom)時期則無；而台灣房地產報酬的蕭條時期發生在亞洲金融風暴後，這個時期台灣的資金流入為正，故資金流入會抬升房地產報酬；因此在蕭條時期，台灣政府應更加注意資金的流入，以防止房市泡沫的發生。

關鍵字

房價指數 ； 熱錢 ； 自迴歸模型 ； 向量自我迴歸模型 ； 馬可夫鍊

並列摘要

This paper investigates the impact of hot money on Taiwan's real estate market. The Markov-switching approach with two-stage estimation is applied in this paper. The estimation results indicate that inflows of hot money drove up housing return in the bust regime, while it did not significantly affect the housing return in the boom regime. The capital flow surges into Taiwan after the Asian financial crises, which is the bust regime in our estimation, could drive up the housing return. Thus the government in Taiwan should pay more attention on the capital inflow during the bust regimes in case that the bubble happens.

並列關鍵字

House price ； Hot money ； AR model ； VAR model ； Markov-switching model

參考文獻

Balakrishnan, Ravi, Sylwia Nowak, Sanjaya Panth, and Yiqun Wu (2012), "Surging capital flows to emerging Asia: facts, impacts, and responses," IMF Working Paper WP/12/130.

Barro, Robert (2001), "Economic Growth in East Asia Before and After the Financial Crisis," NBER Working Paper 8330.

Bovvatier, Vincent (2010), "Hot money inflows and monetary stability in China: How the People Bank of China took up the challenge," Applied Economics, 42, 1533-1548.

Chang, K. L., N. K. Chen, and C. K. Y. Leung (2010), Would some model please give me some hints? In Search of Some Stylized Facts of the Monetary Policy and Asset Return Dynamics, Paper Presented at the European Real Estate

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