貨幣政策、預期與房價

Monetary Policy, Expectation and House Price

陳柏瑜(Bo-Yie Chen)

指導教授 ： 陳旭昇

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202200627

摘要

在本文中，我們透過結構性向量自我迴歸模型(Structural Vector Autoregressive model)，在考量房屋市場的預期下，研究台灣貨幣政策及房價的關係。 我們透過文字探勘方法(text mining methods)建構了基於新聞媒體的房市情緒指標，並將對於房價的衝擊分解為貨幣政策衝擊、市場預期衝擊、房屋供給衝擊、房屋需求衝擊等結構式衝擊。本文旨在通過認定上述衝擊來 檢視台灣的房屋市場週期是否主要由貨幣政策推動。當我們檢驗從 1991 年第一季至 2020 年第三季的資料時，我們從衝擊反應函數中發現了寬鬆的貨幣政策確實正面影響了房價。變異數分解則表明了貨幣政策衝擊在五年的預測期間解釋了將近四分之一的預測誤差變異數。在全樣本期間，歷史分解顯示了貨幣政策衝擊對於房價波動有約 10% 至 30% 的解釋力。根據上述實證結果，我們可以發現寬鬆的貨幣政策對於自 2000 年後房價的高漲並非毫無干係。

關鍵字

貨幣政策 ； 房價 ； 房市熱絡 ； 市場預期 ； 文字分析

並列摘要

In this paper, we use a structural VAR model to study the relationship between the monetary policy and the house price in Taiwan with consideration of the market sentiment. We construct a sentiment index for the housing market based on the textual analysis of news media, and we implement the structural decomposition of the house price into monetary policy shocks, housing market sentiment shocks, housing supply shocks, and housing demand shocks. We aim to examine whether the housing market cycle in Taiwan is mainly driven by monetary policy by identifying the above shocks. As we examine the data from 1991:Q1 to 2020:Q3, we find that a loose monetary policy does affect the house price positively from the impulse response function. The variance decomposition reveals that the monetary policy shocks explain nearly one-fourth of the forecast error fluctuations in the five-year horizon. Throughout the whole sample period, the monetary policy shocks explain about 10% to 30% of the house price fluctuations from the historical decomposition. From the empirical results, we conclude that the loose monetary policy is not irrelevant in the house price boom in Taiwan.

並列關鍵字

Monetary Policy ； House Price ； Housing Market Boom ； Market Expectation ； Textual Analysis

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