- 學位論文
房市循環與景氣變動之時頻分析
The Time-frequency Analysis of Housing Cycles and Economic Fluctuations
摘要
本文運用小波分析的方法，分析房市與經濟變數在不同時間頻率域上複雜的交互關係。不同以往的觀點，本文將探討在特定頻帶上房市和經濟變數隨時間改變的領先落後關係。我們發現在各國之間房市和經濟變數的循環特徵都存在特定的頻帶上，同時變數間的交互作用也落在這些頻帶中。頻帶的周期很接近短期的基欽循環及中期的尤格拉循環。GDP、長期利率以及利率期差都保持與房市穩定的交互關係;但像是短期利率及M1等政策變數較難在各國間找到與房市一致的關聯性。在這些特定頻帶中，房市和經濟變數持續的交互作用仍究會因為重要事件的發生或政策的改變，造成領先落後的循環關係發生變化。 綜合我們的發現，房市與GDP在各國間領先、落後、及同步的關係都可能出現。短期利率在英國及紐西蘭有落後房市的趨勢，其它國家找不到彼此循環的關係。長期利率在大部分國家中都是個領先指標，而發現在英國房市仍是領先長期利率。在所有能夠找到利率期差與房市循環關係的國家中，利率期差都是一直領先GDP及房市的。M1和房市在各國間有著不同的特徵: 在美國M1是個反景氣循環的因子。在英國M1是跟隨景氣循環的軌跡;不過在加拿大和香港M1則是領先房市。
並列摘要
In this study, we use wavelet analysis to characterize the complex interactions between housing market and economic variables in different time-frequency domains. Different from traditional viewpoints, this paper discusses time-varying lead/lag relations in the specific frequency bands. Our study shows that their persistent interactions exist in specific frequency bands like short-term Kitchin cycle and mid-term Juglar cycle across most countries and regions. This finding reveals that these specific frequency bands have majorly cyclic features with lead/lag relations. Variables like GDP, long-term interest rate, term spread have more consistent interactions with housing; however, policy variables like short-term interest rate and M1 are more difficult to find consistent interactions with housing across countries. Under these circumstances, the lead/lag relations of their persistent interactions still vary with time which arises from critical events or policies happening. According to our findings, housing and GDP vary their relations of lead, lag or synchrony with time. Short-term interest rate trends to track housing only in UK and New Zealand. Long-term interest rate is a lead indicator of housing across most countries. Term spread always leads GDP and housing across most countries. Three features appear between M1 and housing: M1 is a countercyclical factor which lags Housing in US; M1 seems to follow business cycle and housing in UK; M1 leads housing in Canada and Hong Kong.