房地產受利率及匯率影響差異之長短期因果分析探討 - 臺日比較

The Effect on the Nonlinear Casual Relationship between Interest Rate, Exchange Rate and Real Estate - Taiwan & Japan Evidence

程嘉祥(Jia-Xiang Cheng)

指導教授 ： 聶建中

共同指導教授 ： 莊孟翰(Meng-Han Chaung)

淡江大學/商管學院/財務金融學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00731

摘要

本研究透過利率及匯率之因素，分析臺灣與日本在歷經2008年金融海嘯後房地產價格趨勢，以非線性門檻誤差修正模型探討臺灣及日本兩國房地產受利率、匯率之長短期非線性因果關係，因此，本研究之變數樣本取樣期間以月資料為準，樣本其間2008年1月起至2016年12月止，共計108筆月資料，主要變數為臺灣放款利率、日本放款利率、美元兌台幣、日幣之匯率，及臺灣日本兩國房價指數。
在研究方法上，採用ADF(Augmented Dickey-Fully, 1981)、PP單根檢定法(Phillips and Perron, 1988)，KPSS單根檢定法(Kwiatkowski, Phillips, Schmidt and Shin, 1992)以及NP單根檢定法(Ng and Perron, 2001)來檢驗本研究資料是否呈現定態的時間序列，來測試資料是否為非線性的定態關係，接著，利用Enders and Granger (1998)的自我迴歸模型(TAR)及動差門檻自我迴歸模型(M-TAR)來進行門檻共整合的檢定，之後再利用Enders and Granger (1998)及Enders and Skilos (2001)的門檻誤差修正模型(TECM)，來捕捉利率、匯率房地產彼此之間之非對稱因果關係；如資料為對稱模型時，則利用Enders and Granger (1998)傳統對稱誤差修正模型(ECM)分析實證結果。
從實證結果發現在NP、ADF、PP與KPSS單根檢定法檢測中、房價指數與利率、匯率資料皆為I(1)數列。而在門檻共整合檢定部份，綜合發現無論是在臺灣或日本，房價指數、利率與匯率皆存在有長期均衡的非對稱共整合關係。最後，傳統理論認為利率與匯率會刺激房地產價格，由門檻誤差修正模型因果關係檢定綜合發現，在短期，臺灣利率與房價之間的關係不屬於傳統理論，在長期，利率與房價之間的關係屬於傳統理論；而日本利率與房價指數，在長期，屬於傳統理論；而臺灣匯率與房價之間的關係，在短期，不屬於傳統理論，在長期，屬於傳統理論；而日本匯率與房價指數之關係，在長期，屬於傳統理論。

關鍵字

利率 ； 匯率 ； 房地產 ； 門檻共整合 ； 門檻誤差修正模型

並列摘要

This paper empirically investigates the exchange rate effects of the NT dollar against the JPY dollar on housing price index in Taiwan and Japan. This paper alsoinvestigates the interest rate effects of the housing price index in Taiwan and Japan. This study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos, assuming the nature of the relationship between the variables is on the basis of non-linearity. The empirical evidence suggests that there is a long-run equilibrium relationship between US/NTD、US/JPY、interest rateand the housing price index inTaiwan and Japan during the time period investigated. In addition, the results of TECM Granger-Causality tests show a short-run causal relationship exists between theUS/NTD and the housing price index of Taiwan. And a short-run causal relationship exists between the interest rate and the housing price index in Taiwan. No short-run causal relationship exists between US/JPY、interest rate and the housing price index inJapan. However, in the long-run a bidirectional causal relationships between the interest rateand the housing price index inTaiwan and Japan strongly argues for the traditional approach. And in the long-run a bidirectional causal relationships between US/JPY and the housing price index inJapan strongly argues for the traditional approach.

並列關鍵字

Interest rate ； Exchange rate ； Real estate ； Threshold cointegration ； Threshold error correction model

參考文獻

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