不動產市場與貨幣的傳遞機制-SVAR之應用

本論文主要討論貨幣政策經由房價管道傳遞其效果上的重要性。本文藉由structural vector autoregressive(SVAR)模型，架設冰島、澳洲、南韓、英國、丹麥和瑞典為小型開放經濟體，而美國為封閉型經濟體，進行模型估計與分析；再透過衝擊反應(impulse response)分析，以確認房價管道在貨幣政策傳遞中是否存在。該實證結果顯示，冰島、美國、英國、丹麥和瑞典在貨幣政策衝擊下，實質房價皆存在顯著的反向效果，但澳洲和南韓則存在不顯著的反向效果。在實質房價的衝擊下，冰島、澳洲、美國、南韓、英國、丹麥和瑞典的消費，皆存在正向效果，丹麥存在極微小的正向效果，但唯有南韓具有統計的顯著性。因此，本文實證結果說明，冰島、澳洲、美國、南韓、英國和瑞典的貨幣政策經由房價傳遞管道是存在的；而丹麥是不存在的。

關鍵字

貨幣政策；房價；結構式向量自我迴歸模型；小型開放經濟體

並列摘要

This thesis mainly investigates the importance how the monetary policy transmits its effects through the house prices channel. On the basis of structural vector autoregressive frame works, this study sets Iceland, Australia, the South Korea, the United Kingdom, Denmark and Sweden as small open economies, while the United States as a closed economy, to estimate these models; furthermore, the impulse response analyses are utilized to verify whether or not there exists a house prices channel in the monetary transmission analyses are utilized to verify whether or not there exists a house prices channel in the monetary transmission mechanism. The empirical results show that following a monetary shock, there are significantly negative effects on real house prices in Iceland, the United States, the United Kingdom, Denmark and Sweden, but insignificantly effects on real house prices in the South Korea and Australia. On the other hand following a real house prices shock, there are effects the consumption in all countries, with the smallest positive effect in Denmark, but the strongest positive effect in the South Korea. Thus, there exists a channel of monetary policy transmission through house prices in Iceland, Australia, the United States, the United Kingdom, the South Korea, and Sweden; but not in Denmark.