住宅信用政策的貨幣傳遞效果分析

THE CREDIT CHANNEL OF MONETARY POLICY：EVIDENCE FROM THE RESIDENTIAL CREIDT POLICY IN TAIWAN

楊立業(Li-Yeh Yang)

指導教授 ： 賴惠子

國立臺北大學/社會科學學院/經濟學系/碩士(2011年)

摘要

為瞭解我國優惠房貸政策與打房政策對經濟體系的影響，本文建構一個加入住宅信用政策的向量自我迴歸模型進行實證分析，觀察政府實施住宅信用政策後，房地產市場是否受到影響，檢驗政府的住宅信用政策執行時，貨幣政策如何對房屋價格產生影響，房屋價格又如何影響耐久財消費、住宅投資以及總需求。
　　實證結果發現，未實施住宅信用政策時，房價僅對耐久財消費有效果，對住宅投資與銀行總放款則無效果，而耐久財消費對國內生產毛額也有顯著影響，另外，銀行總放款對於耐久財消費以及住宅投資有顯著效果。當優惠政策實施時，銀行總放款對於住宅投資則變為沒有顯著效果，此外，當選擇性信用管制實施時，除了銀行總放款對於住宅投資變為不顯著外，耐久財消費對於實質GDP的貢獻也變為不顯著。關於住宅信用政策的效果，優惠房貸政策對房價沒有顯著的影響，而打房政策可確實抑制房價。綜合上述，可發現資產價格管道中的財富效果可能存在於耐久財消費中，而信用傳遞管道實證結果並不顯著，表示住宅信用政策實施後對放款並沒有顯著的影響，但銀行放款會使耐久財消費以及住宅投資增加。

關鍵字

優惠房貸政策 ； 選擇性信用管制 ； 貨幣傳遞機制 ； VAR模型

並列摘要

In order to know how residential credit policy affects the economy in Taiwan. This paper makes an empirical analysis by vector autoregression model with residential credit policy. We examine the housing market after government executes the policy.
　　This paper has two empirical results. First, the housing price shock has significant effect on durable consumption, but ineffective on residential investment and loan of total bank. Durable consumption shock also has significantly effect on GDP. Moreover, the loan of total bank shock has significant effect on durable consumption and residential investment. When subsidy policy executed, the loan of total bank shock has no significant effect. Besides, the execution of selective credit control policy leads to an insignificant effect of the loan of total bank shock on residential investment, and durable consumption shock has no significant effect on GDP as well. Second, the housing mortgage interest-rate subsidy policy has no significant effect on housing price, and the selective credit control policy is effective to decline housing price. In conclusion, the credit transmission channel has no significant empirical results, but wealth effect may exist in durable consumption.

並列關鍵字

housing mortgage interest-rate subsidy policy ； selective credit control policy ； monetary transmission mechanism ； vector autoregression model

參考文獻

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