臺灣金融情勢指數與房價關係

2008年全球金融海嘯凸顯房價對經濟發展與金融穩定的重要性，本研究擬建構臺灣的金融情勢指數(Financial Conditions Index, 以下簡稱FCI)，捕捉經濟成長狀況，並進一步探討其與房價關係。首先，依據經濟理論與文獻論述，針對股票市場、貨幣市場與外匯市場，分別選取代表價、量變動的六個主要變數。接著，參考德意志銀行(Deutsche Bank)的建構方式，透過國內同時指標綜合指數與各變數的線性迴歸模型來估算組合權數，且對應的正、負符號均能符合總體經濟理論，再予以相乘加總，即為臺灣的FCI。最後，利用 Granger 因果關係檢定及様本外預測表現，探討臺灣FCI 與房價關係，評估是否具有領先的特性，以利政府適時研提對策，預防房價飆漲可能衍生的傷害。

關鍵字

金融情勢指數；線性迴歸模型；向量自我迴歸模型； Granger因果關係；様本外預測

並列摘要

Since the eruption of Great Recession in 2008, it has highlighted the housing price’s profound effect on economic and financial development. The main purpose of this paper is to develop an approach for constructing Taiwan’s financial conditions index (FCI), to seize the gross demand and its relation with the housing price. At first, employing economic theory and thesis, we obtain six common factors to capture the price and quantity fluctuations in the stock market, the money market and the foreign exchange market. Secondly, we construct the FCI based on these factors, with their weights determined by the method of Deutsche Bank, and find the resulting signs of these weights are consistent with the implications of macroeconomic theories. Finally, the results of Granger causality tests and the pseudo out-of-sample experiments suggest that the FCI developed in this paper can lead the dynamics of housing price. This property may be helpful for government to take measures to prevent the destruction from soaring housing price.

並列關鍵字

Financial Conditions Index ； Linear Regression model ； Vector Autoregression model ； Granger Causality ； out-of-sample forecasting

參考文獻

3. 陳旭昇與吳聰敏，(2010)，「台灣貨幣政策法則之檢視」，經濟論文，第38卷第1期，頁33-59。

5. 管中閔、徐之強、黃裕烈與徐士勛，(2014)，「臺灣金融情勢指數與總體經濟關係」，臺灣經濟預測與政策，第44卷第2期，頁103-132。

7. Bernanke, Ben and Mark Gertler,(2001), “Should Central Banks Respond to Movements in Asset Price?” American Economic Review, 91(2),253-257.

8. Borio, Claudio and Philip Lowe (2002), “Asset Prices, Financial and Monetary Stability: Exploring the International Settlements”, Working Paper no. 114, 1-39.

9. Deutsche Bank (2007), “Global Economic Perspectives”, June 11.

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臺灣金融情勢指數與房價關係

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