摘 要 房屋市場的發展及房屋價格變動對人民的財富影響甚大,且房地產業也通常是一國經濟發展的火車頭工業,所以房屋市場的景氣與否可說是一國經濟榮景的重要指標。而由於房屋市場的景氣循環與總體經濟環境有著高度的相關性,近兩年在高油價及美國次級房貸風暴所引發的全球性經濟衰退衝擊下,台灣的總體經濟也因此受到很大的衝擊,景氣明顯下滑。 貨幣政策是各國央行在經濟體系面臨衝擊時,最常採行的政策,近年來各國央行在應對油價高漲及美國次級房貸風暴時措施頻繁的貨幣政策操作,即可以說明此一現象。本研究的目的主要在探討台灣房屋市場與貨幣政策間的互動關係,藉由建立一個九變數的結構向量自我迴歸 (SVAR) 模型,並在模型中特別考量了國際原油價格變數,以探討1996年第1季至2008年第3季,台灣貨幣政策與主要總體經濟變數、金融環境變數與房屋價格的互動效果。 本研究依據各相關理論設定SVAR模型,接著估計總體變數、金融變數及房屋價格間的同期相互影響關係,結果發現係數估計結果大部分皆符合理論預期。之後,則是進一步運用衝擊反應函數與預測誤差變異數分解來分析房屋價格在受到政策及外在衝擊時隨時間的反應,以及房屋價格與其他變數間之影響關係。研究結果顯示,當政府為因應油價高漲而採取緊縮性貨幣政策時,短期利率上升的結果將對房屋價格成長率及房屋使用執照面積成長率有負向的衝擊,而對貨幣供給成長率則有正向的影響。另外,預測誤差變異數分解的結果則顯示,短期房價的變動受到利率與物價的影響相當大,而長期來說則主要受到GDP及股價的影響。
Real estate industry has always been regarded as the locomotive industry of an economy. A prosperous housing market signifies that the wealth of the economy is accumulating and it should have a great potential to grow in the years to come. As such, the sub-prime mortgage storm of the U.S. occurred over the past two years, which has passed over to most countries all over the world, should lead to serious economic slump for Taiwan. As monetary policy is the most common policy tool used by an economy in response to exogenous shocks, this thesis tries to examine the interaction between monetary policy and the housing market behavior in Taiwan. We construct a 9-variable structural VAR model to meet our needs. The model has been built based on proper theories, and, thus, after estimated the coefficients we found that most of the estimates match with our expectations. With respect to the analysis of the interaction between housing price and other macroeconomic variables, we examine the results from impulse response functions and forecast-error variance decompositions, and the results show that when government implements tight monetary policy in response to rising oil price, the short-run interest rate will rise which would then depress housing price. The results from forecast-error variance decompositions show that the interest rate and consumer price index are the major factors affecting the short-run housing price, while GDP and stock price are the two main factors that affect the long-term housing price.