房地產價格與總體變數互動關係之探討-以台北、香港與上海為例

Studying the Interaction between Housing Price and Macroeconomic Variables－Example of Taipei, Hong Kong and Shanghai

黃怡婷(Yi-Ting Huang)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400797

摘要

摘要
近幾十年來，伴隨著海峽兩岸三地的經濟快速成長，過多的資金流入房市，造成房市急速的發展，導致房價連年上漲，因此房市是否產生過熱情況，及是否存在泡沫化的現象，都引起學術界及實務界的熱切關心，本研究採用共整合檢定、向量誤差修正模型、向量自我迴歸模型、Granger因果關係檢定，與衝擊反應函數，及遞迴迴歸模型，探討香港、上海與台灣的房市與股市及總體經濟變數間之互動關係。研究期間係自2004年1月至2013年12月。
本研究實證發現，台北市與香港之房市與股市及總體經濟變數間的確存在長期均衡關係，但上海之房市與總體經濟變數間卻只有短期的互動關係，而香港房市卻受到台北市房市的影響；而從因果關係檢定結果得知，台北市之股市領先於房市，而上海市之股市與通貨膨脹均領先於房市，但香港另有通貨膨脹領先房市。三個地區之國民所得毛額都未對房市產生顯著影響。此外，台北市之房市單向影響香港的房市。從衝擊反應函數分析得知，台北市、香港與上海房市受自身衝擊影響最明顯，而台北市的房市對香港及對上海會產生短期正向影響，而香港與上海之間，則會在短期間呈向正向的相互影響。最後透過遞迴迴歸檢驗，得知台北市分別在2010年9月至2011年6月間，及2013年3月至12月間，以及香港在2007年12月至2008年7月間，都曾發生過泡沫化現象，至於上海雖在2005年6月至10月間之ADF值超過臨界值，但由於時間未超過5個月，以致並無泡沫化現象發生。

關鍵字

遞迴迴歸衝擊反應函數 ； 經濟變數 ； 房市泡沫化 ； 向量誤差模型 ； 向量自我迴歸模型

並列摘要

Abstract
Along with the rapid growth of Hong Kong, Shanghai and Taipei for the past four decades, excessive capital flew into these three regions, causing the rapid development of the housing market and dramatic increase in the housing price. Consequently, the topic of overheating housing market, and the phenomenon of housing bubble becomes major concern for the academics and practionists, which also motivates this research.
This study uses the cointegration test, Granger causality test, Vector Error Correction model (VECM), Vector Autoregression (VAR) and impulse response function (IRF) to examine the relationship among the housing markets, stock markets and macroeconomic factors in Hong Kong, Shanghai and Taipei from January 2004 to December 2013. Finally, this investigation uses the recursive regression method to examine the possibility of housing bubble phenomenon.
Empirical findings are summarized below: (1) There is a long-term equilibrium relationship among housing markets, stock markets and macroeconomic factors in Taipei and Hong Kong. However, there is a short-term relationship between housing markets and macroeconomic factors in Shanghai. (2) According to Granger Causality test results, Taipei’s stock markets affects its housing market; Shanghai’s stock markets and inflation influence its housing market, and Hong Kong’s inflation impacts its housing market. However, GNP does not affect housing markets in all three regions. Empirical also show that the housing market in Taipei unilaterally affects that in Hong Kong. (3) IRF result indicates that the most significant impact for these three regions arising from their own housing markets. Findings also show that the housing market in Taipei positively affects those in Hong Kong and Shanghai. However, the housing market in Taipei positively affects those in Hong Kong and Shanghai have mutual-effects for the short-term period. Finally, the recursive regression results show that there were bubble phenomenon in Taipei during the periods of Sep. 2010 to June 2011 and March 2013 to Dec.2013; while there was a bubble phenomenon in Hong Kong during the period of Dec. 2007to July 2008. However, there is no bubble phenomenon in Shanghai because the lasting time of rising price less than 5 months.

並列關鍵字

Recursive Regression ； VAR ； VECM. ； Macroeconomic Variables ； Impulse Response Function ； Housing Bubble

參考文獻

張金鶚、陳明吉、鄧筱蓉與楊智元，2009，「台北市房價泡沫知多少?—房價vs.租金，房價vs.所得」， JOURNAL OF HOUSING，18(2)。

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