臺灣地區房價、股價、利率互動關係之研究－聯立方程模型與向量自我迴歸模型之應用

On the Dynamic Relations among Housing Prices, Stock Prices and Interest Rate, Evidence in Taiwan-Simultaneous Equations Model and Vector Auto-regression Model

陳隆麒(Long-Chie Chen) ； 李文雄(Wen-Hsiung Lee)

《中國財務學刊》 5卷4期 (1998/04) Pp. 51-71

https://doi.org/10.6545/JoFS.1998.5(4).3

摘要

本研究從民國74年1月至民國86年10月，共544筆月資料進行分析台灣區房價，包括台北市房價，高雄市房價與台灣區發行量加權股價及利率之互動關係，採用聯立方程模型與向量自我迴模型加以分析，發現股價與房價呈現正的顯著相關且互相回饋，而利率對股價是負的顯著關係，但對房價卻是正向關係，利率調升後幾個月，股價隨即下跌，但房價卻仍繼續上揚達一年以上，本研究再將其分割時間為三個階段，所得到結論仍相同，經由預測殘差分解則發現股價對利率、房價有較高的的解釋能力，但房價則幾乎不能解釋股價，也就是房價漲股價一定上揚，但股價上揚，房價則不一定上揚，在領先程度方面，利率、股價都是房價的領先指標。

關鍵字

房價 ； 股價 ； 利率 ； 聯立方程模型 ； 向量自我迴歸模型

並列摘要

In this study we apply Simultaneous Equations Model and Vector Autoregression Model to examine the dynamic relations among stock prices interest rate and housing prices in Taiwan from January 1985 to October 1997. In general, the results support the positive relations between stock prices and housing prices, the negative relations between interest rate and stock prices and the positive relations between interest rate and housing prices, when the interest rate go up, then the stock prices slow down, but the housing prices still maintain go up over one year, we split the period of time to three parts, reach the same conclusions through Forcast Error Pecomposition, the stock prices have high explanation of interest rate and housing price, but housing price can't explain the stock price, that is, if the housing prices go up and then stock prices go up, but stock prices go up can't induce the housing prices go up, the Last, interest rate and stock prices are leading time factors of housing prices.

並列關鍵字

Housing price ； stock price Interest rate ； simultaneous equations model vector Auto-regression model