房地產市場透過金融商品的創新,如何造成金融及資本市場、甚至實體面重大劇烈震盪已藉由美國發生的次級房貸為世人所知。因此政府制定政策、民眾投資及金融機構風險控管皆需瞭解房地產價格的走勢及其影響房地產價格的因素。本研究希望可以瞭解台北縣市房地產價格大幅上漲是否深受景氣、利率、股票指數、匯率、失業率、薪資、房屋貸款及消費者物價指數等總體經濟變數影響。 由1998年Q1至2010年Q2之季資料,以結構轉變、ARMA模型、向量自我迴歸模型(VAR)、因果關係檢定及共整合模型進行實證分析,以驗證總體經濟變數與房地產價格間的關係及台北縣市間房價的變動是否存在長期穩定的變動趨勢、是否有領先落後的效果。 實證結果主要結論如下:(1)台北市房地產指數不受遺贈稅率調降影響,而台北縣房地產指數受遺贈稅率調降之影響。(2)利率Granger影響台北縣市房地產指數。(3) 台北市房地產指數以本身所建立之模型較佳,而台北縣房地產指數以總體經濟變數所建立之模型較佳。(4) 台北縣市房地產指數之間具有長期均衡關係。
Since the U.S. subprime mortgage crisis, the innovation of financial products has significant impact on the financial and capital markets, and even the real estate market itself. When the governmental authorities plan and conduct the public policy, or people invest the real estate or the financial institutions conduct risk management, all of them need to understand the price trends of real estate and the factors that affect real estate prices. This research investigates whether a significant rise in property prices in Taipei City & New Taipei City is determined by the macroeconomic variables such as business cycles, the interest rates, stock price, exchange rate, unemployment rate, wages, housing loans and consumer price index etc. Our sample period starts from Q1 of 1998 to Q2 of 2010 with quarterly data. Using structural changes, ARMA models, vector autoregressions model (VAR), Granger Causality Test and Cointegration model we verify the relationship between macroeconomic variables and the real estate prices. In addition, we test whether the real estate price change of the Taipei City and New Taipei City is a long-term steady change and whether it shows a lagging or leading effect. Our major findings are as follows: (1) The real estate index of Taipei City is not influenced by the decrease of Gift Tax, while The New Taipei City is. (2) The interest rate Granger cause Real Estate Index of Taipei City and the New Taipei City. (3) The empirical results show that the macroeconomic variables cannot explain housing prices change in Taipei City better than housing price itself, while the New Taipei City can. (4) The Real Estate Index of Taipei City and the New Taipei City exist a long-term equilibrium relationship.