本研究以信義房屋之「大台北都會區房價月指數」為基礎,以台灣2005年1月至2012年9月,共93筆月資料,探討哪些總體變數會影響房地產市場及其中的連結度及因果關係。歸納後選取不動產業受雇員工人數、行庫新承做購屋貸款利率、加權股價指數、購置房屋貸款餘額及台灣M1B月底餘額等經濟變數並加入課徵奢侈稅措施為虛擬變數來分析各變數與房地產價格的關係。 實證結果後發現,大台北地區及台北市的房價指數和其他變數的 Johansen 共整合檢定中顯示,此時間序列間變數存在兩組共整合向量,意即存在長期均衡的關係。由向量誤差修正模型結果顯示,房價指數與上述變數不僅只存在長期均衡關係,即使在短期的修正關係中,股價對房價亦為正向影響,而房屋貸款利率對房價的影響仍是負面的,顯示政府在短期內如要有效防止房市不正常的飆漲,提高利率的手段相較於課徵奢侈稅的措施,可能具有較大的作用。
This study is based on Taipei Metro Monthly House Prices Index from Sinyi Realty Inc, retrieving 93 samples from January 2005 to September 2012. The researcher discusses how macro variables influence the real estate market and the connections and causal relations among them. Chosen variables are the number of real estate employees, new loan rate, stock price index, real-estate loan balance and M1B balance, with luxury tax law being the dummy variable. The result shows, in Johansen Cointegration Test between Taipei Metro, Taipei City house prices index and other variables, there are cointegration vectors involved, which means there are long-term balance between them. The result of vector error correction model also shows that stock prices have a positive effect on house prices, while real-estate loan rates have a negative effect. It is evident that if the government intends to deter house prices from soaring, increasing the interest rate, instead of imposing luxury tax, will bring better effects in the short run.
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