Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/112745
|
| Title: | 購屋貸款變數與住宅市場關聯性之研究
The Relationship between the Mortgage Lending Variables and Housing Markets |
| Authors: | 江佳玟
Chiang, Chia-Wen |
| Contributors: | 林左裕
Lin, Tso-Yu
江佳玟
Chiang, Chia-Wen |
| Keywords: | 購屋貸款
住宅市場
ARDL
Toda and Yamamoto 因果檢定
Mortgage
Housing Market
ARDL
Toda and Yamamoto Causality |
| Date: | 2017 |
| Issue Date: | 2017-09-13 15:14:56 (UTC+8) |
| Abstract: | 近十年來，因投機需求、游資充斥等原因使台灣房價成長之上升趨勢明顯高於許多國家，房屋交易方面則呈現明顯起伏不定之走勢，台灣政府單位為達成物價穩定、金融穩定與經濟成長等目標並且避免金融危機再度發生，透過制定及執行貸款管制政策，期能有效抑制假性需求與房價上漲趨勢。
然而，貸款管制是否能有效抑制房價，過去未有文獻針對購屋貸款管制工具與房價及住宅交易量觀察長期趨勢關係並缺乏整體性探討，故本研究欲藉由探究貸款成數與購屋貸款餘額占國內生產毛額比率與住宅市場間是否存在長期、短期影響或其間因果關係，以得知是否政策的投入能夠確切影響標的、達成目標。
本文嘗試以 2000 年第一季至2016 年第二季之貸款管制工具變數及總體經變數資料，運用 ARDL Bounds Test、ARDL-ECM 模型及Toda and Yamamoto 因果檢定探究購屋貸款管制變數對於台灣住宅市場間之長期與短期動態關係及因果關係。研究結果顯示，購屋貸款管制變數對於房價及交易量有顯著之影響，尤其對於住宅交易量方面具有較為明顯之效果，因此，期望透過本研究對於台灣未來金融、房市政策規劃提出建議。
Over the past decade, an abundance of money and speculative demand from the Quantitative Easing (QE) monetary policy drove the housing price in Taiwan to rise
sharply, and the volume of housing market is unstable. To stabilize the financial markets, the government have formulated policies on housing markets and mortgage control to curb rising housing prices.
In order to understand the effect of mortgage control on curbing housing price, this study examines the long-run and short-run relationship and causality effect among loan-to-value ratio and mortgage-to-GDP ratio and housing markets. This study used ARDL model, bounds test and Toda and Yamamoto causality to analyze quarterly data over the
period 2000-Q1 to 2016-Q2. Empirical results show that mortgage control has significant effects on the housing market. Results further shown that the influence on the volume is more obvious than on the price. Results of this study provide precious policy implications for future housing financial sectors. |
| Reference: | Angelini, P., S. Neri and F. Panetta (2011), Monetary and macroprudential policies, Working Paper Series 1449, European Central Bank.
Bernanke, B, M. Gertler and S. Gilchrist (1999), The Financial Accelerator in a Quantitative Business Cycle Framework, NBER Working Papers 6455.
BCBS (2010), Guidance for National Authorities Operating the Countercyclical Capital Buffer, Bank for International Settlements.
Borio, C. (2003), Towards a macro-prudential framework for financial supervision and regulation? BIS Working Papers No 128.
Brunnermeier, M., A. Crockett, C. Goodhart, A.D. Persaud, and H. Shin (2009), The Fundamental principles of financial regulation, Geneva Report, CEPR.
Claessens, S., S.R. Ghosh, and R. Mihet (2013), Macro-prudential policies to mitigate financial system vulnerabilities. Journal of International Money and Finance 39: 153-185.
Clement, P.(2010), The Term `Macroprudential`: Origins and Evolution, BIS Quarterly Review, March.
Collyns, Charles and Abdelhak Senhadji (2002), Lending Booms, Real Estate Bubbles and the Asian Crisis, IMF Working Paper WP/02/20.
Crowe, C., G. Dell’Ariccia, D. Igan and P. Rabal (2013), How to deal with real estate
booms: Lessons from country experiences, Journal of Financial Stability, 9(3), 300-319.
Engle, R.F., D. Lilien, and R. Robins (1987). "Estimating time varying risk premia in the term structure: The ARCH-M model." Econometrica. 5.5, 391-408.
Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models Cross-Spectral Methods, Econometrica, 37(3), 424-38.
Heath, D. (2014), International Coordination of Macroprudential and Monetary Policy,
Georgtown Journal of International Law, 45, 1093-1136.
HKMA (2014), Box 5 The Impact of Counter-Cyclical Prudential and Demand-Management Measures on Hong Kong’s Housing Market, Half-yearly Monetary and Financial Stability Report, September.
Johansen, S (1988). “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12(2-3): 231-254.
Igan, D. and H. Kang (2011), Do Loan-to-Value and Debt-to-Income Limits Work?
Evidence from Korea, IMF Working Paper, No. 297.
IMF (2008), World Economic Outlook: Housing and the Business Cycle, World Economic and Financial Surveys, April 2008.
IMF (2011), Toward Operationalizing Macroprudential Policies: When to Act?, Global Financial Stability Report, September 2011.
IMF (2013), Key Aspects of Macroprudential Policy-Background Paper, International Monetary Fund, June
Kuttner, K., and I. Shim (2012), Taming the Real Estate Beast: The Effects of Monetary
and Macroprudential Policies on Housing Prices and Credit, Property Markets and
Financial Stability, Reserve Bank of Australia, December 2012.
Malzubris, J. (2008), Ireland`s Housing Market: Bubble Trouble, ECFIN Country Focus,
5(9): 1-7.
Morgan, P., Regis, P. and Nimesh, S. (2015), Loan-to-Value Policy as a
Macroprudential Tool: the Case of Residential Mortgage Loans in Asia, Working
Paper Series, No. 528, Asian Development Bank Institute.
Lastrapes, W. (2002), The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations, Journal of Housing Economics, 11(1), 40-74.
Ono, T, Uchida, H, Udell, G. and Uesugi, I. (2013), Lending Pro-cyclicality and Macro-prudential Policy: Evidence from Japanese LTV Ratios, mimeo.
Pesaran, M. H. and Y. Shin (1999), An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis. Chapter 11 in S. Strom (ed.), Econometrics
and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
Pesaran, M. H., Shin, Y. and Smith, R. J.(2001), Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289–326.
Phillips, P. C. B., and P. Perron (1988). Testing for a unit root in time series regression. Biometrika 75,335-346.
Se, O.H. (2013), Loan-to-Value as Macro-Prudential Policy Tool: Experiences and Lessons of Asian Emerging Countries, Policy Paper Series no. 33, Duisenberg School of Finance.
Shi, Song, Jou, Jyh-Bang, Tripe, David, (2014), Can Interest Rates Really Control HousePrices? Effectiveness and Implications for Macroprudential Policy. Journal
of Banking and Finance 47, 15–28.
Vandenbussche, J, U Vogel and E Detragiache (2012), Macroprudential Policies and Housing Prices. A New Database and Empirical Evidence for Central, Eastern and Southeastern Europe, IMF Working Paper 12/303.
Toda, H.Y. Yamamoto, T. (1995), Statistical inferences in vector autoregressions with possibly integrated processes. Journal of Econometrics 66, 225-250.
王雨讓(2016)，總體政策對房屋價格的穩定效果，碩士論文，國立政治大學經濟學系。
吳森田(1994)，所得、貨幣與房價-近二十年台北地區的觀察，住宅學報，第2期，49-65。
林秋瑾、黃佩玲（1995），住宅價格與總體經濟變數關係之研究-以向量自我迴歸模式（VAR）進行實證，政大學報，第71期，143-160。
林左裕(2013)，金價走空後, 房價呢?，先探投資周刊，第1726期，84-85。
洪淑娟、雷立芬(2010)，中古屋、預售屋/新成屋房價與總體經濟變數互動關係之研究，台灣銀行季刊第61第1期，頁155-1
屠美亞(2011)，台灣利率政策與房價變動關係之研究，2011年台灣地區房地產年鑑，473-481。
陳旭昇(2011)，時間序列分析：總體經濟與財務金融之應用，東華書局。
黃富櫻(2012)，總體審慎政策與實務：近年的台灣經驗，中央銀行：國際金融參考資料，第64輯，92-116。
楊奕農(2011)，時間序列分析-經濟與財務上的應用，第二版，雙葉書廊有限有限 公司，台北。
樊歡歡、李嫣怡、陳勝可(2012)，贏在職場第一步︰EViews統計分析與應用，機械工業出版社。
黎佳貞(2011)，從貨幣政策看房價之變動趨勢-以臺北市為例，碩士論文，政治大學地政學系。 |
| Description: | 碩士
國立政治大學
地政學系
104257007 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104257007 |
| Data Type: | thesis |
| Appears in Collections: | [地政學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 700701.pdf | 1335Kb | Adobe PDF2 | 365 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
