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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140686


    Title: 臺灣房市價量因果關係之研究：Toda-Yamamoto 因果關係與小波相干分析法之應用
    Price-Volume Causality in Taiwan Housing Market：Toda-Yamamoto Causality and Wavelet Coherence Approach
    Authors: 鍾雅雯
    Chung, Ya-Wen
    Contributors: 徐士勛
    Hsu, Shih-Hsun
    鍾雅雯
    Chung, Ya-Wen
    Keywords: 房市價量因果關係
    Toda-Yamamoto 因果關係檢定
    小波分析
    時頻域因果關係
    Price-Volume causality
    Housing market
    Toda-Yamamoto
    Wavelet analysis
    Date: 2022
    Issue Date: 2022-07-01 16:26:27 (UTC+8)
    Abstract: 本文利用時頻域的小波相干分析探討2012年8月至2021年10月臺灣全國房市的價量因果關係，並著重在認定不同頻率與週期之下價量之間的領先落後關係。此外，本文亦使用時域架構下的Toda-Yamamoto與控制頻域下的傅立葉Toda-Yamamoto因果關係檢定法探討全國房市價量間的可能因果關係。

    在小波相干分析的結果中，我們發現從2014至2016年的中頻與低頻區域（約16至32個月的週期間），存在全國住宅交易量領先全國房價指數的顯著現象。然而，Toda-Yamamoto架構下的Granger因果檢定顯示全樣本期間存在全國房價領先交易量的單向因果關係；而傅立葉Toda-Yamamoto的結果中卻認定房市價量之間並不存在任何的雙向因果關係，因此我們無法在時域的分析架構下，藉由房市價量的任一變數預測另一變數的走勢。

    此外，本文也進一步針對臺灣六大都會區的跨區房價與跨區交易量進行小波相干因果分析。跨區房價的分析結果顯示，北、中、南都會區大多呈現正相關，但領先落後關係並不明顯；而交易量的跨區結果顯示，北部與中部都會區領先南部都會區的關係僅存在於2017年之前，2017年後領先落後關係轉而以南部都會區領先北部與中部都會區。
    This research aims at analyzing the price-volume causality and correlation in Taiwan housing market by employing wavelet coherence, Toda-Yamamoto causality and Fourier Toda-Yamamoto causality tests over the period August 2012 to October 2021. Our findings reveal that the lead-lag movement
    is observed in mid-low frequency from the transaction volumes to the price index between 2014 to 2016. However, the outcomes of the time-domain causality are not in line with the results of wavelet coherence analysis : the result
    of Toda-Yamamoto causality demonstrates that only price index Granger cause the transaction volumes ; after controlling the frequency, there is no causal relationship between price index and volumes. We further conduct
    the wavelet coherent analysis on cross-regional housing price indices and transaction volumes in the six metropolitan regions. The analyses show that the correlation among these cross-regional indices is positive but the lead-lag relationship of those is not obvious. For the cross-regional transaction volumes, the results indicate that the volumes in northern and mid-Taiwan regions lead that in the southern areas before 2017, and after that, the lead-lag
    relationship reverses.
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    Description: 碩士
    國立政治大學
    經濟學系
    109258004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109258004
    Data Type: thesis
    DOI: 10.6814/NCCU202200566
    Appears in Collections:[Department of Economics] Theses

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