| Abstract: | 美國於 2007 年起發生之次級房貸金融風暴不僅影響美國之經濟及不動產市場，且嚴重衝擊全球的金融市場。自1980 年起，美國即歷經長期的低利率，寬鬆的貨幣政策鼓勵借款人以高槓桿成數舉債購屋，政府藉著以鼓勵購置不動產為刺激經濟之工具，放款銀行亦因「資產證券化」的機制得以移轉放款風險而進行高風險之貸款，低成本及充沛的資金也逐步墊高不動產市場及相關債權之衍生證券（如mortgage-backed security, MBS 及Collateral-Debt Obligations, CDOs）。後續的油價暴漲也終於使寬鬆的貨幣政策告一段落，美國聯準會(The Fed.) 遂復數度大幅調高利率以控制蠢動的通貨膨脹，然卻導致因寬鬆貨幣政策下起始的部分房貸債權（如次級房貸）中的浮動利率貸款(Adjusted-rate mortgage, ARM)之每月償還額隨之上漲，遂引發此類貸款契約的違約潮，而在房貸債權證券化售出至全球的機制下，終於釀成全球之金融海嘯。在美國關於寬鬆的貨幣政策是否引發房價暴漲之結論仍尚無定論，如 Bernanke(2010)、Taylor(2010)、Avery, Bhutta, Brevoort, and Canner(2009)、 Fukunaga and Saito(2009)、Lin(2009; 2008)、Orphanides and Wieland(2008)、Del Negro and Otrok(2007)等。然美國次貸的成長肇因於低利率的環境乃不爭之事實，本研究首先擬就美國與六個亞洲國家或市場之貨幣政策與房價之關係進行探討，包含中國、香港、日本、新加坡、南韓及臺灣。所採取的方法包括共整合關係（cointegration test）、因果關係（Granger Causality test）及向量自我迴歸關係（Vector Autoregression, VAR）等分析，藉以了解貨幣政策在美國及此六國或市場間與房價之關係。其次，美國聯準會辯稱其遵循「泰勒法則」（Taylor’s Rule）以為其利率指標，然由於通貨膨脹率僅反映房地產之「租金」部分，並未完全反映其「價格」部分，尤其是當投資氣氛高漲時，本研究擬復探討應用「泰勒法則」於調整利率政策時之適足性。研究結果將有助於政府在制定貨幣政策與穩定房價間之了解，也可避免未來類似金融風暴之發生
The subprime mortgage crisis occurred in 2007 has not only struck the macro economy and real estate markets in the U.S., but also significantly caused the worldwide financial markets turbulence. The U.S. has experienced a long-term period of low interest rates since 1980. Easy monetary policy encouraged homebuyers to acquire risky mortgages, and bolstered the prices of real estate and mortgage-related securities (MBSs). Through the use of real estate as a policy tool to stimulate the economy, banking industries tended to loosely scrutinize the loan application due to risk transfer mechanism of the mortgage securitization. Most investment vehicles, including stock, real estate and fixed-income securities (e.g., bonds, MBSs, and Collateral-Debt Obligations, CDOs) enjoyed the “irrational exuberance” during the low interest period. The subsequent rising oil prices in 2003 pushed up the inflation. Interest rates in the U.S. were raised drastically to cope with the rising inflation, leading to the default peak of subprime mortgages (especially for adjusted-rate mortgages, ARMs) and CDOs, and consequently crashing the global financial markets. There are inconsistent conclusions regarding whether the housing boom was caused by the expansionary monetary policy in the U.S. in the early 2000s (Bernanke, 2010; Taylor, 2010; Avery, Bhutta, Brevoort, and Canner, 2009; Fukunaga and Saito, 2009;Lin, 2009; Lin, 2008; Orphanides and Wieland, 2008; Del Negro and Otrok, 2007). This study firstly intends to explore the impact of monetary policy on house prices in the U.S. and six Asian markets including China, Hong Kong, Japan, Singapore, South Korea and Taiwan. Methodology will include the cointegration test, Granger Causality test and Vector Autoregression (VAR) |
