本研究以台灣股價指數、公債指數與房屋價格指數為研究標的，就2009年08月至2019年7月，共120個月期間，利用非線性門檻誤差修正模型架構，分別研究台灣股價指數、公債指數與房屋價格指數其相互間之長短期非線性因果關係。在研究方法方面，採用PP、KPSS、NP單根檢定以測試變數間是否呈現定態，並以Enders and Granger(1998)門檻自我迴歸模型(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合之檢定，再進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉台灣股價指數、公債指數與房屋價格指數之長短期非線性不對稱效果。
從實證結果發現在線性PP、 NP與KPSS單根檢定法，檢測股、債、房市資料皆為I(1)數列。門檻值以下時，股市對房市具有正向因果關係（單向）。門檻值以上，債市與房市具有正向因果關係（雙向）；門檻值以下，債市對房市具有正向因果關係（單向）。門檻值以上，債市對股市具有正向因果關係（單向）；門檻值以下，債市與股市具有正向因果關係（雙向）。

This study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos to empirically investigate the nonlinear causal relationship between each of the three index (stock , bond and real estate) from 2009 to 2019. The empirical evidence suggests that there is an asymmetric threshold cointegration relationship between each of stock, bond and real estate index. The further findings from TECM Granger-Causality tests show that only stock index and bond index have short-run causal relationship. There is exists long-run causal relationship between stock index and real estate index when the decrease of stock index lower than the threshold value. Also, the result show that there is exists long-run causal relationship between real estate index and bond index. Furthermore, There is exists long-run causal relationship between stock index and real estate index.

第一章　緒論…………………………………………………………………………1
第一節　研究動機………………………………………………………………1
第二節　研究目的………………………………………………………………3
第三節　研究內容與流程………………………………………………………4
第二章　文獻回顧……………………………………………………………………6
第一節　股票市場與不動產市場的關聯性……………………………………6
第二節　股票市場與債券市場的關聯性………………………………………7
第三節　不動產市場、股票市場與債券市場的關聯性………………………8
第三章  研究方法……………………………………………………………………9
第一節　單根檢定………………………………………………………………9
第二節　門檻共整合檢定……………………………………………………..13
第三節　門檻誤差修正模型與 Granger Causality關係……………………..16
第四章　實證結果…………………………………………………………………..19
第一節  資料來源與變數選取………………………………………………..19
第二節　單根檢定……………………………………………………………..22
第三節　門檻共整合檢定……………………………………………………..24
第四節　門檻誤差修正模型與 Granger Causality關係……………………..31
第五章　結論………………………………………………………………………..43
參考文獻……………………………………………………………………………..45
圖目錄
圖1.1.1. 研究流程圖 ……………………………………………………………….5
圖4.1.1 台灣房屋價格指數之時間趨勢圖...………………………………………20
圖4.1.2 台灣加權股價指數之時間趨勢圖.......……………………………………21
圖4.1.3 台灣公債指數之時間趨勢圖...……………………………………………21
表目錄
表 4.1.1 變數之敘述統計...…………………….…………………………………..20
表 4.2.1 PP單根檢定...…………………….…………….……………………..…...22
表 4.2.2 KPSS單根檢定...…………………….…………….………………..…......23
表 4.2.3 NP單根檢定..……………………….………….….………………..…......23
表 4.3.1台灣房屋價格指數與台灣加權股價指數模型非線性共整合測試……...26
表 4.3.2台灣房屋價格指數與台灣公債指數模型非線性共整合測試…………...28
表 4.3.3台灣公債指數與台灣加權股價指數模型非線性共整合測試....................30
表 4.4.1台灣房屋價格指數與台灣加權股價指數門檻誤差修正模型估計............34
表 4.4.2 台灣房屋價格指數與台灣公債指數門檻誤差修正模型估計..................37
表 4.4.3 台灣公債指數與台灣加權股價指數門檻誤差修正模型估計..................41
表 4.4.4 門檻誤差修正模型綜合比較………………….….………………..…......42

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