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系統識別號 U0002-2906200917581700
中文論文名稱 利率與房價長短期非線性因果關係研究-臺北市與臺北縣之比較
英文論文名稱 Interest Rate and House Price-Non-linear Causal Relationship between Short and Long-term Research (Taipei City and Taipei County Comparison)
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 張瓊文
研究生英文姓名 Chiung-Wen Chang
學號 796530318
學位類別 碩士
語文別 中文
口試日期 2009-05-29
論文頁數 47頁
口試委員 指導教授-聶建中
共同指導教授-謝劍平
委員-韋伯韜
委員-沈中華
委員-陳達新
委員-聶建中
委員-謝劍平
中文關鍵字 利率  房價  動差門檻自我迴歸模型  門檻誤差修正模型 
英文關鍵字 Interest Rate  House Price  Momentum-Threshold Autoregressive Model  Threshold Error-Correction Model 
學科別分類
中文摘要 本研究以一般商業銀行之放款利率,臺北市及臺北縣之房價指數資料為研究摽的,自87年第1季至96年第4季共10年期間之季資料,各40筆觀測值,利用非線性模型架構,分別研究利率與臺北市、臺北縣房價之長短期因果關係。
在研究方法上,採用以Enders and Granger(1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM),來探討變數間的長短期非對稱因果關係。
實證結果發現:利率與臺北市房價、臺北縣房價資料均屬於I(1)的時間數列,利率與臺北市房價有門檻共整合關係。
探討利率與臺北市房價長短期因果關係方面,以門檻誤差修正模型為基礎之實證結果,臺北市房價變動對利率變動之影響為正向,臺北市房價變動在短期會影響利率變動;長期而言,臺北市房價對利率有顯著領先關係,當利率與臺北市房價的長期均衡關係偏離時,在門檻值以下回復均衡關係的速度比在門檻值以上回復均衡關係的速度快。
利率與臺北縣房價長短期因果關係方面,以門檻誤差修正模型為基礎之實證結果臺北縣房價變動對利率變動之影響為正向,臺北縣房價變動在短期會影響利率變動,在長期而言臺北縣房價對利率有顯著領先關係。
英文摘要 Interest rate and house price non-linear causal relationship between short and long-term research based on commercial banks lending rate, Taipei city and Taipei county house price index from 1998 Q1 to 2007 Q4.
Research methods used by threshold autoregressive model, momentum-threshold autoregressive mode, further used by threshold error-correction model. Empirical results, we find out the positive relationship between the changes on the house price of Taipei city and Taipei county and the changes on interest rates .
Changes in house prices of Taipei city and Taipei county in the short term will affect interest rate changes. In the long term, house prices of Taipei city and Taipei county have a significant ahead of interest rate.
論文目次 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 研究流程與步驟.....................................4
第四節 論文架構...........................................5
第二章 文獻回顧...........................................7
第三章 資料來源與分析.....................................9
第一節 利率資料...........................................9
第二節 房價指數資料......................................10
第三節 變數之敘述性統計資................................12
第四章 研究方法..........................................14
第一節 單根檢定..........................................15
第二節 門檻共整合檢定....................................20
第三節 門檻誤差修正模型..................................24
第五章 實證結果與分析....................................27
第一節 單根檢定..........................................27
第二節 門檻共整合檢定....................................28
第三節 門檻誤差修正模型之Granger因果關係檢定.............30
第六章 研究結論與建議....................................37
第一節 研究結論..........................................37
第二節 研究建議..........................................39
參考文獻.................................................41
圖目錄
(圖1.1)研究流程圖.......................................5
(圖3.1)一般商業銀行87年第1季至96年第4季存、放款利率表..10
(圖3.2)臺北市及臺北縣房價指數資料87年第1季至96年第4季..12
表目錄
(表3.1)臺灣地區一般商業銀行放款餘額表...................9
(表3.2)利率及臺北市、臺北縣房價之敘述性統計資料表......12
(表5.1)PP, NP及KPSS單根檢定............................27
(表5.2)利率及臺北市房價模型選訂及非線性共整合測試......29
(表5.3)利率及臺北縣房價模型選訂及非線性共整合測試......30
(表5.4)M-TECM門檻誤差修正模型對利率與臺北市房價之因果關係檢定....33
(表5.5)M-TECM門檻誤差修正模型對利率與臺北縣房價之因果關係檢定....35
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11.章志銘(2005),「以門檻誤差修正模型分析臺灣股價指數與匯率及利率之長短期互動關係」,淡江大學財務金融學系碩士在職專班碩士論文。
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