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題 名 | 臺灣總體經濟變數與房價報酬之間是否存在不對稱的因果關係?=Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan? |
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作 者 | 王冠閔; 李源明; 李建強; | 書刊名 | 經濟與管理論叢 |
卷 期 | 8:1 2012.01[民101.01] |
頁 次 | 頁25-57 |
分類號 | 551.2 |
關鍵詞 | 房價報酬; 總體經濟衝擊; 門檻向量誤差修正模型; 景氣循環; 非預期股價報酬; Housing return; Macroeconomic shock; TVECM model; Business cycle; Unexpected stock return; |
語 文 | 中文(Chinese) |
英文摘要 | This study uses the unexpected stock return as the threshold variable to proxy for the business cycle and construct the threshold vector error correction model (TVECM) to examine whether an asymmetric causal relationship exists between the housing return and four macroeconomic variables, namely, inflation, the interest rate change, the stock return, and industrial production in Taiwan. First, the cointegration analysis shows that there is a stable relationship between the housing price and macroeconomic variables. Secondly, the TVECM results show that, during an expansion, all four macroeconomic variables have an insignificant effect on the housing return. However, during a recession, inflation has a positive effect and the interest rate change a negative effect on the housing return. Nevertheless, the effect of industrial production on the housing return is insignificant. Finally, our results support the asymmetric causality between the housing return and these four macroeconomic variables. Our conclusions also prove that an effective inflation hedge exists, that reflects the monetary shock and stock market haven of Taiwan's housing investment. |
本系統中英文摘要資訊取自各篇刊載內容。