本研究在檢視利率與房地產市場之間是否存在因果關係影響，並且更深入的探討利率以及房地產市場，利用非線性共整合分析兩者之長期均衡關係以及利用Granger因果關係檢定探討何者是領先指標。本文使用西元2001年3月至2016年3月，共15年的台灣、日本兩國之基本放款利率、房地產指數之各61筆季資料進行實證分析。 利用非線性門檻誤差修正模型架構，研究基本放款利率、房地產指數相互間之長短期非線性因果關係，並且以台灣與日本為例。在研究方法上，以門檻自我迴歸模型(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定，再進一步利用門檻誤差修正模型(M-TECM)來捕捉台灣、日本兩國之基本放款利率、房地產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、KPSS與NP單根檢定法，檢測台灣，日本之基本放款利率與房地產指數資料皆為I(1)數列。而在門檻共整合檢定部份，綜合發現無論是在台灣或日本，基本放款利率與房地產指數皆不存在有長期均衡的非對稱共整合關係。 This paper empirically investigates that whether a causal relationship exists between the impact of interest rates and the real estate market. Moreover, discussing the interest rates and real estate market, which use nonlinear co-integration test to analyze the long-term equilibrium relationship and explore which is the leading indicator using Granger-Causality test. Data is cited from AD March 2001 to March 2016, a total of 15 years in Taiwan & Japan including interest rate and real estate index, which is seasonal data of 61 respectively. From the empirical results found in linear single test of PP, KPSS and NP in Taiwan & Japan, the interest rate and the real estate index data are all I(1) the number of columns. In the co-integration test, conclude that it doesn’t exist the asymmetric co-integration relationship between interest rate and real estate index in the long-term equilibrium whether in Taiwan & Japan.
