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    Title: 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
    Other Titles: Interest rate and house price : non-linear causal relationship between short and long-term research (Taipei city and Taipei county comparison)
    Authors: 張瓊文;Chang, Chiung-wen
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    Keywords: 利率;房價;動差門檻自我迴歸模型;門檻誤差修正模型;Interest rate;House Price;Momentum-Threshold Autoregressive Model;Threshold Error-Correction Model
    Date: 2009
    Issue Date: 2010-01-11 01:08:07 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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