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    Title: 影響日本不動產價格之總體經濟因素
    The Influence of Macro-Economic Indicators on Housing Prices in Japan
    Authors: 林楚蕎
    Lin, Chu-Chiao
    Contributors: 林左裕
    Lin, Tso-Yu
    林楚蕎
    Lin, Chu-Chiao
    Keywords: 日本
    總體經濟
    房價
    時間序列
    向量自我回歸模型
    Japan
    Macro-economic
    House prices
    Time series
    VAR
    Date: 2024
    Issue Date: 2024-08-05 14:15:33 (UTC+8)
    Abstract: 近年來的國際情勢大幅影響全球經濟，各國紛紛祭出相應經濟政策。面對疫情時的量化寬鬆(Quantitative Easing, QE)措施導致的通貨膨漲，加上2022年俄烏戰爭的爆發進一步惡化通膨問題。全球央行為了抑制通膨多採取了緊縮的貨幣政策，然身為全球主要經濟體之一的日本在各國央行普偏升息的情況下仍然堅持寬鬆的貨幣政策方向。
    量化寬鬆對於總體經濟的影響過往已透過諸多文獻證實，而房地產價格的波動也常常受到一國的總體經濟變數之影響，促使本研究欲透過時間序列分析方法中的VAR模型及其相關檢定探究日本長期、短期的房價波動與總體經濟發展間的動態關係為何以及日本房市未來將存在哪些潛在風險。
    共整合檢定結果顯示日本房價之表現與股市長期為正向共整合；房市與匯率為負向共整合，意味著當日圓升值時，熱錢流入日本，帶動股票以及其他投資消費進而推升房價；房市與GDP表現為負向共整，呈現國民在泡沫經濟後對於不動產的投資轉為保守。因果關係檢定可看出匯率變化在短期為總體經濟表現的領先指標，GDP與CPI的變化則相對滯後，且股價對房價呈單向領先關係，意味股市對房市存在財富效應。衝擊反應分析可得出當GDP受到房價的衝擊時，僅會在前一年有些微的正向反應，隨後則為不顯著，顯示日本的經濟成長已和房價趨勢脫鉤，證實房市作為日本經濟火車頭的時代已不再。透過誤差變異數分析可得出即使經過了兩年匯率對於自我的解釋力仍較高，且該變數能夠部分解釋其餘變數的變動，呼應因果關係檢定中匯率為日本總體經濟之領先指標，本研究建議追蹤日本央行對於利率調控上的政策風向，並關注匯率是否產生劇烈變動，做為觀測房市潛在風險的訊號之一。
    The impact of Qualitative Easing (QE) on the macro-economic has been confirmed by many research in the past, and the fluctuation of real estate prices is often affected by a country's macro-economic variables, inspiring this study to explore it through the VAR and related tests in the time series analysis method. Exploring what is the long-term and short-term dynamic relationship between Japan's house prices and macro-economic, and what potential risks will exist in Japan's housing market in the future.
    The cointegration test results show that the performance of Japanese house prices and stock prices are positively cointegrated in the long term; the house prices and the exchange rate are negatively cointegrated, which means that when the yen appreciates, hot money flows into Japan, driving stocks and other investment consumption and thereby pushing up house prices; the house prices is negatively integrated with GDP, indicating that citizens’ investment in housing has become conservative after the bubble economy. The Granger causality test shows that exchange rates changes is the leading indicator of macro-economic performance in the short term, while changes in GDP and CPI are lagging, and stock prices have a one-way leading relationship with housing prices, which means that the stock market has a wealth effect on the housing market. The impulse responses results can conclude that when GDP is impacted by housing prices, there will only be a slight positive response in the first year, and then it will be insignificant. This shows that Japan's economic growth has been decoupled from the house price trend, confirming that the housing market is no longer the locomotive of Japan's economy. Through variance decomposition, it can be concluded that even after two years, the explanatory power of the exchange rate for itself is still high, and this variable can partially explain the changes in other variables, echoing the exchange rate change in the causality test as the leading indicators of the macro-economic in Japan.
    This study recommends tracking the BOJ policy direction on interest rate regulation and paying attention to whether there are drastic changes in the exchange rate, as one of the signals for observing potential risks in the housing market.
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    Description: 碩士
    國立政治大學
    地政學系
    111257011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111257011
    Data Type: thesis
    Appears in Collections:[Department of Land Economics] Theses

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