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    题名: 台灣房價、房租與貨幣政策關係之研究
    The Effect of Monetary Policy on House Prices and Rental Prices in Taiwan
    作者: 賴婷筠
    Lai, Ting-Yun
    贡献者: 荒井夏來
    Natsuki Arai
    賴婷筠
    Lai, Ting-Yun
    关键词: 貨幣政策
    房屋價格
    租金價格
    SVAR
    局部投射法
    Monetary policy
    House prices
    Rental prices
    SVAR
    Local projection
    日期: 2022
    上传时间: 2022-08-01 17:04:04 (UTC+8)
    摘要: 本研究使用結構式向量自我回歸模型（SVAR）來認定貨幣政策衝擊，並藉由局部投射法分析在受到貨幣政策衝擊之下，台灣房屋價格與租金價格之變動情形，檢視貨幣政策衝擊對房地產市場所帶來的影響。實證結果顯示房屋價格對於正向貨幣政策衝擊產生顯著的負向反應，而租金價格則出現較不顯著的正向反應。房價與租金對於貨幣政策衝擊出現相反的效果歸因於利率上升對於買房需求的衝擊，導致房屋價格下跌，並帶動租屋需求上升，因而造成租金價格上漲。也正因為貨幣政策衝擊對於租金價格為間接性的影響，因此對於貨幣政策衝擊之反應較不顯著。
    This paper applies the structural vector autoregressive (SVAR) model and local projection to analyze the responses of house prices and rental prices in Taiwan to monetary policy shock. Empirical results show that the house prices significantly rise, responding to an accommodative monetary policy shock, while the rental prices modestly fall, though the magnitude is not statistically significant. The opposite impacts on house prices and rental prices are likely due to the change in housing demand---tight monetary policy shock decreases the demand for purchasing a house by raising the cost of financing mortgages. On the other hand, this decrease in house ownership likely shifts demands toward renting homes, which leads to an increase in rental prices.
    參考文獻: 屠美亞（2011），台灣利率政策與房價變動關係之研究，台灣地區房地產年鑑，頁473-481。
    陳南光（2022），房價波動及金融穩定，台灣銀行家，第145期。
    張志文（2011），影響房地產價格之總體經濟因素分析，碩士論文，台灣大學經濟學系。
    中央銀行（2009），金融穩定報告，第三期，頁86-90。
    張家純（2010），台灣房地產價格與房屋貸款之關聯性研究，碩士論文，台灣大學國家發展研究所。
    陳旭昇（2016），央行「阻升不阻貶」？—再探台灣匯率不對稱干預政策，經濟論文叢刊，44，187-213。
    林孟緯（2010），非定態下以Local Projection估計衝擊反應函數之共整合向量一般化推論，碩士論文，中山大學經濟學系。
    Daniel A. Dias and Joao B. Duarte（2019）, “Monetary Policy, Housing Rents, and Inflation Dynamics”, International Finance Discussion Papers, Broad of Governors of the Federal Reserve System. Giancarlo Corsetti, Joao B. Duarte and Samuel Mann（2018）, “One Money, Many Markets: A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification”, Cambridge working paper in economics, University of Cambridge.
    Mark Gertler and Peter Karadi（2015）, “Monetary Policy Surprises, Credit Costs, and Economic Activity”, American Economic Journal: Macroeconomics, 44-76.
    Hilde C. Bjornland and Dag Henning Jacobsen（2010）, “The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies”, Journal of Financial Stability, 6, 218-229.
    Andrew Phiri（2016）, “Asymmetric Pass-through Effects from Monetary Policy to Housing Prices in South Africa”, Munich Personal RePEc Archive.
    Deokho Cho and Seungryul Ma（2006）, “Dynamic Relationship between Housing Values and Interest Rates in the Korean Market”, Journal Real Estate Financial Economy, 169-184.
    Toan Ngoc Bui（2020）, “Impacts of Interest Rate on Housing Prices: Evidence From Ho Chi Minh City, Vietnam”, International Transaction Journal of Engineering, Management, Applied Sciences and Technologies”, 11.
    Chun-Chang Lee、Chih-Min Liang、Wen-Hui Wu and Shu-Man You
    （2013）,“Interactions between Assets Price and Monetary Policy in Taiwan: A Structural VAR Model”, British Journal of Economics, Management and Trade, 479-497.
    Oscar Jorda（2005）, “Estimate and Inference of Impulse Responses by Local Projection”, The America Economic Review, 161-182.
    Philipp Adammer（2019）, “Ipirfs: An R Package to Estimate Impulse Response Function by Local Projections”, The R Journal, 11, 421-438.
    Sanae Ohno and Junko Shimizu（2015）, “Do Exchange Rate Arrangements and Capital Controls Influence International Capital Flows and Housing Prices in Asia?”, Journal of Asian Economics, 39, 1-18.
    Michael Berlemann and Julia Freese（2013）, “Monetary Policy and Real Estate Prices: A Disaggregated Analysis for Switzerland”, International Economics and Economic Policy, 10, 469-490.
    Carlos Vargas-Silva（2008）, “The Effect of Monetary Policy on Housing: a Factor-Augmented Vector Autoregression（FAVAR）Approach”, Applied Economics Letters, 749-752.
    Mishkin（2007）, “Housing and the Monetary Transmission Mechanism”, National Bureau of Economic Research （Working Paper No.13518）.
    Valerie A. Ramey and Sarah Zubairy（2018）, “Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data”, Journal of Political Economy, 126, 850-901.
    Oscar Jorda（2005）, “Estimation and Inference of Impulse Responses by Local Projections”, The American Economic Review, 161-182.
    Shiu-Sheng Chen and Tzu-Yu Lin（2021）, “Revisiting the Link between House Prices and Monetary Policy”, The B.E. Journal of Macroeconomics.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    109351007
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109351007
    数据类型: thesis
    DOI: 10.6814/NCCU202201081
    显示于类别:[國際經營與貿易學系 ] 學位論文

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