An interactive analysis between mortgage loan and macroeconomic variables: the case of Taiwan

• Main Authors: Chih-ming Chuang, 莊志民
• Other Authors: Yu-Shan Wang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/39823522750819976375

碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === This research investigates the interrelationships between mortgage loan and macro-economics during January 1996 to August 2008 in Taiwan. Through co-integration analysis, it is found that there are seven variations, excluding regular factors and temporal trend in Johansen’s co-integration model. Among the seven variations, there are four co-integration vectors. Furthermore, the relationships between the seven variations are constant, shown in the error correction model, due to the influence of four factors, including remaining sum of mortgage, salary income, price index and weighted stock price index. By using Granger Causality Test, it shows that the four factors are in a mutual feedback relationship, so they can be used to forecast the future trend of each other. Moreover, through impulse response analysis, the remaining sum of mortgage is in mutual impulse responses with salary income, and the sum of money supply is with price index. The close relationships between them means that the index of salary income can be used as the prediction index for the remaining sum of mortgage, and vice versa; the index of money supply also can be used as the prediction index for price index, and vice versa. Via variation analysis, the percentage of spontaneous disturbance in these seven variations is relatively high. In addition to spontaneous disturbance, weighted stock index is influenced by money supply, and basic loan interest rate is by unemployment rate. To be more specific, the longer the mortgage loan is, the more basic loan interest rate is influenced by unemployment rate.