| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 102 === In August 2012, Taiwan Government started recording finalized housing price when transactions completed. This thesis is to examine how the housing price index fluctuation is related to the macroeconomic variables, before and after the new law being executed. The variables include the consumer price index, money supply, stock index and interest rate. The research uses Unit Root Test、Granger Causality Test, Co-integration Test and Vector Error Correction Model (VECM) to analyze the monthly data (Jan. 2005 ~ June 2013) in Taiwan region. The analysis is to find out the feedback relationships among variables in both long term period and short term period.
The findings are as follows:
(I) Granger Causality Test:
(i) The period prior/after actual sale price recording:
a.The Housing Price Index leads CPI in both countrywide and Taoyuan/HsinChu area.
b.The Money Supply M1b, Stock Index and Interest Rate lead the Housing Price Index of countrywide.
c. The Money Supply M2 leads the Housing Price Index in Taoyuan/HsinChu Area.
(ii) the period prior to actual sale price recording:
a. The Housing Price Index leads CPI in both countrywide and Taoyuan/HsinChu area.
b. The Money Supply M1b and M2, Stock Index and Interest Rate lead the Housing Price Index of countrywide while the Money Supply M2 leads the Housing Price Index in Taoyuan/HsinChu Area.
c. There exists a feedback relationship between the Housing Price Index and Money Supply M1b in Taoyuan/HsinChu Area.
(iii) the period after actual sale price recording:
a.The Housing Price Index leads Money Supply M1b countrywide.
b.The CPI, the Money Supply M2 and the Interest Rate lead the Housing Price Index of Taoyuan/HsinChu Area.
c.The Housing Price Index of Taoyuan/HsinChu leads the Stock Index and also shows a feedback relationship with the Money Supply M1b.
(II)Co-integration Test:
(i)the period prior/after actual sale price recording: The countrywide Housing Price Index has a long-term equilibrium relationship with CPI.
(ii)the period after actual sale price recording: The countrywide Housing Price Index has a long-term equilibrium relationship with Money Supply M1b, M2 and Stock Index.
(iii)The Housing Price Index of Taoyuan/HsingChu maintains a long-term equilibrium relationship with Money Supply M1b, M2, Stock Index and Interest Rate.
(III)Vector Error Correction Model (VECM):
(i)The Housing Price Index of countrywide will adjust equilibrium error to maintain the long-term equilibrium relationship with the Money Supply M1b, M2 and the Stock Index.
(ii)The Housing Price Index of Taoyuan/HsingChu will adjust equilibrium error to maintain the long-term equilibrium relationship with the Money Supply M1b and M2. However, the Housing Price Index is unable to adjust the equilibrium error to keep the long-term equilibrium relationship with the Stock Index and Interest Rate.
(IV)The amendment or change of an economic policy will affect market activities. When Taiwan Government implemented recording housing prices, that action does impact Taiwan real estate market significantly in the short run. However, the impact will be absorbed and represent the balance among housing market and macroeconomic variables.
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