| Summary: | 碩士 === 世新大學 === 經濟學研究所(含碩專班) === 103 === The purpose of this study examines the relationship among mortgage rates, consumer price index and house prices. We select variables including Sinyi Taipei City house price index, Sinyi New Taipei City house price index, Core consumer price index and mortgage rate.The empirical period is from January 2005 to June 2014, a total of 114 document monthly data. Application of ADF unit root test, Granger Causality test, Vector Auto-regression model,Impulse Response and Forecast Error Variance Decomposition are conducted. The mainfindings can be summarized as follow:
First, the mortgage rate cannot “Granger” cause Sinyi Taipei City house price index and Sinyi New Taipei City house price index .The Sinyi Taipei City house price index and Sinyi New Taipei City house price index “Granger” cause each other.
Second, based on variance decomposition, the Sinyi Taipei City house price index does not affect by Sinyi New Taipei City house price index, Core consumer price index and mortgage rates. The Sinyi New Taipei City house price index does not affect by Core consumer price index and mortgage rates.
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