| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 105 === The aim of this paper is to stduy the relationship between global liquidity and housing prices in Taiwan by using the quarterly data from 2001Q1 to 2016Q1. Except for global liquidity, the empirical model covers the following independent variables: the mortgage rate, industrial production, and money supply. Applying Johansen cointegration test, recursive cointegration test, and forecast error variance decomposition to examine the relationship. The empirical results confirm that there is a cointegration vector between global liquidity and housing prices in Taiwan, and higher global liquidity will decrease housing prices. Besides, the results of recursive cointegration show that there is a higher degree of integration between global liquidity and housing prices in Taiwan after the 2008 global financial crisis, which is caused by QE policies of the U. S., EU, and Japan. Finally, the results of the error variance decomposition display that housing prices are the most exogenous, while M2 is the most endogenous.
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