房價與所得是否存在長期關係分量單根檢定之應用.PDFVIP

房價與所得是否存在長期關係 ？ 分量單根檢定之應用 學生：王俊傑 指導教授：李政峰 博士 國立高雄應用科技大學 金融資訊研究所 摘要 由於房地產泡沫破滅所造成的影響層面相當廣泛，且持續時間長再加上恢復 的速度慢，因此在高房價的環境中是否存在泡沫化的可能性，為大家所關注的議 題。過去文獻指出在長期均衡下，房價與所得增長速度應為一致，所得提高可帶 動房價上升，房價 與所得比值(Price and Income Ratio ；PIR)應為穩定的數值。因 此若房價成長與所得成長不一致，不存在長期關係時，房市可能存在泡沫化的危 機。 據此，本研究以美國以及台灣之房價與所得比值(PIR)之數列作為實證對象， 並透過 Koenker and Xiao(2004)所提出之分量單根檢定方法去檢驗在不同分量上 房價與所得是否存在長期均衡關係。實證結果顯示，兩國 PIR數列在低分量，受 到負衝擊的影響導致PIR下降，此時，房價下降的幅度大於所得，人民買得起房 地產，表示兩變數存在長期關係。相反地，當兩國 PIR數 列在高分量，受到正衝 擊的影響使得 PIR 上升，此時，房價上漲的幅度大於所得，使人民買不起房地產， 表示兩變數不存在長期關係，意謂著可能有房價泡沫化的疑慮。 關鍵字：住宅負擔能力、房價所得比、分量單根檢定 I Does the long-run relationship exist between housing prices and income ？ Evidence from the quantile unit root test Student ：Chun-Chieh Wang Advisors ：Dr. Cheng-Feng Lee Institute of Finance and Information National Kaohsiung University of Applied Sciences Abstract Recently, housing prices have been not only booming over the world but also raising abnormally in many countries, if housing market is a bubble which has become an important issue for everyone. In housing studies, it has indicated that based on housing affordability household income and housing price should be integrated in the long-run, because effective demand for housing depends on household income. In other words, PIR is a stationary variable. This thesis applies a new quantile unit root test developed by Koenker and Xiao (2004) to investigate whether or not the long-run relationship exist between housing price and household income in the US and Taiwan. Our empirical resu