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題名:國際房地產市場之實證研究
作者:沙瓦蒂
作者(外文):NUR SETYOWATI
校院名稱:國立高雄科技大學
系所名稱:國際企業系
指導教授:簡美瑟
學位類別:博士
出版日期:2021
主題關鍵詞:房價經濟不確定性所得不均股價Housing PricesEconomic UncertaintyIncome InequalityStock Prices
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本文旨在探討國際房地產市場之三項實證議題。第一部分為分析美國50個都會區的經濟不確定性與房價之關連性。為了檢驗總體經濟和金融不確定性對美國區域房價的非線性影響,本文採用追踨資料門檻迴歸來估計此非線性關係。實證結果顯示,無論使用總體經濟不確定性或金融不確定性為門檻變數,追踨資料門檻廻歸的結果都證實非線性關係之存在。
第二部分為進行房價對於所得不均之影響效果。本文採用GMM (一般化矩方法) 和分迴歸來估計房價和所得不均間的線性和非線性關係。不論是全樣本或三大洲子樣本之長期房價對所得不均之影響係數皆顯著為正,但短期房價對三大洲之所得不均會有不同的影響效果。在所有樣本中,住房價平方項對所得不均有負向之顯著影響效果,此顯示房價對所得不均兩者皆為U形之互動關係,即房價上漲至一定程度後,其對於所得不均的影響效果將遞減。
第三部分為探討17個APEC (亞太經濟合作) 國家中股價對房價的影響。為了檢驗股價對房價的不對稱影響效果,本文應用非線性ARDL(自回歸分佈滯後) 來檢驗此種關係。實證結果顯示,除了菲律賓外,所有國家的股價對房價均存在長期非對稱之影響效果。
This dissertation consists of three empirical topics in international housing markets. The first topic analyzes the relationship between economic uncertainty and housing prices in the U.S. 50 largest metropolitan areas. To test the nonlinear effects of macroeconomic and financial uncertainty on regional housing prices in the U.S, panel threshold regression is employed to estimate these nonlinear effects. The results show that no matter using macroeconomic uncertainty (MU) or financial uncertainty (FU) as the threshold variable, the results of panel threshold regression confirm nonlinear effect exists.
The second topic examines housing prices roles to income inequality. Generalized Method of Moment (GMM) and quantile regression are executed to estimate both linear and nonlinear link of housing prices and income inequality. Long term trend housing prices (HSpL) and short-term cycles housing prices (HSpC) of housing prices cause different effects on income inequality. The coefficients of long-term housing prices are significantly positive no matter in the full sample or three regional samples, while short run cycles of housing prices present inconsistent effects on income inequality in different samples. Squared housing prices found to be negatively significant to the income inequality in all sample and we proof the U-shaped curve relationship between housing prices and income inequality, implying the relationship between housing prices and income inequality is wears off at certain point.
The third topic investigates the impact from stock prices to the housing prices in 17 APEC countries. To examine the possibility of the asymmetric effect of stock prices to the housing prices, nonlinear autoregressive distributed lag (ARDL) is applied to examine the linkage. The empirical result confirms there is significant long run asymmetric effect of stock prices on housing prices in all sample’s countries except the Philippines.
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