The relationship among stock prices, housing prices, and loan rates : evidence from U.S. and Taiwan
張原啟、劉文祺
E-mail: [email protected]
ABSTRACT
The crisis of sub-premium mortgage happened in USA not only leaded stock market and housing market to fluctuate violently and crash, but also hurt the economy in the world. Taiwan is one of them, too. The fluctuating of stock prices and housing prices affect personal income and business seriously. Especially, housing prices fluctuating will make bad debt happen when bank loan money;
Fluctuating in loan rates not just affect the repayment for person and enterprise, it may bring stock prices and housing prices fluctuating, too. Loan rates bring stock prices and housing prices will affect each other seriously because of that. Therefore, it is necessary to know the relationship among stock prices, housing prices and loan rates. In this study, we analyze the relationship among stock prices, housing prices and loan rates of USA and Taiwan, respectively. The time span is from 1994Q1 to 2010Q3, including 67 seasons. In Taiwan, the stock prices in last season and before one make the positive effect in the housing prices, and it is wealth effect. In the other words, investors get more income will get more consuming or make some of fund in the real estate for spreading loss after stock prices rising. However, we can’t get the same information in the USA sample. The housing prices don’t have obvious effect. It means there are not any credit-price effects in the same way. Even the housing prices rising can’t affect stock prices rising obviously. It is approved after match two models. In the last, we observe the effects between stock prices, housing prices to loan rates. Only stock prices rising will affect the loan rates in positive effect, but the housing prices don’t help it. We can see the result in the two samples.
Keywords : Stock prices、Housing Prices、Loan Rates、VECM
Table of Contents
中文摘要．．．．．．．．．．．．．．．．．．．．．．． 英文摘要．．．．．．．．．．．．．．．．．．．．．
．． 誌謝辭．．．．．．．．．．．．．．．．．．．．．．． 內容目錄 ．．．．．．．．．．．．．．．．
．．．．． 表目錄 ．．．．．．．．．．．．．．．．．．．．． 圖目錄 ．．．．．．．．．．．．．．
．．．．．．．． 第一章 緒論．．．．．．．．．．．．．．．．．．．．1 第一節 研究動機．．．．．
．．．．．．．．．．．1 第二節 研究目的．．．．．．．．．．．．．．．．3 第三節 研究範圍．．
．．．．．．．．．．．．．．4 第四節 研究架構．．．．．．．．．．．．．．．．5 第二章 文獻探討．
．．．．．．．．．．．．．．．．．7 第一節 股價與房價關聯性之文獻回顧．．．．．．．7 第二節 股價與利率關聯性之文獻回顧．．．．．．13 第三節 房價與利率關聯性之文獻回顧．．．．．．15 第四節 房價、股價與利率之文獻回顧．．．．．．18 第三章 研究方法．．．．．．．．．．．．．．．．．．21 第一節 定態數列與單根檢定．．．．．．．．．．．21 第二節 共整合概念與Johansen 共整合檢定．．． 24 第三節 向量自我迴歸模型（VAR）．．．．．．．． 26 第四節 向量誤差修正模型（VECM）．．．．
． 27 第四章 實證分析．．．．．．．．．．．．．．．．．． 30 第一節 敘述統計．．．．．．．．．．．．．
．．． 30 第二節 單根檢定．．．．．．．．．．．．．．．． 35 第三節 Johansen共整合檢定．．．．．．．．．
． 37 第四節 向量誤差修正模型（VECM）．．．．．．． 39 第五章 結論與後續建議．．．．．．．．．．．．
．．． 45 第一節 研究結論．．．．．．．．．．．．．．．． 45 第二節 後續建議．．．．．．．．．．．．．．
．． 47 參考文獻 ．．．．．．．．．．．．．．．．．．．．．． 48 REFERENCES
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