| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 104 === This paper empirically investigates that whether a causal relationship exists between the impact of interest rates and the real estate market. Moreover, discussing the interest rates and real estate market, which use nonlinear co-integration test to analyze the long-term equilibrium relationship and explore which is the leading indicator using Granger-Causality test. Data is cited from AD March 2001 to March 2016, a total of 15 years in Taiwan & Japan including interest rate and real estate index, which is seasonal data of 61 respectively.
From the empirical results found in linear single test of PP, KPSS and NP in Taiwan & Japan, the interest rate and the real estate index data are all I(1) the number of columns. In the co-integration test, conclude that it doesn’t exist the asymmetric co-integration relationship between interest rate and real estate index in the long-term equilibrium whether in Taiwan & Japan.
|
|---|
