The Empirical Study of Relationships between Real Estate Loans and Macroeconomic Variables

• Main Authors: LIN,YU-HUI, 林昱惠
• Other Authors: CHENG,YEN-SHIH
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/64mjb5

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 === 106 === This study investigated the connection between Real Estate Loans( Purchase Hone Loans, Home Improvement Loans Construction Loans ).Overall economic index, variables select interest rates and monthly average salary per person in Taiwan using unit root test, Johansen co-integration test, vector error correction model, causality test and vector auto-regression model, we test these variables particularly to determine if there are stable relationship in long-term period. Then, we analyze the adjusting process to all variables to be unequal in short-term period and relationships among these variables. We prove the results that: 1. The result of Johansen Co-integration Test shows that among the variables shown in long-term equilibrium relationship exists. 2.The result of Granger Causality Test (Pairwise causality test) shows that purchase home loans and home improvement loans, purchase home loans and construction loans, construction loans and home improvement loans mutually related. stock index provided with leading construction index relation. It can forecast the share price construction changing in the index. 3. The result of Impulse Response Function shows that the impact occurs, purchase home loans; home improvement loans; construction loans; construction index; stock index; and other variables by their maximum impact shock in the early stages, and the influences will get less by numbers of periods. 4. The result of Forecast Error Variance Decomposition shows that home Improvement loans and construction index get the strongest self-explanation and exogeneity. stock index get the weakest self- explanation and endogeneity.