本文以台灣2009年至2020年的季資料，探討房價與房屋貸款變數的相關性，而在現今貸款年限相差不遠的條件下，房屋貸款多受到貸款利率及貸款成數的影響，因此本文以時間序列中的向量誤差修正模型及因果關係檢定等，探討台灣房價、房屋貸款量、貸款利率及貸款成數間的關聯性。

研究結果發現房屋貸款、貸款利率及貸款成數對研究期間的台灣房價並無顯著影響，惟房屋貸款會受貸款利率及貸款成數的影響，因此若欲以限制貸款成數或調整利率的方式來作為抑制房價的措施，可能還需針對地區、市場狀況與限制對象做全面性的考量。

In this research, using quarterly data from 2009 to 2020 in Taiwan to explore the relationship between housing prices and the mortgage lending variables. Nowadays, the loan term is about the same; therefore, mortgage is mostly affected by the interest rate and loan-to-value ratio. In order to understand the effect of mortgage lending variables on housing prices, this research used time series analysis such as vector error correction model and Granger causality test to analysis the data in Taiwan.

The results of the study found that mortgage, interest rates and loan-to-value ratios showed nonsignificant influence on housing prices in Taiwan during the study period. However, mortgage will be affected by interest rates and loan-to-value ratios. Therefore, if want to stabilize housing price by restricting loan-to-value ratio or interest rate, government needs to put more situations in the picture.

論文審定書 i
致謝 ii
中文摘要 iii
英文摘要 iv
目錄 v
圖次 vi
表次 vii
第 一 章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 5
第三節 研究架構與流程 6
第 二 章 文獻回顧 8
第一節 房屋貸款與不動產市場之關係 9
第二節 貸款成數與不動產市場之關係 10
第三節 貸款利率與不動產市場之關係 10
第三章 研究方法 12
第一節 研究檢定流程 12
第二節 結構性轉變檢定 13
第三節 單根檢定 14
第四節 共整合檢定 16
第五節 向量誤差修正模型 18
第六節 Grange因果關係 19
第四章 實證結果與分析 20
第一節 資料來源與處理 20
第二節 變數敘述統計與時間序列趨勢圖 21
第三節 結構轉變檢定 22
第四節 單根檢定 23
第五節 共整合檢定 25
第六節 向量誤差修正模型 27
第七節 Granger因果關係檢定 29
第五章 結論與建議 31
第一節 結論 31
第二節 研究限制及建議 33
參考文獻 35

一、英文部分

A lan K. Reichert.(1990), The impact of interest rates, income, and employment upon. regional housing prices, Journal of Real Estate Finance & Economics , Vol. 3 Issue 4, pp. 373-391
Andreas Fuster and Basit Zafar. (2014), The Sensitivity of Housing Demand to Financing. Conditions: Evidence from a Survey, Federal Reserve Bank of New York, Staff Reports, No. 702.
Abdelhak S Senhadji and Charles Collyns. (2001), Lending Booms, Real Estate Bubbles. and The Asian Crisis, IMF Working Paper, NO.02/20.
C. W. J. Granger.(1969), Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, Vol. 37, No. 3, pp. 424-438
C.W.J. Granger and P. Newbold.(1974), Spurious regressions in econometrics, Journal of. Econometrics, Volume 2, Issue 2, pp. 111-120
David A. Dickey and Wayne A. Fuller.(1979), Distribution of the Estimators for Autoregressive. Time Series With a Unit Root, Journal of the American Statistical Association, Vol. 74, No. 366 , pp. 427-431
Enders, W.(2014), Applied Econometric Time Series, New York: John Willey & Sons, Inc.
Hancock Dian, Wilcox James A.(1993), Has There Been a Capital Crunch in. Banking? The Effects on Bank Lending of Real Estate Market Conditions and Bank Capital Shortfalls, Journal of Housing Economics, Volume.3, Issue 1, pp. 31-50
Jane Dokko, Brian M. Doyle, Michael T. Kiley, Jinill Kim, Shane Sherlund, Jae Sim and Skander Van Den Heuvel.(2011), Monetary policy and the global housing bubble, Economic Policy, Volume 26, Issue 66, pp. 237–287
Lim, C., F. Columba, A. Costa, P. Kongsamut, A. Otani, M. Saiyid, T. Wezel, and X. Wu. (2011), Macroprudential Policy: What Instruments and How to Use Them? Lessons from Country Experiences, IMF Working Paper No. 11/238.
Peter Morgan, Paulo Regis and Nimesh Salike.(2015), Loan-to-Value Policy as a. Macroprudential Tool: The Case of Residential Mortgage Loans in Asia, ADBI Working Paper 528
Phillips, P. C. B. and Perron, P. (1988), Testing for a Unit Root in Time Series. Regression, Biometrika. 75 (2), pp. 335–346
R. L. Brown, J. Durbin and J. M. Evans.(1975), Techniques for Testing the Constancy. of Regression Relationships over Time, Journal of the Royal Statistical Society. Series B (Methodological), Vol. 37, No. 2, pp. 149-192
Robert F. Engle and C. W. J. Granger.(1987), Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, Vol. 55, No. 2, pp. 251-276
Stefan Gerlach and Wensheng Peng.(2005), Bank lending and property prices in Hong Kong. Journal of Banking & Finance, Volume29,Issue2, pp.461-481.
Said E. Said and David A. Dickey.(1984), Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika, Vol. 71, No. 3, pp. 599-607
Soren Johansen.(1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, Volume 12, Issues 2–3, pp. 231-254
T. C. Wong, Andrew Tsang, and Steven Kong. (2014), How Does Loan-to-Value. Policy Strengthen Banks’ Resilience to Property Price Shocks - Evidence from Hong Kong, HKIMR Working Paper No. 03/2014, 32 pages

二、中文部分
王泓仁、陳南光與林姿妤(2017)，房貸成數 (LTV) 對臺灣房地產價格與授信之影響，中央銀行季刊，第39卷，第3期，p5-40
江佳玟(2017)，購屋貸款變數與住宅市場關聯性之研究，國立政治大學地政學系碩士論文
陳柏如(2015)，臺灣房價與貸款成數、房屋使用者成本相關性的檢驗， 經濟研究，51:2 ，225-256
陳婷玉(2019)，住宅房價利率彈性的評估-實證的觀點，多國籍企業管理評論，第十三卷，第二期，第119∼142 頁
陳裴紋(2015)，房價波動對中央銀行之政策意涵－台灣的個案研究，中央銀行季刊，第37卷，第3期，p5-48
張嘉純(2010)，“台灣房地產價格與房屋貸款之關聯性研究”，國立台灣大學社會科學院國家發展研究所碩士論文
楊浩彥、郭迺鋒與林政勳(2013)，實用財經計量方法－EViews之應用，臺北市：雙葉書廊
楊奕農(2009)，時間序列分析－經濟與財務上之應用(二版)，臺北市：雙葉書廊

三、參考網站
財團法人金融聯合徵信中心－購置住宅貸款統計資訊
https://www.jcic.org.tw/main_ch/index.aspx
內政部不動產資訊平台
https://pip.moi.gov.tw/V3/Default.aspx