美國利率與房價指數之間的關係

Abstract

本研究旨在探討美國房市中，三十年期固定抵押貸款利率與實質房價指數之間的動態互動關係，並延伸分析房價對通膨與利率的反向傳導效果。相較於傳統文獻多以政策利率為貨幣政策代表變數，本文強調實際借貸成本對房市的直接影響，並採用結構性向量自我迴歸（SVAR）模型進行實證分析。研究結果顯示，利率上升會顯著抑制房價，且房價亦具備向通膨與利率反向傳導的能力，發揮政策放大器之功能。此外，本文進一步比較三個子時期下變數間傳導效果之差異，發現房價對總體變數的敏感度隨時期與制度背景變化而異，特別是在近年低利與資金寬鬆的環境中，房價表現更具韌性。另在通膨與房價互動方面，亦觀察到市場預期與政策信號扮演關鍵角色。本研究亦納入 COVID-19 疫情與俄烏戰爭等重大事件，探討極端情境下政策傳導機制的調整與差異。整體而言，研究強調房價並非被動反應變數，而是貨幣政策與通膨動態中的關鍵參與者，未來政策設計宜將資產價格納入政策回饋機制之考量。This study explores the dynamic interaction between the 30-year fixed mortgage rate and real house prices in the U.S., and further examines the reverse effects of house prices on inflation and interest rates. Unlike conventional literature that focuses on policy rates, this paper highlights actual borrowing costs as a more direct measure of monetary policy impact. A Structural Vector Autoregression (SVAR) model is applied for empirical analysis.Results indicate that rising mortgage rates significantly dampen house prices, while house prices also exhibit reverse feedback on inflation and interest rates, acting as a policy amplifier. Sub-period comparisons reveal that transmission mechanisms vary over time, shaped by policy regimes and market conditions. In recent years, low rates and abundant liquidity have made house prices more resilient. Inflation–housing interactions are also influenced by shifts in expectations and policy credibility.The analysis incorporates the COVID-19 pandemic and Russia–Ukraine war to assess transmission under extreme uncertainty. Overall, the findings suggest that house prices are not passive policy targets but active agents in macroeconomic adjustment, and should be considered in future policy design.