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題名 以總體經濟變數探究台灣房價偏離之情形
Using Macroeconomic Variables to Explore the Deviation of Housing Prices in Taiwan
作者 柯妏儒
Ke, Wun-Ru
貢獻者 林左裕
Lin, Tso-Yu
柯妏儒
Ke, Wun-Ru
關鍵詞 清華安富房價指數
總體經濟變數
狀態空間模型
House Price Index of AIFE
Macroeconomic Variables
State Space Model
日期 2024
上傳時間 4-Sep-2024 14:25:06 (UTC+8)
摘要 隨著COVID-19疫情使得全球經濟發生許多重大變動，從數據上看到房價走勢在疫情之後顯著攀升，為了解房價是否偏離基本價值以及溢價或折價的規模大小，本研究運用清華安富房價指數，以台灣六都房價為例，蒐集台灣地區的消費者物價指數、國民所得、購屋貸款利率、貨幣供給額、外匯存底，期間自2012年9月至2023年11月，應用敘述性統計分析、單根檢定、Granger因果關係檢定及狀態空間模型來做實證分析，用以觀察台灣六都房價偏離基本價值之情形。研究結果顯示，目前台灣六都的房價皆為市場溢價，意即市價皆高於其基本價值，而且貨幣供給額皆有顯著影響六都房價。
With the COVID-19 pandemic, there are many significant changes in the global economy. It shows that the housing prices skyrocket after the pandemic. In order to understand whether the housing prices deviate from the fundamental value and the magnitude of the deviation, this study collects the House Price Index of AIFE, the Consumer Price Index, National Income, Mortgage Loan Interest Rate, Money Supply, and Foreign Exchange Reserves in Taiwan from September 2012 to November 2023. It also uses descriptive statistics, unit root test, Granger causality test and State Space Model (SSM) for empirical analysis. The results indicate that the current housing prices in the six special municipalities of Taiwan exist market premium, which means that the market prices are all higher than their fundamental values, and the amount of money supply has a significant effect on the housing prices in the six special municipalities of Taiwan.
參考文獻 一、中文文獻 李美杏、陳威廷、彭建文（2014），亞洲城市房價基值與泡沫，都市與計劃，41（2）：169-198。 張金鶚、陳明吉、鄧筱蓉、楊智元（2009），台北市房價泡沫知多少？—房價 vs.租金、房價 vs.所得，住宅學報，18（2）：1-22。 張金鶚、楊宗憲（2000），台北成屋價格泡沫知多少？，中華民國住宅學會第 9 屆年會論文集，15-29。 張棋茹（2017），以總體經濟指標探討中國大陸房價之泡沫化現象，國立政治大學應用經濟與社會發展英語碩士學位學程碩士論文。 黃佩玲（1994），住宅價格與總體經濟變數關係之研究，國立政治大學地政系碩士論文。 鄧筱蓉（2008），台北市房價泡沫知多少?-房價vs.租金與房價vs.所得，國立政治大學地政系碩士論文。 二、英文文獻 Black, A., Fraser, P., and Hoesli, M. (2006) “House Prices, Fundamentals and Bubbles”, Journal of Business Finance & Accounting, 33(9): 1535-1555. Blanchard, O.J., and Fisher, S. (1989) Lectures on Macroeconomics, Cambridge: The MIT Press. Dickey, D.A., and Fuller, W.A. (1981) “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”, The Econometric Society, 49(4): 1057-1072. Granger, Clive W. J. (1969) “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.”, Econometrica, 37(3): 424-438. Granger, Clive W. J., and Newbold, P. (1974) “Experience with Forecasting Univariate Time Series and the Combination of Forecasts.”, Journal of the Royal Statistical Society, 137(2): 131-165. Joyner, A. (2005) “Boom, Bust, or Bubble?” Montana Business Quarterly, 43(3), 2. Kim, K.H. and Suh, S.H. (1993) “Speculation and Price Bubbles in the Korean and Japanese Real Estate Markets”, The Journal of Real Estate Finance and Economics, 6(1): 73-87. Kim, C.J., and Nelson, C.R. (1999) State-Space Model with Regime Switching. London, England: The MIT Press. Cambridge, Massachusetts. Krainer, J. (2003) “House Price Bubbles.” FRBSF Economic Letter, 2003(6), 1. Mints, V. (2007) “The Mortgage Rate and Housing Bubbles.” Housing Finance International, 21(4), 34. Peng, R. and Hudson-Wilson, S. (2002) “Testing Real Estate Price Bubbles: an Application to Tokyo Office Market”, Proceedings of 7th AsRES Conference, Seoul. Klotz, P., Lin, T.C., and Hsu, S.-H. (2016) “Modeling Property Bubble Dynamics in Greece, Ireland, Portugal and Spain”, Journal of European Real Estate Research Vol. 9 No. 1, pp. 52-75. Phillips, Peter C. B. and Perron, P. (1988) “Testing for a Unit Root in Time Series Regression.”, Biometrika, 75(2): 335-346. Stiglitz, J.E. (1990) “Symposium on Bubbles”, Journal of Economic Perspectives, 4(2): 13-18. Tuccillo, J. (2003) “Bubble, Bubble, Toil and Trouble.” Economic Outlook, 11(7), 1. Xiao, Q. and Tan, G.K.R. (2007) “Signal Extraction with Kalman Filter: a Study of the Hong Kong Property Price Bubbles”, Urban Studies, 44(4): 865-888.
描述 碩士
國立政治大學
地政學系
105257006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105257006
資料類型 thesis
dc.contributor.advisor 林左裕zh_TW
dc.contributor.advisor Lin, Tso-Yuen_US
dc.contributor.author (Authors) 柯妏儒zh_TW
dc.contributor.author (Authors) Ke, Wun-Ruen_US
dc.creator (作者) 柯妏儒zh_TW
dc.creator (作者) Ke, Wun-Ruen_US
dc.date (日期) 2024en_US
dc.date.accessioned 4-Sep-2024 14:25:06 (UTC+8)-
dc.date.available 4-Sep-2024 14:25:06 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2024 14:25:06 (UTC+8)-
dc.identifier (Other Identifiers) G0105257006en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153237-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 地政學系zh_TW
dc.description (描述) 105257006zh_TW
dc.description.abstract (摘要) 隨著COVID-19疫情使得全球經濟發生許多重大變動，從數據上看到房價走勢在疫情之後顯著攀升，為了解房價是否偏離基本價值以及溢價或折價的規模大小，本研究運用清華安富房價指數，以台灣六都房價為例，蒐集台灣地區的消費者物價指數、國民所得、購屋貸款利率、貨幣供給額、外匯存底，期間自2012年9月至2023年11月，應用敘述性統計分析、單根檢定、Granger因果關係檢定及狀態空間模型來做實證分析，用以觀察台灣六都房價偏離基本價值之情形。研究結果顯示，目前台灣六都的房價皆為市場溢價，意即市價皆高於其基本價值，而且貨幣供給額皆有顯著影響六都房價。zh_TW
dc.description.abstract (摘要) With the COVID-19 pandemic, there are many significant changes in the global economy. It shows that the housing prices skyrocket after the pandemic. In order to understand whether the housing prices deviate from the fundamental value and the magnitude of the deviation, this study collects the House Price Index of AIFE, the Consumer Price Index, National Income, Mortgage Loan Interest Rate, Money Supply, and Foreign Exchange Reserves in Taiwan from September 2012 to November 2023. It also uses descriptive statistics, unit root test, Granger causality test and State Space Model (SSM) for empirical analysis. The results indicate that the current housing prices in the six special municipalities of Taiwan exist market premium, which means that the market prices are all higher than their fundamental values, and the amount of money supply has a significant effect on the housing prices in the six special municipalities of Taiwan.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景、動機與目的 1 第二節 研究方法與研究範圍 4 第三節 研究架構與流程 4 第二章 文獻回顧 6 第一節 價格偏離與價格泡沫的定義及異同 6 第二節 影響房價的總體經濟因素 7 第三節 基本價值的衡量方法 8 第三章 研究方法與資料說明 11 第一節 研究方法 11 第二節 變數選取與資料說明 13 第四章 實證結果分析 16 第一節 敘述性統計 16 第二節 單根檢定 19 第三節 Granger因果關係檢定 20 第四節 狀態空間模型 26 第五章 結論與建議 46 第一節 結論 46 第二節 建議 48 參考文獻 51zh_TW
dc.format.extent 1104075 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105257006en_US
dc.subject (關鍵詞) 清華安富房價指數zh_TW
dc.subject (關鍵詞) 總體經濟變數zh_TW
dc.subject (關鍵詞) 狀態空間模型zh_TW
dc.subject (關鍵詞) House Price Index of AIFEen_US
dc.subject (關鍵詞) Macroeconomic Variablesen_US
dc.subject (關鍵詞) State Space Modelen_US
dc.title (題名) 以總體經濟變數探究台灣房價偏離之情形zh_TW
dc.title (題名) Using Macroeconomic Variables to Explore the Deviation of Housing Prices in Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文文獻 李美杏、陳威廷、彭建文（2014），亞洲城市房價基值與泡沫，都市與計劃，41（2）：169-198。 張金鶚、陳明吉、鄧筱蓉、楊智元（2009），台北市房價泡沫知多少？—房價 vs.租金、房價 vs.所得，住宅學報，18（2）：1-22。 張金鶚、楊宗憲（2000），台北成屋價格泡沫知多少？，中華民國住宅學會第 9 屆年會論文集，15-29。 張棋茹（2017），以總體經濟指標探討中國大陸房價之泡沫化現象，國立政治大學應用經濟與社會發展英語碩士學位學程碩士論文。 黃佩玲（1994），住宅價格與總體經濟變數關係之研究，國立政治大學地政系碩士論文。 鄧筱蓉（2008），台北市房價泡沫知多少?-房價vs.租金與房價vs.所得，國立政治大學地政系碩士論文。 二、英文文獻 Black, A., Fraser, P., and Hoesli, M. (2006) “House Prices, Fundamentals and Bubbles”, Journal of Business Finance & Accounting, 33(9): 1535-1555. Blanchard, O.J., and Fisher, S. (1989) Lectures on Macroeconomics, Cambridge: The MIT Press. Dickey, D.A., and Fuller, W.A. (1981) “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.”, The Econometric Society, 49(4): 1057-1072. Granger, Clive W. J. (1969) “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.”, Econometrica, 37(3): 424-438. Granger, Clive W. J., and Newbold, P. (1974) “Experience with Forecasting Univariate Time Series and the Combination of Forecasts.”, Journal of the Royal Statistical Society, 137(2): 131-165. Joyner, A. (2005) “Boom, Bust, or Bubble?” Montana Business Quarterly, 43(3), 2. Kim, K.H. and Suh, S.H. (1993) “Speculation and Price Bubbles in the Korean and Japanese Real Estate Markets”, The Journal of Real Estate Finance and Economics, 6(1): 73-87. Kim, C.J., and Nelson, C.R. (1999) State-Space Model with Regime Switching. London, England: The MIT Press. Cambridge, Massachusetts. Krainer, J. (2003) “House Price Bubbles.” FRBSF Economic Letter, 2003(6), 1. Mints, V. (2007) “The Mortgage Rate and Housing Bubbles.” Housing Finance International, 21(4), 34. Peng, R. and Hudson-Wilson, S. (2002) “Testing Real Estate Price Bubbles: an Application to Tokyo Office Market”, Proceedings of 7th AsRES Conference, Seoul. Klotz, P., Lin, T.C., and Hsu, S.-H. (2016) “Modeling Property Bubble Dynamics in Greece, Ireland, Portugal and Spain”, Journal of European Real Estate Research Vol. 9 No. 1, pp. 52-75. Phillips, Peter C. B. and Perron, P. (1988) “Testing for a Unit Root in Time Series Regression.”, Biometrika, 75(2): 335-346. Stiglitz, J.E. (1990) “Symposium on Bubbles”, Journal of Economic Perspectives, 4(2): 13-18. Tuccillo, J. (2003) “Bubble, Bubble, Toil and Trouble.” Economic Outlook, 11(7), 1. Xiao, Q. and Tan, G.K.R. (2007) “Signal Extraction with Kalman Filter: a Study of the Hong Kong Property Price Bubbles”, Urban Studies, 44(4): 865-888.zh_TW