English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50794632      Online Users : 713
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/100382


    Title: 台灣房地產景氣循環轉折點認定之研究－雙變量馬可夫轉換模型之應用
    Other Titles: Identifying Taiwan’s Real Estate Cycle Turning Points—Application of the Two-Variate Markov-Switching Autoregressive Model
    Authors: 李春長;梁志民;周幸蓉
    Lee, Chun-Chang;Liang, Chih-Min;Chou, Hsing-Jung
    Keywords: 房地產景氣循環;綜合領先指標;轉折點;馬可夫轉換模型
    Real Estate Cycle;Leading Index;Turning Point;Markov-Switching Model
    Date: 2008-11
    Issue Date: 2016-08-18 11:41:31 (UTC+8)
    Abstract: 若我們可以認定預測房地產景氣循環的高峰和谷底形成的所在位置，則這個訊息就可以提供給決策者和投資大眾一個相當重要的參考指標。本研究選用包含了投資面、生產面、交易面與使用面房地產活動的台灣房地產景氣綜合領先指標，運用雙變量馬可夫轉換自我迴歸模型MS-ARX進行房地產景氣循環轉折點之認定，最適模型為截距項、變異數皆受到不可觀察變數所影響且遞延（lag）期數為8季的L（1）–MSIH（2）–ARX（8）模型。該模式確認了房地產景氣綜合領先指標領先基準循環一季。整體而言，綜合領先指標模型對於房地產研究中心所發布的四次谷底與三次高峰皆有相當接近的認定。
    Projecting the peak and trough of a real estate cycle could help decision makers and investors. In this study, we adopt the Composite Leading Index of Taiwan’s real estate cycle which includes the investment, product, transaction and use phase of the real estate life cycle. We use bivariate Markov-switching autoregressive model to identify the turning points of real estate cycle. The model with the best fit is L(1)- MSIH(2)-ARX(8), of which, the lags is 8 and both the intercepts and variance are regime-dependent. The predicted dates of the turning points from the L(1)- MSIH(2)-ARX(8) model are so consistent with the peaks and troughs of the reference cycle announced by the Taiwan Real Estate Research Center that the Leading Index can present its forecast function. However, we use L(1)- MSIH(2)-ARX(8) model to identify that the Leading Index leads the reference cycle by one season. Generally speaking, L(1)-MSIH(2)-ARX(8) produced rather accurate results in terms of identifying the turning points of real estate cycles in Taiwan.
    Relation: 臺灣土地研究, 11(2), 155-177
    Journal of Taiwan land research
    Data Type: article
    Appears in Collections:[臺灣土地研究 TSSCI] 期刊論文

    Files in This Item:

    File Description SizeFormat
    11(2)-155-177.pdf985KbAdobe PDF2656View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback