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    題名: 房市泡沫知多少?-- 房價基值與泡沫規模、泡沫蔓延與趨勢預測、跨城市國際比較
    其他題名: How Much We Know the Housing Bubble? -- Fundamental and Bubble Size, Ripple Effect and Forcasting the Trend of Bubble, Cross-City International Comparison
    作者: 張金鶚
    貢獻者: 地政學系
    關鍵詞: 房價;房地產泡沫;房地產投資;狀態空間模型
    Housing Price;Housing Bubble;Real Estate Investment;State-Space Model
    日期: 2012
    上傳時間: 2016-04-12 14:34:42 (UTC+8)
    摘要: 根據Blanchard和Fisher(1989)表示，房價由基值及泡沫價格所組成，故眾多研究先建立房價基值模型，以此分析泡沫價格。由於基值模型會影響後續泡沫價格及規模分析，因此，基值模型的客觀性及真實性格外重要；然過去文獻對基值定義不明確，且僅從投資或自住需求面建立基值模型，忽略基值模型應符合自住與消費效用。故本研究第一年將以台北市為例，釐清各種房價基值模型與泡沫規模之間的關係，並模擬建立客觀的房價基值模型。 過去相關文獻表示房價存在蔓延現象，房價會由市中心區域向外逐漸擴散，卻未有文獻探討泡沫價格是否具有蔓延效應。因此本研究第二年使用Engle-Granger 共整合及誤差修正模型驗證泡沫價格之蔓延效應，比較房價蔓延與泡沫蔓延之差異，欲藉由泡沫蔓延效應說明過度的房市投資需求會使房價產生蔓延現象。此外，更透過狀態轉換模型預測泡沫將持續上漲或破裂的機率。 另一方面，為了解不同城市間房市泡沫化現象，除了驗證泡沫價格的存在及比較泡沫規模大小之外，更重要的是分析不同區域間影響房市泡沫因素的差異。故本研究第三年將擴大研究範疇，先以亞洲重要城市進行房市泡沫研究，後續擴大比較亞洲及歐美不同城市房市泡沫化現象，分別探討經濟制度及文化價值觀對房價泡沫產生之影響。
    Blanchard and Fisher(1989) said that housing price are composed of fundamental and bubble. Hence there are many studies built the fundamental model to analysis the housing bubble. Because the fundamental affects to calculate the bubble price and bubble size, so it is important to measure the real and objective fundamental. However, most papers do not have a clear definition to fundamental, and neglect that fundamental should conform to consumption effect and investment effect. Therefore, this paper in the first year will research the relationship between different fundamental and bubble size, and also simulate to set up an objective fundamental model. According to literatures found that housing prices have a ripple effect, price diffusion from center city to peripheral region. However a little paper analysis that is bubble price also have contagion? Therefore, in the second year, this paper will use Engle-Granger model and ECM to test and verify bubble price ripple effect, and compare the difference between housing price diffusion and bubble price diffusion. Because of bubble contagion, it is indicate that demand of housing investment make housing price contagion. Besides, we will use regime-switching model to forecast the probability of boom or crash. On the other hand, in order to understand housing bubble in different city, in addition to compare the bubble existence and bubble size, more importantly, to analysis the variant reason influence bubble in different region. Therefore, in the third year, we will research housing bubble in Asian Cities and then cross international cities between Asian and occidental cities. Respectively investigate the influence of bubble on economic institution and culture.
    關聯: 計畫編號 NSC101-2410-H004-199-MY2
    資料類型: report
    顯示於類別:[地政學系] 國科會研究計畫

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    101-2410-H004-199-MY2.pdf1567KbAdobe PDF2497檢視/開啟


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