政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/50044
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113648/144635 (79%)
造访人次 : 51639497      在线人数 : 520
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/50044


    题名: 影響不動產報酬波動性之總體經濟因素分析
    Macroeconomic factors attributing to the volatility of real estate returns
    作者: 張曉慈
    Chang, Hsiao Tzu
    贡献者: 林左裕
    Lin, Tsoyu Calvin
    張曉慈
    Chang, Hsiao Tzu
    关键词: 波動性
    次市場
    不動產報酬
    GARCH
    GARCH-M
    落遲分配模型
    Volatility
    Submarket
    Real Estate Returns
    GARCH
    GARCH-M
    Distributed-lag model
    日期: 2009
    上传时间: 2010-12-09 16:51:22 (UTC+8)
    摘要: 資產報酬的波動程度隱含風險與不確定性，不同的投資者存在不同之風險偏好與風險承受能力，因此瞭解報酬波動之特性有其必要性；又鑑於過去不動產市場對於商用與住宅不動產兩次市場之相關研究較欠缺。因此本研究擬分別探討商用與住宅不動產市場報酬波動特性與差異，並檢視其風險與報酬間之關係。此外，總體經濟環境之變動會影響不動產市場供需關係，進而影響其價格與報酬之波動，因此本研究最後再進一步討論影響其市場報酬之總體經濟因素。
    為捕捉不動產市場報酬之波動特性，本研究擬透過GARCH模型分別檢驗商用與住宅不動產市場報酬波動特性與差異；進而應用GARCH-M模型，探討商用與住宅不動產市場報酬與風險之關係；最後透過落遲分配模型實證比較分析顯著影響商用與住宅不動產市場報酬之總體經濟因素。樣本取自台北地區，資料期間為1997年2月至2009年3月之月資料。
    實證結果顯示，商用不動產市場中投資人較容易透過自身過去的報酬波動推測未來的波動，反觀住宅不動產市場部分，投資人則傾向注意整體市場消息的散佈，因為其較容易受到外在因素影響而導致報酬波動；由GARCH-M模型實證結果顯示，住宅與商用不動產市場報酬與風險間均呈現顯著正相關，顯示其市場波動風險增加時期，會提供更高之報酬以均衡投資者所面對之較高市場波動風險；由落遲分配模型實證結果顯示，商用與住宅不動產市場報酬確實和總經變數之間有著程度不同的關聯性，所有當期總經變數與不動產報酬間均不存在顯著影響關係，顯示各總經變數對不動產報酬的影響存在時間落差。此外，總經變數對商用報酬的影響程度相對大於對住宅報酬的影響，且總體經濟環境變動對於商用不動產市場報酬之衝擊相對較為迅速。
    This research plans to study the relative volatility characteristic of commercial and residential property returns. In addition, the changing real estate environment can be linked to the macro economy, so we further discusses the relationship between property returns and the macro economy.
    In order to catch the volatility characteristic of real estate returns, we use GARCH model to examine the volatile behavior of real estate returns of commercial and residential property in the Taipei area during the period of February 1997 to March 2009, and because risk is time-varying in the market, we continue to employ GARCH-M model to observe whether can explain the change in expected returns of commercial and residential property. Furthermore, we use distributed-lag model to explore the relationship between macroeconomic factors and real estate returns.
    The major findings of this article can be summarized as follows. First, it is easier for investors to infer the future fluctuation through oneself returns in the past in the commercial real estate market, but part on the residential real estate market, the volatility of residential property returns is influenced by external factor more easily. Second, our empirical applications in both commercial and residential real estate markets show that the risk is positively correlated with both property returns and high risk can bring high return. Third, there are different relations of intensity between real estate returns and macroeconomic factors and the impact of macroeconomic factors on real estate returns exist time-lag. In addition, macroeconomic factors’ impact on commercial returns is relatively great, and the environmental change takes place to the impact of the commercial property returns comparatively fast.
    參考文獻: 1.方文碩、張倉耀、葉志權（2005），〈匯率貶值及其風險與出口〉，《經濟研究》，第41卷，第1期，頁105-139
    2.林秋瑾（1998），〈預售屋與成屋住宅價格關係之分析－市場效率之驗證〉，《管理學報》，第15卷，第4期，頁643-664
    3.林秋瑾、王健安、張金鶚（1996），〈房地產景氣與總體經濟景氣於時間上領先、同時、落後關係之探討〉，《國科會人文及社會科學彙刊》，第7卷，第1期，頁35-56
    4.林秋瑾、黃佩玲（1995），〈住宅價格與總體經濟變數關係之研究—以向量自我迴歸模式（VAR）進行實證〉，《政治大學學報》，第71期，頁143-159
    5.陳明吉、蔡怡純、李育菁（2006），〈台北房地產市場報酬波動特性之長期觀察〉，《貨幣觀測與信用評等》，第59期，頁20-35
    6.曾建穎、張金鶚、花敬群（2005），〈不同空間、時間住宅租金與其房價關聯性之研究－台北地區之實證現象分析〉，《住宅學報》，第14卷，第2期，頁27-49
    7.彭建文（2004），〈台灣出租住宅市場與自有住宅市場價格調整關係之研究〉，《都市與計劃》，第31卷，第4期，頁391-412
    8.彭建文、林秋瑾、楊雅婷（2004），〈房價結構性改變影響因素分析－以台北市、台北縣房價為例〉，《臺灣土地研究》，第7卷，第2期，頁27-46
    9.彭建文、張金鶚（2000），〈總體經濟對房地產景氣影響之研究〉，《國科會人文及社會科學彙刊》，第10卷，第3期，頁330-343
    10.廖仲仁、張金鶚（2009），〈景氣期間購屋市場機制選擇及拍賣市場折價效果之再檢視〉，《住宅學報》，第18卷，第1期，頁1-21
    11.蔡怡純、陳明吉（2007），〈台北地區不動產價格波動與蛛網理論〉，《台灣土地研究》，第10卷，第2期，頁1-22
    12.鄭美幸、康信鴻（2002），〈台商赴大陸投資與重大非經濟事件對我國房地產景氣的影響〉，《住宅學報》，第11卷，第2期，頁101-119
    13.簡智崇、許耀文、荷世平（2008），〈房價能否預測股票報酬？〉，《經濟論文》，第36卷，第1期，頁89-139
    14.Adrangi, B., Chatrath, A., Raffiee, K.（2004）“REIT Investments and Hedging Against Inflation,”Journal of Real Estate Portfolio Management, 10(2):97-112
    15.Baffoe-Bonnie J.（1998）“ The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis,”Journal of Real Estate Finance and Economics, 17(2):179-197
    16.Baillie, R., DeGennaro, P.（1990）“Stock Return and Volatility,”Journal of Financial and Quantitative Analysis, 25:203-214
    17.Bollerslev, T.（1986）“Generalized Autoregressive Conditional Heteroskedasticity,”Journal of Econometrics, 31:307-328
    18.Bollerslev, T., Chou, R. Y., Kroner, K. F.（1992）“ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, ”Journal of Econometrics, 52:5-59
    19.Box, G. E. P., Jenkins, G. M.（1976）“Time Series Analysis Forecasting and Control. 2nd,”San Francisco:Holden-Day
    20.Brooks, C.（1997）“Linear and Non-Linear Forecastability of High Frequency Exchange Rates,”Journal of Forecasting, 16(2):125-145
    21.Brown, R. L., Durbin, J., Evans, J. M.（1975）“Techniques for Testing the Constancy of Regression Relationships Over Time,”Journal of the Royal Statistical Society B, 27:149-163
    22.Capozza, D. R., Hendershott, P. H., Mack, C.（2004）“An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets,” Real Estate Economics, 32:1–32
    23.Carn, N., Rabianski, J., Racster, R., Seldin, M.（1988）“Real Estate Market Analysis: Techniques and Applications,”Prentice Hall, 214-234
    24.Case, K. E., Shiller, R. J.,（1989）“The Efficiency of the Market for Single-Family Homes,”American Economic Review, 79:125-137
    25.Chen, M. C., Patel, K.（1998）“House Price Dynamics and Granger Causality: An Analysis of Taipei New Dwelling Market,”Journal of Asian Real Estate Society, 1(1):101-126
    26.Chou, R. Y.（1988）“Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH,”Journal of Applied Econometrics,3:279-294
    27.Clapp, J. M., Giaccotto, C.,（1994）“The Influence of Economic Variables on Local House Price Dynamics,”Journal of Urban Economics, 36:161-183
    28.Darrat, A. F., Glasock, J. L.（1993）“On the Real Estate Market Efficiency,”Journal of Real Finance Economics, 7:55-72
    29.Dolde, W., Tirtiroglue, D.（1997）“Emporal and Spatial Information Diffusion in Real Estate Price Changes and Variances,”Real Estate Economics, 25:539-565
    30.Dolde, W., Tirtiroglue, D.（2002）“Housing Price Volatility Changes and Their Effects,”Real Estate Economics, 30:41-66
    31.Engle, R. F.（1982）,“Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,”Econometrica, 50:987-1007
    32.Engle, R. F., Lilien, D., Robins, R.（1987）“Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model,”Econometrica, 55:391-407
    33.Fama, E. F.（1965）“The Behavior of Stock Market Prices,”Journal of Business, 38(1):34-105
    34.Fama, E. F.（1970）“Efficient Capital Markets: A Review of Theory and Empirical Work,＂Journal of Finance, 25:383-417
    35.Fama, E. F., Schwert, W.（1977）“ Asset Returns and Inflation,”Journal of Financial Economics, 5(2):115-146
    36.Fang, W. S.（2001）“Stock Market Process and Expected Depreciation over the Asian Financial Crisis,”Applied Economics, 33:905-912
    37.Fletcher, M., Gallimore, P., Mangan, J.（2000）“The Modelling of Housing Submarkets,”Journal of Property Investment& Finance, 18(4):473-487
    38.Fraser, P.（1996）“UK Excess Share Returns: Firm Size and Volatility,”Scottish Journal of Political Economy, 43:71-84
    39.French, K., Schwert, G., Stambaugh, R.（1987）“Expected Stock Returns and Volatility,”Journal of Financial Economics, 19:3-29
    40.Fu, Y., Ng, L. K.（2001）“Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value Approach,”Real Estate Economics, 29(2):227-250
    41.Gatzlaff, D. H., Tirtiroglu, D.（1995）“Real Estate Market Efficiency: Issues and Evidence,”Journal of Real Estate Literature, 3:157-189
    42.Glosten, L. R., Jagannathan, R., Runkle, D. E.（1993）“On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,”Journal of Finance, 48:1779-1802
    43.Goldberg, M., Chinloy, P.(1984)“Urban Land Economics,”John Wiley and Sons
    44.Goodman, A. C.（1981）“Housing Sub-markets within Urban Areas: Definition and Evidence,”Journal of Regional Science, 21:175-185
    45.Grigsby, W., Baratz, M., Galster, G., Maclennan, D. (1987)“ The Dynamic of Neighborhood Change and Decline,”progress in planning, 28(1):1-76
    46.Hendry, D.（1985）“Econometric Methodology,”paper presented to the Econometric Society Fifth World Congress, MIT.
    47.Hoskins, N., Higgins, D., Cardew, R.（2004）“Macroeconomic Variables and Real Estate Returns: An International Comparison,”Appraisal Journal, 72(2):163-170
    48.Johnston, J.（1984）“Econometric Methods. 3rd,”McGraw Hill
    49.Kan, K., Kwong, S. K., Leung, C. K.（2004）“The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence,”Journal of Regional Science, 44(1):95-123
    50.Kwong, S. K., Leung, C. K.（2002）“Price Volatility of Commercial and Residential Property,”Journal of Real Estate Finance and Economics,20(1):25-36
    51.Liow, K. H.（2000）“The Dynamics of the Singapore Commercial Property Market,”Journal of Property Research, 17(4):279-291
    52.Liu, C. H., Hartzell, D. J., Greig, W., Grissom, T. V.（1990）“The Integration of the Real Estate Market and the stock Market: Some Preliminary Evidence,”Journal of Real Estate Finance and Economics, 3(3):261-282.
    53.Ljung, G., Box, G.（1978）“On a Measure of Lack of Fit in Time Series Models,”Biometrika, 65(2):297-303
    54.Mandelbrot, B.（1967）“The Variation of Some Other Speculative Prices,”Journal of Business, 40:393-413
    55.McCue, T. E., Kling, J. L.（1994）“Real Estate Returns and the Macro Economy: Some Empirical Evidence from Real Estate Investment Trust Data,”The Journal of Real Estate Research, 9(3):277-288
    56.Meen, G. P.（1990）“The Removal of Mortgage Market Constraints and the Implications for Econometric Modelling of UK House Prices,”Oxford Bulletin Economics and Statistics, 52(1):1-23
    57.Mei, J. P., Hu, J. W.(2000)“Conditional Risk Premiums of Asian Real Estate Stocks,”Journal of Real Estate Finance and Economics, 21(3):297-313
    58.Merton, R.（1980）“On Estimating the Expected Return on the Market: An Exploratory Investigation,＂Journal of Financial Economics, 8:326-361
    59.Miller, N., Peng, L.（2006）“Exploring Metropolitan Housing Price Volatility,”Journal of Real Estate Economics and Finance, 33:5-18
    60.Mittnik, S., Paolella, M. S.（2000）“Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates,”Journal of Forecasting, 19(4):313-333
    61.Nelson, D.（1991）“Conditional Heteroscedasticity in Asset Returns: A New Approach,”Econometrica, 59:347-370
    62.Nikiforos, T. L.（2005）“Feedback Trading and Autocorrelation Interactions in the Foreign Exchange Market: Further Evidence,” Economic Modeling, 22:811-827
    63.Poon, S., Taylor, S.（1992）“Stock Returns and Volatility: An Empirical Study of the UK Stock Market,”Journal of Banking and Finance, 16:37-59
    64.Pyhrr, S. A., Cooper, J. R., Wofford, L. E., Kapplin, S. D., Lapides, P.D.（1989）“Real Estate Investment-Strategy: Analysis and Decisions,” New York:Wiley, Second Edition
    65.Reichert, K. A.（1990）“The Impact of Interest Rates, Income and Employment upon Regional Housing Prices,”Journal of Real Estate Finance and Economics, 3(4):373-391
    66.Ross, S.（1989）“Information and Volatility: The Non-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy,＂Journal of Finance, 44:11-17
    67.Shalen, C. T.（1993）“Volume, Volatility, and the Dispersion of Beliefs,＂Review of Financial Studies, 6:405-434
    68.Smith, L. B., Rosen, K. T., Fallis, G.（1988）“Recent developments in Economic Models of Housing Markets,”Journal of Economic Literature, 26:29-64
    69.Thomas, S., Wickens, M.（1993）“An International CAPM for Bonds and Equities,”International Money and Finance, 12:390-412
    70.Wang, K. L., Fawson, C. B., McDonald J.（2001）“A Flexible Parametric GARCH Model with an Application to Exchange Rates,”Journal of Applied Econometrics, 16(4):521-536
    71.Wang, P.（2003）“Cycles and Common Cycles in Property and Related Sectors,”International Real Estate Review, 6(1):22-42
    72.Witkiewicz, W.（2002）“The Use of the HP-filter in Constructing Real Estate Cycle Indicators,”Journal of Real Estate Research, 23(1/2):65-87
    73.Wootton, J. L.（1998）Private Communications.
    描述: 碩士
    國立政治大學
    地政研究所
    97257017
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097257017
    数据类型: thesis
    显示于类别:[地政學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    701701.pdf732KbAdobe PDF22240检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈