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題名：台北市住宅價格模式之研究
作者：李月華 引用關係
作者(外文)：yueh-hua lee
校院名稱：淡江大學
系所名稱：管理科學學系
指導教授：張紘炬
學位類別：博士
出版日期：2000
主題關鍵詞：特徵價格；住宅市場；誤差修正模式；hedonic price；housing；error correction model
原始連結：連回原系統網址new window
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本研究主要是在分析台北市住宅價格之特徵價格模式、各區域特徵價格結構關係之一致性，和股價及住宅價格向量自我迴歸模式的長短期動態調整的影響。
首先，以二次元Box-Cox轉換函數形式為基礎，找出線性、對數、半對數和Box-Cox轉換四種函數形式來比較台北市住宅的特徵價格模式，使用最大概似法來找尋最適當規格的λ值和θ值。Box-Cox轉換模式之參數λ和θ值不顯著異於零，趨近雙對數模式；在檢定線性模式、雙對數模式和半對數模式，何者函數模式較適合台北市住宅價格，以雙對數模式較佳。
接著，以Box-Cox轉換函數形式來建構台北各住宅子市場的特徵價格模式，不論使用行政區域、市郊區或住宅型態，均顯示各子市場之特徵價格結構關係不具一致性。住宅所位於的位置不僅影響住宅的價格，也會影響其他變數的價值，像住宅型態、樓高和樓層等變數。樓高和樓層則對郊區住宅價格的影響較大，屋齡則對市區住宅價格的負面影響較大。在檢定坪數、屋齡、樓高和樓層等變數在市區和郊區之差異是否有顯著異於零，檢定結果均拒絕接受虛無假設，代表市區和郊區在坪數、屋齡、樓高和樓層等變數上具有顯著差異。
在研究台北市住宅價格和股價聯立系統模式方面，因住宅價格和股價存在共整合(長期均衡)關係，故在VAR模型中加入共整合殘差即為誤差修正模式(ECM)。模型中之最適落後期為九期；在長期均衡關係方面，住宅價格和股價呈現反向變化，即負向關係，當股價上升1%，住宅價格會下跌0.054%。在Granger因果關係檢定方面，股價對房價不具有短期顯著的影響。房價對股價的短期影響也呈現不顯著，所以兩者之間無顯著因果關係存在。
This paper attempts to search for an appropriate specification of the hedonic price function of the housing market in Taipei. Two parameters of Box-Cox transformation are used as basic search linear model, semi-log model, double log model and Box-Cox model. Maximum likelihood estimation is adopted to seek for the hedonic price specification. In Box-Cox model, the parameterλandθare not significantly different from zero, approaching double log model. As for model tests, double log model shows better results than linear model and semi-log model concerning the housing prices in Taipei during the studying period.
In the study, administration districts, locations and housing types applied to segment the Taipei housing market with the adoption of Box-Cox transformation to search for each sub-market hedonic price specification. Findings suggest that empirical works reject the identical hedonic structure relationships across sub-markets. There is a significant difference between urban housing prices and suburban housing prices with reference to the size, the story of building, the floor on which the house is located and the age of the building.
In simultaneous equation model of stock price and housing price, our findings show house market and stock market are co-integrated, which provides strong evidence that the house market and the stock market have a long-term balance relationship. Describing the stock price and housing price model, we use error correction model (ECM), which include long-term relationship and short-term dynamic adjustment,. The lag of the ECM is 9 and there is no significant Granger-Causality between them.
頁次
圖目錄……………………………………………………………………..壹
表目錄…………………………………………………………………..…貳
第一章 緒論…………………………………………………………….. 1
1.1 研究動機與目的……………………………………………..… 1
1.2 研究方法……………………………………………………….. 3
1.3 研究範圍和限制……………………………………………….. 4
1.4 文章結構…………………………………………………………5
第二章 理論基礎和相關文獻………………………………………….. 6
2.1 特徵價格理論…………………………………………………... 6
2.1.1 特徵價格………………………………………………. 7
2.1.2 函數形式………………………………………………..9
2.2 房屋市場橫切面之差異………………………………………..12
2.2.1 橫切面研究…………………………………………….12
2.2.2 特徵價格結構地理區域差異…………………………13
2.2.3 特徵關係穩定性……………………………………….15
2.3 向量自我迴歸……………………………….…………………..16
2.3.1 單根檢定…………………..……………………………16
2.3.2 VAR模式之介紹……………………………………….18
2.3.3 衝擊反應函數…………………………………………..19
2.3.4 殘差分解………………………………………………..20
2.4 共整合檢定及誤差修正模式……………………………….…..21
2.4.1 共整合關係……………………………………………..22
2.4.2 Johansen最大概似檢定法……………………………..23
2.4.3 誤差修正模式…………………………………………..26
第三章 台北市住宅市場特徵價格模式之探討……………..……….28
3.1 研究變數……………………………………………..…..28
3.2 台北住宅市場之特徵價格模式………………….……..32
3.3 住宅特性邊際價格………………………………………36
3.4 特徵價格模式之選擇……………………………………38
第四章 台北市住宅模式之比較分析………………………………….44
4.1 研究變數………………………………………………….45
4.2 整體住宅市場之特徵價格模式規格……………………46
4.3 各區隔市場之特徵價格模式規格………………………48
4.4 市區和郊區住宅區隔市場之差異………………………52
4.5 住宅型態特徵價格之差異………………………………53
4.6 地理位置對住宅特性影響之差異………………………56
第五章 住宅市場與股票市場之動態關係………………………..…..59
5.1 單根與共整合檢定…………………………….…….….62
5.2 誤差修正模式………….………………………………..68
5.3 住宅價格與股價之衝擊反應和殘差分解……………..70
第六章 結論……………………………………………………………...76
參考文獻……………………………………………………………………80
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