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題名:房價泡沫,景氣預測,及小樣本下住宅價格估計之研究
作者:馬毓駿
校院名稱:國立政治大學
系所名稱:經濟研究所
指導教授:林祖嘉
學位類別:博士
出版日期:2010
主題關鍵詞:房價泡沫GARCH-M模型貝式分析特徵價格法
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
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  • 點閱點閱:64
台北房市自2003年的SARS低點過後逐漸回暖,並在2006年開始房價出現劇烈的漲幅,在決定房屋供給與需求的基本面未大幅變化的前提下,多數學者質疑台北的房價已呈現泡沫化,購屋的負擔已超過多數受薪家庭的支付能力。本文首先擬以購屋成本及投資報酬率的角度分析台北房市泡沫化的幅度,實證結果指出台北市的房價在1990年代及2006年後明顯出現泡沫化的現象,所得及租金推估的泡沫分別達到三成及六成的幅度,且2006年後的房價泡沫至今仍未有破裂跡象。在此一結論下,本文進一步分析生成台北房價泡沫的原因,實證結果指出房價出現泡沫化的同時,與股市報酬率及貴金屬報酬率明顯呈現正相關,貨幣供給增加亦是促成泡沫化的因素。
此外,對於房地產學界一直關注的議題,即房地產景氣預測及房地產價格的推估,本文亦利用貝式分析的技巧適度修補了現階段實證研究遭遇的困難。對房地產景氣的推估而言,加入事前訊息後的馬可夫轉換模型,在掌握房地產景氣擴短縮長的特性有顯著的改善,同時樣本外的預測亦說明其優越之處。在房地產估價方面,貝式多層次模型在面對較少樣本下的估價亦展現優越之處,特別是房價波動較大的期間,在不同樣本數目下,貝式多層式估計的精確度皆明顯優於傳統的特徵價格估計法。
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