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題名：剖析房市泡沫：決定因素、泡沫規模及擴散效應
作者：鄧筱蓉
作者(外文)：Teng, Hsiao Jung
校院名稱：國立政治大學
系所名稱：地政學系
指導教授：張金鶚
學位類別：博士
出版日期：2015
主題關鍵詞：房市泡沫；狀態空間模型；泡沫規模；泡沫蔓延；Housing bubble；State-space model；Bubble size；Ripple effect
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本文主要探討泡沫價格的形成因素、泡沫規模之差異及泡沫價格的擴散效用。首先，Chang, Chen, Teng, and Yang (2009)指出台北房市於2008年已出現泡沫化，然房價卻不斷上漲至2014年，為釐清台北房市泡沫的形成因素，本研究應用因果關係檢定、衝擊反應函數及變異數分析將探討總體經濟對泡沫價格的影響。實證結果發現貨幣供給額的變動對泡沫價格的影響力遠超過利率對泡沫價格之影響。此外，相較於第一次房市泡沫，台北市第二次房市泡沫的形成與總體經濟有較大的關聯性。除了從總體經濟探討泡沫化成因，本研究認為偏好投資房地產的行為是影響房市泡沫的重要因素，特別是亞洲人具有＂有土斯有財＂的傳統文化價值觀，因此本研究分析美國23大都會區房市泡沫化現象，由Panel Data實證結果發現亞洲人口對房市泡沫有顯著影響，間接證實亞洲人「有土斯有財」的土地迷思是泡沫產生的重要因素。
此外，Capozza & Sick (1991)及Clapp & Salavei(2010)提出房價可分為使用現值（current use value）及實質再開發選擇權價值（real option value to redevelop），而Shiller (2002)指出房市泡沫受投資者預期心理影響因素甚大，因此土地擁有再開發選擇權與否，將影響投資者的預期心理及投資行為，間接影響房市泡沫規模差異。本研究分析台北及香港房市泡沫化現象後，發現所有權制度的台北其房市泡沫規模較大，而擁有地上權的香港其房市泡沫規模較小，實證指出土地產權制度差異確實影響房市泡沫規模。另一方面，房價具有擴散效用，卻甚少文獻分析泡沫是否同樣具有擴散效用，本研究先使用狀態空間模型分析大台北都會區房市泡沫現象後，再應用共整合分析發現房市泡沫不僅具有擴散效用，甚至是影響房價擴散的主因，在泡沫價格嚴重的擴散下，促使郊區的泡沫規模大於市中心，隱含郊區過度投資房市的行為甚於市中心。
This paper discusses the factors that influence the housing bubble, comparison the difference of bubble size, and the housing bubble ripple effect. Firstly, Chang et al. (2009) indicated that Taipei exists a housing bubble in 2008. However, the housing price in Taipei still increase to 2014. To clarify what factors to affect housing bubble, this study used Granger causality test, impulse response function and variance analysis to investigate the effect of macroeconomic variables on bubble prices. The empirical results show that the money supply is the main factor that influence housing bubbles, but interest is not. Otherwise, compared to the first housing bubble, Taipei’s second housing bubble was more strongly impacted by macroeconomics.
In addition to exploring bubble formation from a macroeconomic viewpoint, we suggest that behavioral preference for investing in real estate is an important factor affecting housing market bubbles. Particularly, Asians are heavily influenced by traditional beliefs such as “possessing a territory will give him its wealth”, and thus prefer to own real estate, including houses, even without the intention of living in them. By using a state-space model and a fixed effects model to analyze panel data from 24 MSAs in the US from 2005 to 2013, we find that Asian householders have a significant impact on the generation of housing bubbles. This research shows that a higher Asian population concentration is correlated with a larger regional housing bubble.
Secondly, Capozza & Sick (1991) and Clapp & Salavei (2010) state that housing price is composed of current use value and real option value to redevelop. Shiller (2002) expresses that investors’ psychological expectations are an important housing bubble factor. Therefore, we hypothesized that whether or not land has the option for redevelopment option will affect investors’ psychological expectations and investment behavior, indirectly affect the housing bubble size difference. A housing bubble is likely to be bigger in a market with freehold properties than in one with leasehold properties. We find that the average size of housing bubbles is larger in Taipei (compared with Hong Kong) during the period of observation, which supports our hypothesis.
Thirdly, housing price has a ripple effect, however few studies research whether the bubble price also has a diffusion effect. Using data for the Taipei metropolitan area from 1973 to 2014 for empirical analysis, we find that housing bubbles have a diffusion effect and housing bubbles force housing price diffusion. The housing bubble in the suburbs is larger than that in the city center, implying that the suburbs have greater potential for a bubble burst crisis called bubble contagion.
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