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題名：預售屋與成屋價格之相互關係--共整合模式之應用
書刊名：規劃學報
作者：陳俊合 引用關係
作者(外文)：Chen, Chun-ho
出版日期：1998
卷期：25
頁次：頁1-24
主題關鍵詞：預售屋；成屋；特徵價格；共整合模型；誤差修正模型；Pre-sales house；Existing house；Hedonic price；Cointegration model；Error correction model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:50
  • 點閱點閱:36
　　　　　Engle and Granger(1987)所發展之共整合理論(Cointegration Theory)內容主要 在探討整合短期動態與長期均衡及檢定自變數和因變數間的關係，其指出兩時間數列間有共 整合關係時，表示兩數列將以相同方向變動，短期內兩者會有所差異，但長期觀之，兩數列 將有相同的變動趨勢。 　　類似遠期市場或期貨交易之預售方式在臺灣之房屋市場佔重要地位，由於期貨理論上具 有「價格發現」功能，因此類似遠期交易與期貨之預售屋，其價格波動是否提供對成屋價格 有用資訊，且兩者關係為何，值得深入探討。本文之目的即利用特徵價格(Hedonic Price) 法固定異質性房地產之品質，使其能於均等化特徵基礎下比較其價格變動差異，進而藉由共 整合與誤差修正模型(Cointegration & Error Correction Model)探討預售屋與成屋價格關 係，並以臺北都會區房屋市場之實際成交案例為實證，檢視預售屋與成屋價格間之變動趨勢 ，以釐清預售屋與成屋間之相互關係。經由本研究之探討，實證獲得臺北都會區之預售屋價 格與成屋價格間具共整合關係且為雙向因果關係。
　　　　　The major contents of cointegration theory developed by Engle and Granger (1987) are to investigate and cointegrate the relationship between the sort-term movement and the long-term equilibrium, testing the relationship between the independent variable and dependent variable. The important trend of the housing market in Taiwan is the pre-sales housing system executed like merchandise transaction of futures or forward market. Owing to the transaction of pre-sales house with the futures character and the futures with the function of "price-finding" theoretically, the price movement of the pre-sales house should also offer useful information to the price of the existing house. The purpose of this paper is to fix the heterogeneity of real estate by dint of hedonic price method at first, further to investigate and test the relationship between the prices of the pre-sales house and the existing house in the Taipei Metropolitan by means of the Cointegration & Error Correction Model, and finally to identify the mutual relationship between the prices of the pre-sale and the existing houses. After this study, empirical investigation acquires the result that there is cointegration relationship and mutual causality between the prices of the pre-sales house and the existing house in Taipei Metropolitan.
期刊論文
1.Nelson, J. P.(1978)。Residential Choice, Hedonic Price, and the Demand for Urban Air Quality。Journal of Urban Economics，5，357-369。  new window
2.林秋瑾、楊宗憲、張金鶚(19960100)。住宅價格指數之研究--以臺北市為例。住宅學報，4，1-30。new window  延伸查詢new window
3.Stock, J. H.、Watson, M.(1988)。Variable trends in economic time series。Journal of Economic Perspectives，2，147-174。  new window
4.Johansen, S.、Juselius, K.(1992)。Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics，53，211-244。  new window
5.Chang, Chin‐Oh、Ward, Charles W. R.(1993)。Forward Pricing and the Housing Market: the Pre-Sales Housing System in Taiwan。Journal of Property Research，10(3)，217-227。  new window
6.Granger, C. W. J.(1980)。Testing for Causality: A Personal Viewpoint。Journal of Economic Dynamics and Control，2，329-352。  new window
7.Blackley, D. M.、Follain, J. R.、Lee, H.(1986)。An Evaluation of Hedonic Price Indexes for Thirty four Large SIMSAs。AREUEA Journal，14，179-205。  new window
8.Case, B.、Pollakowaki, H. O.、Wachter, S. M.(1991)。On Choosing Among Housing Price Index Methodologies。AREUEA Journal，19(3)。  new window
9.Bryan, T. B.、Colwell, P. F.(1982)。Housing Price Indexes。Research in Real Estate，2，57-84。  new window
10.Ghosh, Asim(1993)。Cointegration and Error Correction Models: Inter-temporal Causality between Index and Futures Prices。The Journal of Futures Markets，13(2)，193-198。  new window
11.Johansen, Soren(1988)。Statistical Analysis of Cointegreation Vectors。Journal of Economics Dynamics and Control，12，231-254。  new window
12.Working, H.(1949)。The Theory of the Price of Storage。American Economic Review，39，1254-1262。  new window
13.Thibodeau, T. G.(1989)。Housing Price Indexes form the 1974-1983 SIMSA Annual Housing Surveys。AREUEA Journal，1(1)。  new window
14.張金鶚、劉秀玲(19931000)。房地產品質、價格與消費者物價指數之探討。國立政治大學學報，67(下)，369-400。  延伸查詢new window
15.Drake, Leigh(1993)。Modelling UK house prices using cointegration: An application of the Johansen technique。Applied Economics，25(9)，1225-1228。  new window
16.Johansen, Soren(1991)。Estimation and Hypothesis Testing of Cointegration Vectors m Gaussian Vector Autoregressive Models。Econometrica，59(6)，1551-1580。  new window
17.張麗姬(19940100)。從遠期契約和現貨的角度論預售屋和成屋的價格關係--以臺北市為例。住宅學報，2，67-85。new window  延伸查詢new window
18.Box, George E. P.、Pierce, David A.(1970)。Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models。Journal of American Statistical Association，65(332)，1509-1526。  new window
19.Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society，55(2)，277-301。  new window
20.Jarque, C. M.、Bera, A. K.(1980)。Efficient tests for normality, homoscedasticity and serial independence of regression residuals。Economics Letters，6(3)，255-259。  new window
21.Granger, C. W. J.、Newbold, P.(1974)。Spurious Regression in Econometrics。Journal of Econometrics，2(2)，111-120。  new window
22.史綱(19920500)。預售屋的定價模式與實證。管理科學學報，9(1)，31-37。  延伸查詢new window
23.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。  new window
24.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
25.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
26.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics，39(1/2)，199-211。  new window
27.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
28.Rosen, Sherwin(1974)。Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition。Journal of Political Economy，82(1)，34-55。  new window
29.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
會議論文
1.陳俊合、謝潮儀(1998)。以選擇權及風險貼水理論探討預售屋價格評估模式之研究。中華民國區域科學學會學術研討會，577-602。  延伸查詢new window
2.陳俊合(1997)。預售屋與成屋價格共整合關係之研究--以永和市為例。中華民國區域科學學會學術研討會，184-197。  延伸查詢new window
3.Chen, Chun-Ho(1997)。The Cointegration Relationship between The Prices of The Pre-sales House and The Existing House in Taiwan。The Third International Convention on Urban Planning, Housing and Design。School of Architecture, National University of Singapore。73-81。  new window
4.Chen, Chun-Ho、Hsieh, Chao-I.(1998)。The Development of A Valuation Model of The Pre-sales House Based on The Options and Risk Premium Theories。The Third Annual Conference of The Asian Real Estate Society。Taipei。1-22。  new window
5.Chen, Chun-Ho(1997)。A Research on The Valuation Model of The Pre-sales House Investment in Taiwan。Mid-America Chinese Professional Annual Convention。Illinois。166-180。  new window
6.Chen, Chun-Ho(1997)。A Theoretic and Positive Research on The Valuation Model of The Pre-sales House-- A Case in Taipei, Taiwan。The International Conference of Environmental Design, Development and Management。Los Angeles, California。1-16。  new window
7.Hwang, D. Y.(1994)。Valuation of the pre-sales Housing in Taiwan Housing Markets。中國財務學會八十三年論文研討會，85-109。  延伸查詢new window
研究報告
1.Lin, Jin-Long(1993)。What Economists Should Know about Unit Roots and Cointegration。The Institute of Economics Academic Sinica。  new window
2.林祖嘉(1990)。台灣地區房租與房價關係之研究。國立政治大學經濟研究所。  延伸查詢new window
學位論文
1.林容如(1994)。大臺北地區預售屋價格之實證研究(碩士論文)。國立中央大學。  延伸查詢new window
2.王美鈺(1993)。共積計量理論之比較研究--臺灣總體經濟數列之實證分析(碩士論文)。國立政治大學。  延伸查詢new window
3.楊宗憲(1995)。住宅價格指數之研究(碩士論文)。國立政治大學。  延伸查詢new window
4.白金安(1996)。以遠期交易訂價理論探討國內預售屋價格之研究(博士論文)。國立政治大學。new window  延伸查詢new window
圖書
1.朱浩民(1994)。期貨市場分析。台北：華泰書局。  延伸查詢new window
2.辜炳珍(1989)。房地產價格指數查編之研究。行政院主計處。  延伸查詢new window
3.張清溪(1991)。經濟學：理論與實際。台北：張清溪。  延伸查詢new window
4.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY：John Wiley and Sons。  new window
圖書論文
1.Griliches, Z.(1971)。Introduction: Hedonic Prices Indexes Revisited。Price Indexes and Quality Change。Cambrige：Harvard University Press。  new window
 
 
 
 
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