An Empirical Analysis of Determination of Housing Prices in the Taipei Area

台北地區住宅價格決定因素之實證研究

陳明吉(Ming-Chi Chen) ； Kanak Patel

《經濟論文叢刊》 30卷4期 (2002/12) Pp. 563-595

https://doi.org/10.6277/ter.2002.304.5

摘要

國內過去數10年間的住宅產價格有著劇烈的起伏，本文試著使用計量經濟模型來分析台北地區住宅價格長期與短期的變動。理論模型採用了晚近住宅研究中所使用的使用者成本觀念，並且試圖解釋國內住宅市場的特殊現象包括強烈投資需求、濃厚預期心理與短期價格暴漲的行為。所以本文運用一些計量估計方式如適用性與理性預期的並用來解釋預期心理現象，以及使用非線性模式來解釋短期快速的價格變動。實證結果發現在長期方面，家庭所得、建築成本與住宅供給的確是重要的影響因素，特別是所得是推動住宅價格長期上漲的重要因素，但在短期則是投資需求對住宅價格有顯著影響，如貨幣供給額、股價都是重要影響因素。使用非線性模式的確可解釋國內短期快速的價格變動，但理性預期模式並不能提供較佳的解釋效果，市場預測還是以依據過去經驗為主。而90年代初期的文獻認為住宅市場在80年代末期經過結構性轉變，但本文的測試卻有不同的證據。

關鍵字

住宅價格 ； 共積理論 ； 誤差修正模型

並列摘要

The volatile behaviour of Taipei housing prices is analysed using econometric models in this study. Alternative econometric models are specified to explain a number of special features of the Taipei housing market including the strong investment demand emanating both from domestic and foreign monetary expansion, excess demand fuelling price expectations and short-run variability in housing prices. We attempt to analyse alternative specifications of backward and forward looking expectation mechanisms, as well as a non-linear price term, to capture the rapid price adjustment behaviour. The results of the long-run equilibrium model indicate that household income is the most important long-run housing price determinant. The short-run dynamic models suggest housing investment variables such as stock prices and money supply are essential. The non-linear price term provides a good estimation of short-run fluctuations in housing prices but the forward-looking expectations mechanism is not helpful. The supposed structural change in the late 1980s is not empirically verified.

並列關鍵字

house price ； cointegration ； error-correction model

參考文獻

Breedon, F., Joyce, M. A. S.(1992).House prices, arrears and possessions.Bank of England Quarterly Bulletin.May

Brown, J. P., Song, H., McGillivray, A.(1997).Forecasting UK house prices: a time varying coefficient approach.Economic Modelling.14(4)

Brown, P. M.(1990).The changing United Kingdom residential real estate market.Land Development Studies.7

Clayton, J.(1996).Rational expectation, market fundamentals and house price volatility.Real Estate Economics.24(4)

Darrat, A. F., Glascock, J. L.(1989).Real estate return, money and fiscal deficits: is the real estate market efficient?.Journal of Real Estate Finance and Economics.2