房價泡沫與影響房價因素的估計-以台北市為例

我們使用資產現值模型估算台北市房價租金比的基本面，運用 Campbell and Shiller (1988) 現值模型套入房屋資產，並且加入使用者成本模型，拆解出預期持有房屋報酬所隱含的資訊，得到房價租金比由預期未來租金的成長率、預期資本成本、預期擁屋相對於租賃的風險溢酬所決定。我們使用台北市的房價季資料進行實證分析，將實際價格與基本面價格的差定義為泡沫，並觀察自1994至2018年台北市房價泡沫的走勢。最後，藉由變異數分解的方法，找出影響台北市房價最主要的因素。我們的結果顯示，資本成本為1994至2018年影響台北房價租金比的主因，並且我們分析台北房價在不同時期，金融危機前後受到各變數的影響。在1994至2008年，資本成本的影響仍是房價漲跌主要的因素，顯示利率對房價的重要程度；但在近十年2009至2018年，持有房屋報酬成為影響台北市房價最主要的因素。

關鍵字

房價租金比；房價泡沫；資本利得；資本成本；利率

並列摘要

We used present value asset model to estimate the fundamental of price-rent ratio in Taipei city. By applying Campbell and Shiller (1998) present value model in housing market and adding user cost model to find out the implied information in expected housing return. The price-rent ratio is determined by expected future growth rate, expected cost of capital, and expected risk premium of owning versus renting. We apply a quarterly dataset of housing market in Taipei city from 1994 to 2018 in empirical study. To observe the housing bubble in Taipei city, we define the difference between real price and fundamental as the housing bubble. Eventually, applying the variance decomposition approach to examine the main factor in Taipei housing market. Our results show that during 1994 to 2018 cost of capital is the main factor in price-rent ratio of Taipei city, and we also analyze the price-rent ratio in Taipei in different period, especially the influence before and after financial crisis. In 1994 to 2008, cost of capital also playing the vital role in price-rent ratio that indicates the importance of interest rate in housing market; in 2009 to 2018 housing return playing the vital role in Taipei housing market.