市場情緒與房價泡沫

Market Sentiment and Housing Bubble

陳家興(Chia-Hsing Chen)

指導教授 ： 王泓仁

共同指導教授 ： 陳南光(Nan-Kuang Chen)

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202203697

摘要

本文探討台北市是否有房價泡沫，以及此泡沫與市場情緒的關係。使用的模型為隨機邊界分析(stochastic frontier analysis, SFA)，此模型除了能認定泡沫的存在與否，並能將資產的基本面和泡沫區分開來，分別估計兩者的大小，以及可以對其做統計檢定。估計過程中我們主要考慮了三種模型設定，接著以概似比檢定比較各個模型和資料的配適度，最終發現異質性截斷常態模型和資料最相符，因此以該模型作為主要分析之用。實證結果顯示台北市的房價確實存在泡沫現象，且在2015年最高峰時泡沫佔比達到30%，其他年間平均為10%-20%。同時我們也觀察到此泡沫和市場情緒存在顯著的正向關係，且若不考慮市場情緒，房價泡沫將有可能被低估。本文進一步也發現市場情緒影響房價泡沫的邊際效果並非線性，隨著市場情緒越高漲，對房價泡沫的邊際影響則更劇烈，此現象也符合過去一些行為經濟學之文獻所觀察，如從眾行為、追逐市場熱潮...等。另外，我們也發現購買房產的資金成本之利率和房價租金比呈現負向的關係，此結果也和經濟理論相符。最後，本文也對高雄市做了相同的分析，實證結果發現高雄市房價並未顯著包含泡沫。

關鍵字

市場情緒 ； 預期心理 ； 房價泡沫 ； 隨機邊界分析

並列摘要

This article explores whether there is a housing bubble in Taipei City and its relationship to market sentiment. The model we use is stochastic frontier analysis (SFA). This approach can not only identify the existence of a bubble or not, but also distinguish the fundamentals of the asset from the bubble. Therefore, we can estimate the value of these two terms separately, and make statistical tests on them. In the estimation process, we mainly consider three model settings, then use the likelihood ratio test to compare the fitness of data in each model. Finally, we find that the fitness of heterogeneous truncated-normal model is best, so this model is used as the main analysis. Empirical results show that there indeed exists a housing bubble in Taipei City. At the peak in 2015, the husing bubble accounted for 30\%, and in other years is 10\%-20\%. We also observe a significant positive correlation between this bubble and market sentiment. If market sentiment is not taken into account, the housing bubble will likely be underestimated. This paper further finds that the marginal effect of market sentiment on housing bubble is not linear. The marginal impact of bubble is more stronger when the market sentiment become more higher, and this phenomenon is also correspond with the observations in some past behavioral economics literatures. Such as herding, chasing market boom...etc. In addition, we find that the capital interset rate used to purchase housing and the price-to-rent ratio show a negative relationship, which is consistent with economic theory. Finally, we do the same analysis for Kaohsiung City, then the empirical results show that the housing price in Kaohsiung City dose not significantly contain bubble.

並列關鍵字

market sentiment ； expection ； housing bubble ； stochastic frontier analysis

參考文獻

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