不動產指數模型與資產重估

Housing Price Index Model and Bank Collateral Revaluation

蔡愷文(Kai-Wen Tsai)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.02069

摘要

房地產市場充滿各種名目的不動產價格，使得市場上價格資訊相當難以釐清，究竟是品質造成的差異，或是純粹價格波動造成的差異。為資訊流通與產業發展，國內在民國83年和92年分別由信義房屋和國泰建設公佈了相關的不動產價格指數，惟前者雖以中古屋資訊為主，惜囿於成交案例規模有限，指數代表性程度有所限制；後者則以新建房屋資訊為主，指數編製目的與實務應用上，畢竟與次級市場有別。

在新巴塞爾協定(BASEL II)第一支柱合格企業型暴險部位擔保品的規範中，銀行應經常或至少每年一次監控擔保品價值，評估的統計方法有參考房屋價格指數或取樣，可用於更新估價，或判別價值已下跌有重估必要之擔保品。如何幫助銀行業者建立重估擔保品的機制，使得既能符合新巴塞爾協定的風險管理要求，又能在實務上增進銀行業者經營利益，是本論文的主要目的。

特徵價格理論與傳統效用理論最大的不同處在於，傳統理論中財貨被視為效用的直接對象，而特徵價格理論將財貨分解成許多特徵，以這些特徵作為效用的主體。這些特徵被視為具同質性的經濟變數，必須為買賣雙方所清楚了解並認定其價值。消費者購買市場財貨當作一種投入，而產出則是一群特徵的組合，效用或偏好順序依特徵的多寡而定。

本論文主要利用特徵價格法求得住宅屬性的單位價格，並以典型住宅的方式表達固定房屋屬性品質下的價格，藉由指數公式整合不動產價與量的變動。本論文以民國93年第二季為基期和市場公布同樣採拉氏指數編製的指數作比較。實證結果顯示，以彙總資料結構估算各季別擔保品時價相對變動幅度時，民國93年第二季至同年第四季實質擔保品住宅價格之漲幅，約夾在中古屋漲勢(以信義房價指數代表)與預售屋漲勢(以國泰房地產指數代表)之間；民國94年起開始上揚，與預售屋漲勢(以國泰房地產指數代表)相較幅度更勝，應與積極的房貸授信政策相關。民國95年第三季實質上漲了30%，應與隨房貸信用政策限縮，擔保品承作區域集中於精華地段有關。以自建模型產出結果計算的不動產指數走勢與市場公布的中古屋指數(以信義房價指數代表)相近，惟自建指數的相對變動幅度小，應與資料來源機構之業務性質相關。

關鍵字

新巴塞爾協定 ； 特徵價格法 ； 典型住宅 ； 不動產價格指數

並列摘要

The real estate market abounds with many kinds of nominal housing price, and that leads to difficultly identify the differences between quality change and pure price change. In order to have the information transmitted fluently and the sound industry development, the relevant housing indexes were announced regularly by Sin-Yi Realty Inc. and Cathay Real Estate Development Co., ltd.. in 1984 and 2003 respectively. But it is a pity that the Sin-Yi housing index is limited by the number of transaction cases, and it contains only the second-house infomation. Similarly, the appliance and object of the Cathay RED housing index, are mainly from the new-house infomation, and significantly different from that in the second-hand market.

Subject to meeting the definition of Pillar I qualified residential real estate collateral, as Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework in June 2004, the bank is expected to monitor the value of the collateral on a frequent basis and at a minimum once every year. Statistical method of evaluation (e.g. reference to house price indices, sampling) may be used to update estimates or to identify collateral that may have declined in value and may need re-appraisal. The main purpose in the thesis is not only to meet the requirement for recognition of the risk management, but also to improve the bank’s marginal benefit.

Hedonic price method is based on the realization that some goods (e.g. house) of factors of production are not homogeneous and could differ in numerous characters. In the traditional theory, goods are regarded as the direct object to utility. The characters from the goods which are considered to represent the homogeneous economy variables must be generally accepted and revealed the information from both parties. With the above background, the purpose of this thesis is to construct housing price index by examining the functional relationship between the housing prices and their attributes. The attributes must take specific characters into account, for example, size, floor, age, accessibility … etc.. The estimated housing price is then calculated for the weighted housing index, and it is compared with the announced housing index in the market. By using the internal database, any moderate bank may utilize this housing price index model constructed by the thesis to meet the requirement of the risk management and the evaluation of the housing price appraisals.

In this thesis, We try to use Hedonic Price Method (HPM) to get the implicit prices of the residential attributes. We could express the trend of the change in the housing price on the basis of controlling the quality of the residential attributes from the idea of typical-house. By taking the second season in 2004 as a base quarter, and to compare with the housing price index announced regularly by Sin-Yi Realty Inc., it showed that both have the same trend. And it implies that the housing price index from the empirical model seems to have a leading effect on the turning point judging from the graph of periods. In pooled cross-section data structure, it is discovered that the percentage change is almost 30% in the third quarter of 2006, which exceeds the new-house rising rate by the Cathay RED housing index. These phenomena are the results from the policy that limits the credit loan and transactions heavily focused on the A-class section in Taipei.

並列關鍵字

Basel II ； Hedonic Price Method ； typical-house ； housing price index

參考文獻

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