本論文嘗試利用理論模型探討課徵資本利得稅,對於房地產市場期望價格、雜訊交易者參與比例,以及價格波動性之影響,並在世代交替模型架構下,求解均衡雜訊交易者參與比例與均衡價格波動性。首先探討市場存在供給衝擊,並給定雜訊交易者參與比例為外生,研究結果顯示資本利得稅對於市場期望價格為負相關變動。接著進一步允許雜訊交易者內生進入下,結果顯示資本利得稅與均衡雜訊交易者參與比例以及均衡價格波動性為負相關變動。再接著討論不存在供給衝擊,資本利得稅變動與均衡雜訊交易者參與比例以及均衡價格波動性仍為負相關變動,顯示在二種狀況下資本利得稅對於均衡雜訊交易者參與比例以及價格波動性皆為負相關變動,顯示市場增加資本利稅,確實能夠降低市場雜訊交易者參與比例以及價格波動性。最後本論文亦再延伸加入供給面價格斜率項變動,欲了解此項參數對於雜訊交易者參與比例以及價格波動性之影響,結果顯示當供給面價格斜率項低時,供給數量變動量會下降,導致價格波動性以及雜訊交易者參與比例之增加。
This thesis establishes an overlapping generation model to discuss the relationship between capital gains tax, expectation price, price volatility and noise trader ratio for the housing market. In particular, this study tries to solve equilibrium the proportion of noise traders and equilibrium price volatility. Several findings of this study are as follows. First, considering supply shocks and the exogenous of noise trader participations, this study has proved that the negative correlation between capital gains tax and expectation price. Regarding the endogenous of noise trader participations have shown that the negative correlation between capital gains tax, price volatility and noise trader ratio. Moreover, the situation without supply shocks is also discussed. Finally, the thesis involves the parameter of the price slope of supply side, and thesis negative correlation between the price slope of supply side and noise trader ratio finds price volatility.