摘要

　　對眾多投資人而言，股票市場與房地產市場是重要的兩個投資標的，而房地產投資金額占所得比例相當大，在進行投資決策時，相對其他資產，必須更謹慎的做好投資分析。Case and Shiller (2003)提出民眾普遍預期未來房價上揚容易造成房市泡沫，此時的房價並非奠定在基本要素價格(fundamental price)提高，且一旦出現外力衝擊，如政策改變，需求不振將導致資產價格崩跌，嚴重導致投資人的投資金額大額損失。

　　鑒於過去許多文獻研究房地產市場泡沫化現象時，鮮少考慮到房地產市場是否已發生結構性改變。然而，房價是否發生結構性改變對於房價預測準確度有相當重大的影響，為了建立出一套更精確的房地產泡沫檢測機制，本論文透過Bai and Perron(1998)多次結構性改變檢測方法事先針對美國1991年一月至2009年十二月之房價進行結構性檢測，並且深入探討造成房價結構性改變之原因。另外，透過房價所得資產現值模型，納入狀態空間模型(State-space model)來建立房地產基本價值模型分析泡沫化現象，亦進一步去探討以往認為是泡沫化之現象，是否在考量結構性改變後與過去文獻有所牴觸？一旦發生結構性改變，奠定房價基本價格的要素亦可能發生改變，當計算房地產價值時應該配合不同時期的因子，才能做出正確的投資決策。

Abstract

In the past, most kinds of the studies about the housing bubble were seldom considering whether the real estate market had taken place the structural changing. However, it has a significant influence in predicting house price. In order to set up a more specific system that can help to find the housing bubble effect, we use the Bai and Perron (1989, 2003) methodology to test for multiple structural breaks in the housing prices for US starting from January 1991 to October 2009. Besides, through the affecting of the house price we use the state-space model to examine the basic value of the real estate bubbling phenomenon. If there occurred structural changing, the factors of the house’s basic value would be varied, as well. As accounting for the price of the real estate, we must match with different phase of factors, so that we can make a correct investing decision.

目錄

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究範圍與方法 3
第三節 研究流程圖 5
第二章 理論基礎與文獻回顧 6
第一節 理論基礎 6
第二節 文獻回顧 14
第三章 總體經濟環境分析 20
第一節 產業結構之變遷 20
第二節 房價影響因素分析 24
第四章 計量方法理論說明 28
第一節 多次結構性改變檢測方法 28
第二節 房價資產現值模型之建立 33
第三節 狀態空間模型與卡門濾波法 35
第五章 檢測結果與實證分析 40
第一節 資料收集與整理 40
第二節 房價結構性改變之檢測 41
第三節 房價結構性改變之社經背景分析 45
第四節 房價泡沫化檢測 46
第六章 結論 59
參考文獻 60

參考文獻

張金鶚 (2003)，「房地產投資與市場分析: 房地產市場分析」

張金鶚,陳明吉,鄧筱蓉,楊智元 (2009)，「台北市房價泡沫知多少？—房價vs.租金、房價vs.所得」，住宅學報，第八卷第二期，第1頁至第22頁。

楊雅婷,彭建文 (2004)，「房價結構性改變影響之檢測-以台北市, 台北縣房價為例」，台灣土地研究，第六卷第二期第43頁至第60頁。

賴碧瑩 (2003)，「從經濟結構變遷探討房地產市場與總體經濟之關連性」，2003年中華民國住宅學會第十二屆年會論文集，第45頁至第62頁。

馬毓駿 (2009)，「美國房地產市場泡沫現象之研究」，研討會論文。

Andrews, Donald W. K.; Fair, Ray C. (1988), “Inference in Nonlinear Econometric Models with Structural Change”, Review of Economic Studies, v. 55, iss. 4, pp. 615-39.

Andrews, Donald W. K. (1993), “Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models”, Econometrica, v. 61, iss. 1, pp. 139-65.

Andrews, Donald W. K.; Ploberger, Werner (1994), “Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative”, Econometrica, v. 62, iss. 6, pp. 1383-1414.

Arshanapalli, Bala; Nelson, William (2008), ”A Cointegration Test to Verify the Housing Bubble”, International Journal of Business and Finance Research, v. 2, iss. 2, pp. 35-43.

Bai, Jushan; Perron, Pierre (2003), ”Critical Values for Multiple Structural Change Tests”, Econometrics Journal, v. 6, iss. 1, pp. 72-78.

Bai, Jushan; Perron, Pierre (1998), ”Estimating and Testing Linear Models with Multiple Structural Changes”, Econometrica, v. 66, iss. 1, pp. 47-78.

Bai, Jushan; Perron, Pierre (2003), ” Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, v. 18, iss. 1, pp. 1-22.

Baffoe-Bonnie, John (1998),” The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis”, Journal of Real Estate Finance and Economics, v. 17, iss. 2, pp. 179-97.

Black, Angela; Fraser, Patricia; Hoesli, Martin (2006), “House Prices, Fundamentals and Bubbles” Journal of Business Finance and Accounting, v. 33,iss. 9-10, pp. 1535-55.

Case, Karl E.; Quigley, John M. (2005), “Comparing Wealth Effects: The Stock Market versus the Housing Market”, Journal of Macroeconomics: Advances in Macroeconomics, v. 5, iss. 1, pp. 1-32.

Case, Karl E.; Shiller, Robert J. (2003), “Is There a Bubble in the Housing Market?”, Brookings Papers on Economic Activity, iss. 2, pp. 299-342.

Canarella, SM Miller, SK Pollard (2010), ” Unit Roots and Structural Change: An Application to US House-Price Indices”, Working papers, 2010.

Diba, Behzad T.; Grossman, Herschel I. (1988), ” The Theory of Rational Bubbles in Stock Prices”, Economic Journal, v. 98, iss. 392, pp. 746-54

Engle, Robert F.; Granger, Clive W. J. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, March 1987, v. 55, iss. 2, pp. 251-76

Englund, Peter; Hwang, Min; Quigley, John M. (2002), “Hedging Housing Risk”, Journal of Real Estate Finance and Economics, v. 24, iss. 1-2, pp. 167-200.

Enders, Walter; Chumrusphonlert, Kamol (2004), “Threshold Cointegration and Purchasing Power Parity in the Pacific Nations”, Applied Economics, v. 36, iss. 9, pp. 889-96

Flavin, Marjorie; Yamashita, Takashi (2002), “Owner-Occupied Housing and the Composition of the Household Portfolio” , American Economic Review, v. 92, iss. 1, pp. 345-62.

Granger, C. W. J.; Newbold, P (1974), “Spurious Regressions in Econometrics”. Journal of Econometrics , v. 2, iss. 2, pp. 111-20

Gallin, Joshua (2006), ” The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets”, Real Estate Economics, v. 34, iss. 3, pp. 417-38.

Kindleberger, Charles P. (1988),” The Financial Crises of the 1930s and the 1980s: Similarities and Differences”, Kyklos, v. 41, iss. 2, pp. 171-86.

Lumsdaine, Robin L.; Papell, David H.(1997), “Multiple trend breaks and the unit-root hypothesis”, Review of Economics and Statistics , v. 79, iss. 2, pp. 212-18.

Maddala,In-Moo Kim (1998), “Unit roots, cointegration, and structural change”

Major; LaCour-Little, Michael; Vandell, Kerry D. (2008), ” Subprime Lending and the Housing Bubble: Tail Wags Dog?”, Journal of Housing Economics, v. 17, iss. 4, pp. 272-90.

Mikhed, Vyacheslav; Zemcik, Petr (2009), “Testing for Bubbles in Housing Markets: A Panel Data Approach”, Journal of Real Estate Finance and Economics, v. 38, iss. 4, pp. 366-86.

Nelson, Charles R. and Charles I. Plosser (1982), “Trends and random walks in macroeconomic time series: Some evidence and implications”, Journal of Monetary Economics 10, 139-162.

Phillips, P. C. B.; Durlauf, S. N. (1986), “Multiple Time Series Regression with Integrated Processes”, Review of Economic Studies, v. 53, iss. 4, pp. 473-95

Perron, Pierre (1989), ” The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, v. 57, iss. 6, pp. 1361-1401.

Rappoport, Peter; Reichlin, Lucrezia (1989), “Segmented Trends and Non-stationary Time Series”, Economic Journal, v. 99, iss. 395, pp. 168-77.

Samuelson, Paul A. (1973), “Proof that Properly Discounted Present Values of Assets Vibrate Randomly”, Bell Journal of Economics, v. 4, iss. 2, pp. 369-74

Stock, James H.; Watson, Mark W. (1988), “Variable Trends in Economic Time Series”, Journal of Economic Perspectives, Summer 1988, v. 2, iss. 3, pp. 147-74

Stiglitz, Joseph E.(1990), “Symposium on Bubbles”, Journal of Economic Perspectives, v. 4, iss. 2, pp. 13-18.

Wheaton, William C.; Nechayev, Gleb (2008), ” The 1998-2005 Housing 'Bubble' and the Current 'Correction': What's Different This time?”, Journal of Real Estate Research, v. 30, iss. 1, pp. 1-26.

State-space models with regime switching : classical and Gibbs-sampling approaches with applications, Chang-Jin Kim and Charles R. Nelson. Cambridge, Mass.(1999) : MIT Press.

資本主義的代價：後危機時代的經濟新思維，巴伯拉 (Barbera, Robert J.)(2009), 麥格羅.希爾出版。

葛林斯班的泡沫：美國經濟災難的真相，佛萊克斯坦 (Fleckenstein, William A.)(2008)，麥格羅.希爾出版。

房子惹的禍—金融海嘯起因、分析、終結，葛萊姆．特納 (2009)，繁星多媒體出版。