台北地區住宅市場結構性轉變與價格均衡調整

Structural Change in the Taipei Housing Market and Price Equilibrium Adjustment

蔡怡純(I-Chun Tsai) ； 陳明吉(Ming-Chi Chen)

《都市與計劃》 31卷4期 (2004/12) Pp. 365-390

https://doi.org/10.6128/CP.31.4.365

摘要

雖然過去有很多文獻討論國內房地產市場大幅波動與結構性轉變的情況，然而這些文獻所建構的住宅價格預測模型，均無法解決樣本外結構性轉變的問題。因此，本研究改良近年來常被使用於經濟預測的誤差修正模型，利用馬可夫轉換(markov-switching)方法和時變係數(time-varying coefficient)方法來改進此模型中調整係數之估計，經由此兩方式，我們得以觀察住宅價格在趨向長期均衡時的短期偏離，並且探討這樣結構性轉變的短期偏離是受到什麼因素的影響。本研究使用台北地區1973年至2002年的住宅價格資料，由馬可夫轉換模型的估計結果，發現在1973~1976、1978~1981、1989~1991和1994年這些期間都存在有住宅價格短暫偏離均衡水準的情況，而再藉由時變係數模型的估計後，更發現此住宅價格是否偏離均衡水準會受到總體市場貨幣供給量的影響。而在模型的配適度方面，我們發現，時變係數模型在樣本內與樣本外的表現都較佳，且與過去文獻的住宅價格模型比較，我們的模型在較精簡的條件下仍能提供較佳的預測能力。

關鍵字

結構轉變 ； 住宅價格 ； 時變係數 ； 馬可夫轉換

並列摘要

Although previous housing studies have discussed volatility and structural change in the Taiwan housing market, economic models built by these studies are handicapped in out-of sample forecasting when structural change occurs. Therefore, our paper aims to improve the error-correction model, which is commonly used in economic forecasting recently, by using both markov-switching and time-varying approaches on the estimation of the model coefficients. From these two approaches, we are able to observe when house price departs form long-run equilibrium and also which factors cause its deviation.
By using Taipei area house prices from 1973 to 2002, the markov-switching model finds that there are four periods of disequilibrium around 1973~1976, 1978~1981, 1989~1991 and in 1994. The application of the time-varying coefficient technique supports our presumption that the disequilibrium is caused by money supply. Our results suggest that the time-varying coefficient model provides a good estimation of house price volatility and an ex-post forecasting ability. Compared with previous models, although our models are concise they have better forecasting power.

並列關鍵字

Structural change ； House prices ； Time-varying coefficients ； Markov-switching

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