本文首先觀察亞洲五個城市(台北、東京、新加坡、首爾與香港)不動產價格之波動性,探討不動產是否具槓桿效果,其次再以風險值(Value at Risk;VaR)的觀點,衡量此五個城市不動產市場的下方風險,並藉由比較各城市之風險值大小,了解各區域不動產市場的風險。使用三種模型(歷史模擬法、常態分配法與條件異質變異數模型)在不同的信賴水準下,找出較能準確預測五城市房價風險之模型,並以回溯測試檢定各模型的預測能力。實證結果顯示,這五個城市之不動產僅以新加坡具槓桿效果。另外,三種模型在不同的信賴水準下表現有些微差異,並不存在單一模型能完全預測五城市之房價風險。
This article observe the volatility of real estate prices in five cities( Taipei, Tokyo, Singapore, Seoul and Hong Kong) in Asia, and discuss that whether there are leverage effects in the real estate market. We employ Value at Risk (VaR) to evaluate the downside risk of the real estate market and compare the VaR estimates with measurements of real estate price risk in these areas. We find an appropriate model that could predict the downside risk of five cities from three models in different confidence level. The main empirical results show that there is leverage effect only in Singapore and there is no universally appropriate VaR model that captures real estate risk in five cities.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。