| 摘要註: |
本文主要將現值理論的概念延伸至房價以研究臺灣各縣市的房價成長率,從實際成長率與理論成長率之間差距來判斷,房價是否有偏離以總體變數推論而得的理論房價的趨勢,並瞭解有無泡沫化現象存在。利用兩階段迴歸分析,首先,由各縣市所得與基本要素變數以追蹤資料迴歸估計各縣市恆常所得,接著,以追蹤資料向量自我迴歸分析,在利率固定假設下,運用現值理論模型推導出最適名目房價估計值,並運用Granger因果關係檢定來討論變數間的因果關係,最後利用Wald檢定驗證預測的房價理論值是否與實際值相符。本文資料期間自2002年至2013年。實證結果指出,失業人口對恆常所得為負向衝擊;而就業者從業身分結構-雇主和就業者之教育程度結構-大專及以上皆對恆常所得為正向衝擊;且房價能Granger-cause恆常所得。房價的變動有偏離理論變動值,其中,臺北市為六都與新竹市等大都會區差異程度最大者;其次,宜蘭縣為北部縣市 (新竹縣、苗栗縣、宜蘭縣和基隆市) 差異程度最大者;再者,嘉義市為彰化縣以南縣市扣除直轄市差異程度最大者;最後,澎湖縣為東部 (臺東縣、花蓮縣) 及離島 (澎湖縣) 差異程度最大者。 In this paper, we use the present-value model to study the growth rate of housing prices for all cities and counties in Taiwan. We investigate the differences between the growth rate of real housing prices and the growth rate of the fundamental value that is derived from the macroeconomic variables to explore the housing bubbles. By means of the two-stage regression analysis, we firstly use income and its fundamental variables to estimate the fitted permanent income of all cities and counties in Taiwan. Then, under the assumption of constant interest rates, we utilize the present-value model to derive fitted nominal housing prices using the panel vector-autoregression model. Also, we adopt the Granger causality test to validate the causality of variables. Lastly, we apply the Wald test to verify whether the forecasts of housing prices are consistent with the actual prices.The data of this paper is from 2002 to 2013. The empirical results indicate that the unemployed population has negative impact while employer ratio and education have positive impacts to the permanent income. Besides, we also find that housing prices Granger cause the permanent income. The housing prices deviate from the theoretical values. The results show that the housing prices of Taipei city deviate more than those of New Taipei city, Taoyuan city, Hsinchu city, Taichung city, Tainan city and Kaohsiung city. Yilan county also deviates more than Hsinchu county, Miaoli county and Keelung city. Chiayi city deviates the most among the counties to the south of Changhua county but excluding Tainan and Kaohsiung city. Finally, Penghu county deviates more than Taitung and Hualien county. |