請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31114
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
dc.contributor.author | Kai-Wen Tsai | en |
dc.contributor.author | 蔡愷文 | zh_TW |
dc.date.accessioned | 2021-06-13T02:30:33Z | - |
dc.date.available | 2012-01-25 | |
dc.date.copyright | 2007-01-25 | |
dc.date.issued | 2007 | |
dc.date.submitted | 2007-01-25 | |
dc.identifier.citation | 中文部份
中華民國銀行公會與行政院金融監督管理委員會銀行局(2004), 《銀行自有資本之計算與自有資本標準之國際通則:修正版架構》, 138-139, 臺北市:財團法人臺灣金融研訓院。 吳修廉 (1994), 房地產景氣及其影響因素之研究, 碩士論文, 東海大學企業管理研究所。 林祖嘉 (1992), 臺灣地區房租與房價關係之研究, 《臺灣銀行季刊》, 43:1, 279-312。 林祖嘉 (1994), 臺灣地區住宅需求與租買選擇之聯合估計,《國立政治大學學報》, 68, 183-200。 林祖嘉與林素菁 (1994), 臺灣地區住宅消費性需求彈性與投資性需求彈性之估計,《住宅學報》, 2, 25-48。 林秋瑾 (1994), 穩健性特徵房屋價格模式之探討─異常點分析, 國科會研究報告。 林秋瑾, 楊宗憲與張金鶚 (1996), 住宅價格指數之研究─以臺北市為例,《住宅學報》, 4, 1-30. 林國民 (1996), 高雄市自有住宅特徵價格之研究, 碩士論文, 成功大學都市計畫研究所。 林惠玲與陳正倉 (2005),《統計學─方法與應用(下冊)》, 548-579, 臺北:雙葉書廊有限公司。 陳力維 (2000), 臺灣房地產價格變動因素之研究, 碩士論文, 淡江大學財金研究所。 陳明吉 (1989), 房地產價格及其變動因素之研究, 碩士論文, 政治大學地政研究所。 張金鶚與范垂爐 (1993), 房地產真實交易價格之研究, 《住宅學報》, 1, 75-97。 張金鶚與劉秀玲 (1993), 房地產品質價格與消費者物價指數之探討, 《國立政治大學學報》, 67, 369-400。 黃佩玲 (1994), 住宅價格與總體經濟變數關係之研究, 碩士論文, 政治大學地政研究所。 許湧澤 (1995), 臺北市房價與臺灣股價相關性研究, 碩士論文, 交通大學管理科學研究所。 辜炳珍 (1989), 《房地產價格指數查編之研究》, 行政院主計處。 彭建文 (2000), 臺灣房地產景氣循環之研究, 博士論文, 政治大學地政研究所。 楊忠欽 (1992), 大臺北地區房價決定模型之實證研究, 碩士論文, 淡江大學金融研究所。 楊宗憲 (1995), 住宅價格指數之研究, 碩士論文, 政治大學地政研究所。 鄭旭智等譯 (2002), J.S. Long著,《類別與受限依變數的迴歸統計模式》, 157-204, 205-257, 臺北市:弘志文化事業有限公司。 劉秀玲 (1992), 臺北市住宅品質對住宅價格影響關係之探討, 碩士論文, 中興大學都市計畫研究所。 劉振誠 (1986), 住宅價格影響因素之研究─以臺北市松山、中山、大安、古亭區為例, 碩士論文, 中興大學都市計畫研究所。 賴明宏 (1997), 影響房價因素之屬性特徵與總體變數分析, 碩士論文, 臺灣工業技術學院管理技術研究所。 英文部分 Adelman, I. and Z. Griliches, (1961), “On an index of quality change,” Journal of American Statistical Association, 56:295, 535-548. Alonso, W., (1964), Location and land use, Cambridge, mass.: Harvard University Press. Bailey, M.J., R.F. Muth, and H.O. Nourse, (1963), “A regression method for real estate price index construction,” Journal of the American Statistical Association, 58, 933-942. Becker, G..S., (1965), “A theory of the allocation of time,” Economic Journal, 75, 493-517. Blackley, D.M., J.R. Follain, and H. Lee, (1986), “An evaluation of hedonic price indexes for thirty-four large SMSAs,” Journal of the American Real Estate and Urban Economics Association, 14:2, 179-205. Case,B., H.O. Pollakowski, and S.M. Wachter, (1991), “On choosing among house price index methodologies,” Journal of the American Real Estate and Urban Economics Association, 19:3, 287-308. Case,B. and J.M. Quigley, (1991), “The dynamics of real estate prices,” The Review of Economics and Statistics, 73:1, 50-58. Clapp, J.M., C. Giaccotto and D. Tirtiroglu, (1991), “Housing price indicies: based on all transactions compared to repeat subsamples,” Journal of the American Real Estate and Urban Economics Association, 19:3, 270-285. Coulson, N.E., (1992), “Semiparametric estimates of the marginal price of floorspace,” Journal of Real Estate and Economics, 75-82. Court, A.T., (1939), “Hedonic price indexes with automotive examples,” the Dynamics of Automobile Demand, 99-117, New York:General Motors Corporation. Do, A.Q., R.W. Wilbur and J.L. Short, (1994), “An empirical examination of externalities of neighborhood churches on housing values,” Journal of Real Estate Finance and Economics, 9:2, 127-136. Evans, A.W., (1973), The economics of residential location, London:MacMillan Publishers Limited. Fleming, M.C. and J.G.. Nellis, (1984), “The Halifax price index – technical details,” Halifax:Halifax Building Society. Goldstein, M. and E. Nelling, (1999), “REIT return behavior in advancing and declining Markets,” Real Estate Finance, 15, 68-77. Griliches, Z., (1971), Price indexes and quality change: studies in new methods of measurement, 3-15, 55-87, Cambridge, MA.:Harvard University Press. Haurin, D.R. and P.H. Hendershott, (1991), “House price indexes: issues and results,” Journal of the American Real Estate and Urban Economics Association, 19:2, 259-269. Hill, R.C., J.R. Knight and C.F. Sirmans, (1997), “Estimating capital asset price indexes,” The Review of Economics and Statistics, 79, 226-233. Lancaster, K.J., (1966), “A new approach of comsumer theory,” Journal of Political Economics, 74, 132-157. Mark, H.J. and M.A. Goldberg, (1986), “A study of the impacts of zoning on housing values over time,” Journal of Urban Economics, 20, 257-273. McCue, E.T. and J.L. Kling, (1994), “Real estate returns and the macro economy: some empirical evidence from real estate investment trust date, 1972-1991,” The Journal of Real Estate Research, 9, 277-288. McDonald, J.F., (1980), “The use of proxy variables in housing price analysis,” Journal of Urban Economics, 7:1, 75-83. Meese, R.A. and N.E. Wallace (1991), “Nonparametric estimation of dynamic hedonic price models and the construction of residential housing price indices,” Journal of the American Real Estate and Urban Economics Association, 19:3, 308-332. Mills, E.S., (1972), “Markets and efficient resource allocation in urban areas,” The Swedish Journal of Economics, 74:1, 100-113. Mills, E.S. and R. Simenaner, (1996), “New hedonic estimates of regional constant quality house prices,” Journal of Urban Economics, 39, 209-215. Muellbauer, N.J. and A. Murphy (1997), “Booms and busts in the UK housing market,” The Economic Journal, 1701-1727. Muth, R.F., (1969), Cities and housing, Chicago IL:The University of Chicago Press. Nelson, J.P., (1978), “Residential choice, hedonic price, and the demand for urban air quality,” Journal of Urban Economics, 5, 357-369. Palmquist, R.B., (1980), “Hedonic price and depreciation indexes for residential housing: a comment,” Journal of Urban Economics, 6:2, 267-271. Palmquist R.B., (1991), “Hedonic methods in measuring the demand for environmental quality (Braden J.B. and C.D. Kolstad eds.),” 77-119, Amsterdam, North-Holland:Elsevier Science Publishers B.V.. Rosen, S., (1974), “Hedonic prices and implicit markets:product differentiation in pure competition,” Journal of Political Economy, 82, 34-55. Stull, W.J., (1975), “Community environment, zoning and the market value of single-family homes,” Journal of Law and Economics, 18:2, 535-557. Thibodeau, T.G.., (1989), “Housing price indexes from the 1974-1983 SIMSA annual housing surveys,” Journal of the American Real Estate and Urban Economics Association, 17:1,100-117. Wallace, N.E., (1996), “Hedonic-based price indexes for housing: theory,estimation, and index construction,” Economic Review,3, 34-48, Federal Reserve Bank of San Francisco. Waugh, F.V., (1928), “Quality factors influencing vegetable prices,” Journal of Farm Economics, 10:2, 185-196. Waugh, F.V., (1929), Quality as a determinant of vegetable prices: a statistical study of quality factors influencing vegetable prices in the Boston wholesale market, New York:Columbia University Press. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31114 | - |
dc.description.abstract | 房地產市場充滿各種名目的不動產價格,使得市場上價格資訊相當難以釐清,究竟是品質造成的差異,或是純粹價格波動造成的差異。為資訊流通與產業發展,國內在民國83年和92年分別由信義房屋和國泰建設公佈了相關的不動產價格指數,惟前者雖以中古屋資訊為主,惜囿於成交案例規模有限,指數代表性程度有所限制;後者則以新建房屋資訊為主,指數編製目的與實務應用上,畢竟與次級市場有別。
在新巴塞爾協定(BASEL II)第一支柱合格企業型暴險部位擔保品的規範中,銀行應經常或至少每年一次監控擔保品價值,評估的統計方法有參考房屋價格指數或取樣,可用於更新估價,或判別價值已下跌有重估必要之擔保品。如何幫助銀行業者建立重估擔保品的機制,使得既能符合新巴塞爾協定的風險管理要求,又能在實務上增進銀行業者經營利益,是本論文的主要目的。 特徵價格理論與傳統效用理論最大的不同處在於,傳統理論中財貨被視為效用的直接對象,而特徵價格理論將財貨分解成許多特徵,以這些特徵作為效用的主體。這些特徵被視為具同質性的經濟變數,必須為買賣雙方所清楚了解並認定其價值。消費者購買市場財貨當作一種投入,而產出則是一群特徵的組合,效用或偏好順序依特徵的多寡而定。 本論文主要利用特徵價格法求得住宅屬性的單位價格,並以典型住宅的方式表達固定房屋屬性品質下的價格,藉由指數公式整合不動產價與量的變動。本論文以民國93年第二季為基期和市場公布同樣採拉氏指數編製的指數作比較。實證結果顯示,以彙總資料結構估算各季別擔保品時價相對變動幅度時,民國93年第二季至同年第四季實質擔保品住宅價格之漲幅,約夾在中古屋漲勢(以信義房價指數代表)與預售屋漲勢(以國泰房地產指數代表)之間;民國94年起開始上揚,與預售屋漲勢(以國泰房地產指數代表)相較幅度更勝,應與積極的房貸授信政策相關。民國95年第三季實質上漲了30%,應與隨房貸信用政策限縮,擔保品承作區域集中於精華地段有關。以自建模型產出結果計算的不動產指數走勢與市場公布的中古屋指數(以信義房價指數代表)相近,惟自建指數的相對變動幅度小,應與資料來源機構之業務性質相關。 | zh_TW |
dc.description.abstract | The real estate market abounds with many kinds of nominal housing price, and that leads to difficultly identify the differences between quality change and pure price change. In order to have the information transmitted fluently and the sound industry development, the relevant housing indexes were announced regularly by Sin-Yi Realty Inc. and Cathay Real Estate Development Co., ltd.. in 1984 and 2003 respectively. But it is a pity that the Sin-Yi housing index is limited by the number of transaction cases, and it contains only the second-house infomation. Similarly, the appliance and object of the Cathay RED housing index, are mainly from the new-house infomation, and significantly different from that in the second-hand market.
Subject to meeting the definition of Pillar I qualified residential real estate collateral, as Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework in June 2004, the bank is expected to monitor the value of the collateral on a frequent basis and at a minimum once every year. Statistical method of evaluation (e.g. reference to house price indices, sampling) may be used to update estimates or to identify collateral that may have declined in value and may need re-appraisal. The main purpose in the thesis is not only to meet the requirement for recognition of the risk management, but also to improve the bank’s marginal benefit. Hedonic price method is based on the realization that some goods (e.g. house) of factors of production are not homogeneous and could differ in numerous characters. In the traditional theory, goods are regarded as the direct object to utility. The characters from the goods which are considered to represent the homogeneous economy variables must be generally accepted and revealed the information from both parties. With the above background, the purpose of this thesis is to construct housing price index by examining the functional relationship between the housing prices and their attributes. The attributes must take specific characters into account, for example, size, floor, age, accessibility … etc.. The estimated housing price is then calculated for the weighted housing index, and it is compared with the announced housing index in the market. By using the internal database, any moderate bank may utilize this housing price index model constructed by the thesis to meet the requirement of the risk management and the evaluation of the housing price appraisals. In this thesis, We try to use Hedonic Price Method (HPM) to get the implicit prices of the residential attributes. We could express the trend of the change in the housing price on the basis of controlling the quality of the residential attributes from the idea of typical-house. By taking the second season in 2004 as a base quarter, and to compare with the housing price index announced regularly by Sin-Yi Realty Inc., it showed that both have the same trend. And it implies that the housing price index from the empirical model seems to have a leading effect on the turning point judging from the graph of periods. In pooled cross-section data structure, it is discovered that the percentage change is almost 30% in the third quarter of 2006, which exceeds the new-house rising rate by the Cathay RED housing index. These phenomena are the results from the policy that limits the credit loan and transactions heavily focused on the A-class section in Taipei. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T02:30:33Z (GMT). No. of bitstreams: 1 ntu-96-P93323004-1.pdf: 1288019 bytes, checksum: 6b33b1a0124fbfa76a141f3cb1d58cc4 (MD5) Previous issue date: 2007 | en |
dc.description.tableofcontents | 口試委員會審定書…………………………………..…………………………… i
誌謝……………………………………………………..…………………………. ii 中文摘要…………………………………………………...……………………… iii 英文摘要……………………………………………………..……………………. iv 目錄…………………………………………………………….…………………. vi 圖目錄…………………………………………………………………………… viii 表目錄……………………………………………………………………..…….… x 第一章 緒論……………………………………………………………...……… 1 第一節 研究動機與目的.…………………………………………...…….… 1 第二節 研究對象與範圍………………………………………….………… 3 第三節 研究流程…..…………………………….…………………..……… 4 第二章 文獻回顧………………………………………………………………… 6 第一節 住宅價格……….…………………………………………….……... 6 第二節 一般價格指數的編製……………………………………………..… 8 第三節 不動產價格指數的編製…………………………………………… 14 第四節 小結……………………………………………….……………...… 21 第三章 理論架構與研究方法…………………..….…….…….…..…….…… 24 第一節 特徵價格理論….……………………….………………………….. 24 第二節 影響住房價格之特徵…………………………….……………..…. 30 第三節 函數型態設定…….……………………….……………………….. 31 第四節 不動產價格指數之建立…………………………….…...………… 33 第四章 實證分析……………………………………………………….…… 37 第一節 資料來源及特色.………………………………….………..……… 37 第二節 變數說明..………………………………………………………….. 47 第三節 特徵房價模型…………..……………..………..……………………51 第四節 典型住宅特徵屬性質量...…………………………………………...56 第五節 不動產價格指數之實證結果………………………………………..59 第五章 結論與建議…………………….………………………………………...79 第一節 結論……………..…………………………………………………... 79 第二節 研究限制與建議……………………………………………………..81 參考文獻………………………………..…………………………………………. 83 中文部份……………………………………………………………...…….…83 英文部份………………………………………………………………………85 附錄…………………………………………………………………………….….. 89 附錄一 各模型實證結果…………………………………………………... 89 附錄二 國內外不動產指數………………………………………………. 104 附錄三 總體環境與指數走勢比較………………………………………..111 | |
dc.language.iso | zh-TW | |
dc.title | 不動產指數模型與資產重估 | zh_TW |
dc.title | Housing Price Index Model and Bank Collateral Revaluation | en |
dc.type | Thesis | |
dc.date.schoolyear | 95-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 吳中書(Chung-Shu Wu),周雨田(Yu-Tien Chow),姚睿(Juey Yiao) | |
dc.subject.keyword | 新巴塞爾協定,特徵價格法,典型住宅,不動產價格指數, | zh_TW |
dc.subject.keyword | Basel II,Hedonic Price Method,typical-house,housing price index, | en |
dc.relation.page | 113 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2007-01-25 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-96-1.pdf 目前未授權公開取用 | 1.26 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。