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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 王泓仁(Hung-Jen Wang) | |
dc.contributor.author | Chi Chen | en |
dc.contributor.author | 陳琦 | zh_TW |
dc.date.accessioned | 2021-06-17T08:24:24Z | - |
dc.date.available | 2020-08-16 | |
dc.date.copyright | 2019-08-16 | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019-08-13 | |
dc.identifier.citation | 王泓仁(2005),“台幣匯率對我國經濟金融活動之影響”,中央銀行季刊, 27(1),13-45
吳森田(1994), “所得、貨幣與房價-近二十年台北地區的觀察”,住宅學報,2,49-66。 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,18(2),1-22 彭建文、張金鶚 (2000), “總體經濟對房地產景氣影響之研究”。國家科學委員會研究彙刊:人文及社會科學,10(3),330-343。 鄧筱蓉(2017),“房市泡沫與總體經濟關係”,住宅學報,26(2),27-50 Aoki, K., Proudman, J., Vlieghe,G., 2004, “House Prices, Consumption and Monetary Policy: A Financial Accelerator Approach”, Journal of Financial Intermediation,13(4),414-435 Ayuso, J., Restoy, F., 2006 , “House prices and rents: An equilibrium asset pricing approach”, Journal of Empirical Financial, 13, 371-388 Campbell, J. Y.,1991, “A Variance Decomposition for Stock Returns”, Economic Journal, 101, 157-179 Campbell J. Y. and R. J. Shiller, 1988, “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors”, Review of Financial Studies, 1(3), 195-228. Campbell J. Y. and J. Ammer, 1993, “What Moves the Stock and Bond Markets? A Variance Decomposition for Long-term Asset Returns”, Journal of Finance, 48(1), 3-37. Campbell S. D., M. A. Davis, J. Gallin, and R. F. Martin, 2009, “What Moves Housing Markets: A Variance Decomposition of the Rental yield”, Journal of Urban Economics, 66(2), 90-102. Chen S. H., Chen Y. N., 2016 “What Drives the Housing Markets in China: Rent, Cost of Capital, or Risk Premium of Owning versus Renting?”, preliminary draft Froot, K. A., and M. Obstfeld, 1991, “Intrinsic Bubbles: The Case of Stock Prices”, American Economic Review, 81(5), 1189-1214. Gallin, J. 2003, “The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets”, Board of Governors of the Federal Reserve Discussion Paper 2003-2017. Hendershott P. and J. Slemrod, 1983, “Taxes and the User Cost of Capital for Owner-Occupied Housing”, Journal of the American Real Estate and Urban Economics Association, 10(4), 375-393. Hiebert P. and M. Sydow, 2011, “What Drives Returns to Euro Area Housing? Evidence from a Dynamic Dividend-discount Model”, Journal of Urban Economics, 70(2), 88-98. Himmelberg, C., Mayer, C., Sinai, T., 2005, “Assessing high house prices: bubbles, fundamentals, and misperceptions’’ Journal of Economic Perspectives, 19 (4), 67–92. Sinai, T., Souleles, N., 2005, “Owner-Occupied Housing as a Hedge Against Risk”, Quarterly Journal of Economics, 120, 763-789 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/74208 | - |
dc.description.abstract | 我們使用資產現值模型估算台北市房價租金比的基本面,運用 Campbell and Shiller (1988) 現值模型套入房屋資產,並且加入使用者成本模型,拆解出預期持有房屋報酬所隱含的資訊,得到房價租金比由預期未來租金的成長率、預期資本成本、預期擁屋相對於租賃的風險溢酬所決定。我們使用台北市的房價季資料進行實證分析,將實際價格與基本面價格的差定義為泡沫,並觀察自1994至2018年台北市房價泡沫的走勢。最後,藉由變異數分解的方法,找出影響台北市房價最主要的因素。我們的結果顯示,資本成本為1994至2018年影響台北房價租金比的主因,並且我們分析台北房價在不同時期,金融危機前後受到各變數的影響。在1994至2008年,資本成本的影響仍是房價漲跌主要的因素,顯示利率對房價的重要程度;但在近十年2009至2018年,持有房屋報酬成為影響台北市房價最主要的因素。 | zh_TW |
dc.description.abstract | We used present value asset model to estimate the fundamental of price-rent ratio in Taipei city. By applying Campbell and Shiller (1998) present value model in housing market and adding user cost model to find out the implied information in expected housing return. The price-rent ratio is determined by expected future growth rate, expected cost of capital, and expected risk premium of owning versus renting. We apply a quarterly dataset of housing market in Taipei city from 1994 to 2018 in empirical study. To observe the housing bubble in Taipei city, we define the difference between real price and fundamental as the housing bubble. Eventually, applying the variance decomposition approach to examine the main factor in Taipei housing market. Our results show that during 1994 to 2018 cost of capital is the main factor in price-rent ratio of Taipei city, and we also analyze the price-rent ratio in Taipei in different period, especially the influence before and after financial crisis. In 1994 to 2008, cost of capital also playing the vital role in price-rent ratio that indicates the importance of interest rate in housing market; in 2009 to 2018 housing return playing the vital role in Taipei housing market. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T08:24:24Z (GMT). No. of bitstreams: 1 ntu-108-R06323025-1.pdf: 1015609 bytes, checksum: a169f1f9633070542f8f2f7fd47cc7e1 (MD5) Previous issue date: 2019 | en |
dc.description.tableofcontents | 口試委員會審定書…………………………………………………………………… i
中文摘要……………………………………………………………………………… ii 英文摘要……………………………………………………………………………… iii 目錄…………………………………………………………………………………… iv 圖目錄………………………………………………………………………………… v 表目錄………………………………………………………………………………… vi 第一章 前言…………………………………………………………………………… 1 第二章 理論模型……………………………………………………………………… 4 第一節 房價租金比現值模型………………………………………………… 4 第二節 使用者成本模型……………………………………………………… 5 第三章 資料建構與計量方法………………………………………………………… 9 第一節 資料的建構…………………………………………………………… 9 第二節 計量方法(VAR)…………………………………………………… 10 第四章 估計結果……………………………………………………………………… 12 第一節 實際與估算房價租金比……………………………………………… 12 第二節 變異數分解—房價租金比的變異性來源…………………………… 15 第五章 結論…………………………………………………………………………… 20 參考文獻……………………………………………………………………………… 21 | |
dc.language.iso | zh-TW | |
dc.title | 房價泡沫與影響房價因素的估計-以台北市為例 | zh_TW |
dc.title | Estimation of housing bubble and the factor moves in housing market – A case study for Taipei city | en |
dc.type | Thesis | |
dc.date.schoolyear | 107-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 陳南光(Nan-Kuang Chen) | |
dc.contributor.oralexamcommittee | 李怡庭(Yi-ting Li),盧信銘(Hsin-Min Lu) | |
dc.subject.keyword | 房價租金比,房價泡沫,資本利得,資本成本,利率, | zh_TW |
dc.subject.keyword | House price-rent ratio,Housing bubble,Capital gain,Cost of capital,Interest rate, | en |
dc.relation.page | 22 | |
dc.identifier.doi | 10.6342/NTU201903181 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2019-08-13 | |
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 |
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