台灣房市存在價格泡沫嗎？

ON THE EXISTENCE OF PRICE BUBBLES IN THE TAIWAN HOUSING MARKET

房價是近年來投資者與政府機關所重視的重大民生議題之一。自1993年至2009年台灣房市持續飆漲，其背後是否存在價格泡沫的現象，為本研究所欲探討之問題。我們應用Phillips et al. (2011)所提出之遞迴迴歸法，驗證房屋市場是否存在價格泡沫。此方法之優點為直接針對房價泡沫所隱含的輕微發散價格，動態驗證泡沫的存在性、發生與破滅；不需事先估計房市之基礎價值，因此得以避免一些傳統檢定所可能衍生的諸如假設、模型或代理變數誤設所致的偏誤。並且能夠立即地發現泡沫生成與破滅的時間。實證結果發現：台北市自2006年起，開始出現房屋價格泡沫的現象，但是在2008年金融海嘯後此現象隨即消失，隨後至2009年又再次有房屋價格泡沫的生成。然而，其他行政區的房市並無泡沫化之現象。本研究的結果顯示，這樣的方法有助於房價泡沫預警系統之建立，可讓政府主管機關能及早擬定因應政策，並且作為一般大眾投資房市之參考。

This study investigates the existence of price bubbles in Taiwan’s housing market during the period from 1993 to 2009. Without estimating the fair value from market fundamental proxies or pricing models, we test bubbles directly using the deduced dynamics properties from the housing prices by applying the modified recursive unit root test from Phillips et al. (2011). This approach not only identifies the origin and collapse dates of the bubble but also provides an early warning system of housing bubbles for the government in policy making and for the public in their decision making. Our empirical results indentified a bubble in the housing market in Taipei that originated in 2006 and burst in 2008. Moreover, we found a new bubble was forming again in 2009, though we find no supportive evidence of housing price bubbles in Taipei county, Taichung, Kaohsiung, and Taiwan, as a whole nation-wide housing market.