台北地區不動產價格波動與蛛網理論

Housing Price Volatility in the Taipei Area and Cobweb Theory

鑑於台灣的不動產市場景氣之劇烈變動，本研究探討台北地區的不動產價格波動。首先我們以蛛網理論之討論作為後續實證技術使用合理性之基礎，說明了在蛛網理論下，不動產價格波動性可能非定值，且預期心理會使不動產價格會呈現大小不同波動之情況。因此進而在實証上我們先利用ARCH及GARCH模型來估計不動產價格之異質條件變異數，証明不動產價格之波動性會隨著時間變動，再來我們續使用Markov-Switch-ARCH（SWARCH）模型估計，發現不動產價格在資料期間內至少並存兩種波動狀態，有時波動幅度較大而有時則僅會小幅波動，另外，高波動時期的波動幅度是另一種情況的九倍之多，但是在資料期間內僅出現六個時點為高波動時期，所以低波動時期才是不動產市場的常態。在這樣可能存在不同波動幅度的市場當中，交易者的風險也是會隨時間變動的，所以我們進一步使用ARCH-M模型觀察，波動性是否能解釋不動產預期價格的變動，結果發現的確在高風險會帶來高報酬的回饋。 This paper examines the volatile behavior of real estate prices in the Taipei area. First, cobweb theory is used to explain price volatility and justify our empirical analysis. We use cobweb theory to illustrate inconstant real estate prices and further explain the phenomenon of occasional high and low volatility caused by anticipation. In the empirical test, we use both ARCH and GARCH models to estimate price conditional heteroscedasticity in order to verify a time-varying property of real estate prices. We continue to use the SWARCH model and find that there are at least two states of volatility. The magnitude of the high volatility state is as high as nine times that of low volatility, but low volatility is the normal condition in the market. Because risk is time-varying in the market, we further use the ARCH-M model to observe whether volatility can explain the change in expected returns and find that indeed high risk can bring high return.