房市之錯誤定價——貨幣幻覺或市場對未來景氣觀感？

Mispricing in the Housing Market–Money Illusion or Market Perception?

本文參考房市錯誤定價的公式，以向量自我迴歸（vector autoregression; VAR）及Bayesian VAR模型，檢驗其與通貨膨脹率之間的關係，來佐證貨幣幻覺之存在與否，並分析房市錯誤定價的程度與（1）房價租金比、（2）租金成長率、（3）房價報酬率、及（4）通貨膨脹率等變數的相關性。其次，加入經濟信心指數（Economic Sentiment Indicator, ESI）及其組成成分指數在迴歸式中，測試市場對未來景氣的觀感，與房市錯誤定價的影響。結果發現，英國房市的錯誤定價與通貨膨脹率，僅存在不顯著的負相關性，而與ESI及其四項組成成分指數，均呈現顯著的正相關性。即市場對未來景氣越表樂觀，房價租金比之主觀預期值越高，或房價越容易被高估。然而，不論解釋變數為何，通貨膨脹率皆與錯誤定價呈現不顯著的負相關，不足以佐證或支持貨幣幻覺的假說。

We derive a formula for mispricing in the housing market and examine the impact of the inflation rate on mispricing to test the money illusion hypothesis, that asset mispricing results mainly from the inflation rate, and a significantly negative relationship between these two is expected. We employ a Bayesian VAR model to estimate the mispricing in the UK housing market, and regress the estimator on the inflation rate and Economic Sentiment Indicator (ESI) as a proxy for market perception. Our results show that house mispricing in the UK has a significantly positive relationship with the ESI and its component the Confidence Indicators of the Consumer, Retail Trade, Construction, and Services. We find no evidence to support the money illusion hypothesis with there only being an insignificantly negative relationship between mispricing and the inflation rate. Our results can shed light on the formation and dynamic process of house mispricing.