房價之不對稱均衡調整：門檻誤差修正模型應用

Asymmetric Adjustment of House Prices: An Application of Threshold Error Correction Model

在房價時間序列的變動中，有一個實務上常見但文獻上少有討論的現象是，房價追漲不追跌或所謂房價抗跌的情況，此特性若存在則隱含著，傳統的房價誤差修正模型中，所估計的單一均衡調整係數，將無法適當捕捉房價向上與向下之不對稱動態調整，因此引發了本研究分析房價調整速度不對稱之動機。本文首先解釋房價均衡調整之非線性現象可能是來自於不動產投資的兩個特性，其一為市場交易者之非理性，另一則為市場流動性在景氣與不景氣下的變化。續而，本研究使用線性與非線性整合分析觀察，是否房價對均衡狀態的調整有上下不對稱的情況，最後，本文使用門檻共整合及不對稱門檻誤差修正模型，發現房價的修正的確是存在向上與向下整合差異的情況，且其向上修正速度顯著比向下修正快速，驗證房價有追漲不追跌，即抗跌的現象存在。 A house price behavior that few studies discussed is over-reaction in upturn but under-reaction in downturn. This phenomenon will cause an incorrect estimation of error correction term in traditional linear error correction term model. Therefore, it is important to analyze asymmetric adjustment of house prices. Our study first uses behavioral theory and illiquidity characteristics to explain the asymmetric adjustment. We estimate both traditional and threshold error correction model, and compare the coefficients of the error correction terms. We have a more significant error correction term in threshold model and indeed house price is asymmetrically adjustment. House price tend to overreact in upturn and underreact in downturn.