台北地区不动产价格波动之不对称性探讨.pdfVIP

住宅學報第十七卷第二期 民國九十七年十二月 學術論著 第1 頁 11 頁 JOURNAL OF HOUSING STUDIES. VOLUME 17 NO. 2. DECEMBER 2008 台北地區不動產價格波動之不對稱性探討 An Analysis of the Asymmetric Volatility of Real Estate Price in the Taipei Area 蔡怡純* 陳明吉** I-Chun Tsai* , Ming-Chi Chen** 摘要 過去的文獻已說明，不動產價格波動性可能存在異質自我相關的現象，但對於不動產市 場相較於其他市場的最大優勢之一:抗跌性，卻鮮少有文獻以波動性的角度驗證它 O 本文的 目的即是，希望提出證據說明不動產價格的向下波動不對稱性，藉以驗證不動產市場的所謂 抗跌性 O 首先，本文使用台北地區1973 年第二季至2005年第二季的房價資料，選取適當的平 均數及變異數模型，以估計不動產價格報酬之異質條件變異數，而後，本文在模型內加入了 衡量波動性槓桿效果(leverage effect) 的變數，即使用T-GARCH模型，結果發現不動產市場的波 動性存在反向槓桿效果，亦即，當上一期發生與房價報酬相關的負面消息時，當期的報酬波 動性會變小，展現房價往下與往上波動的不對稱性，此結果說明，台北地區在資料區間內存 在房價抗跌的現象 O 關鍵詞:不動產價格、波動性、抗跌性、不對稱性、 T-GARCH ABSTRACT Although several articles have documented that there are heteroskedastic autocorrelations in the volatility of real estate pric肘， few of these papers depict one of the most commonly known advantages of the housing market , namely, its ability to be defensive from the viewpoint of vola- tile behavior. Therefore , this research seeks to examine “defensiveness in the housing market by providing evidence to show the asymmetric volatility between house prices moving up and down. First , we use the house price data for Taipei from the second quarter of 1973 to the second quarter of 2005 , and select the most suitable mean and variance equations to estimate the condi- tional heteroskedasticity volatility of the return on house prices. Furthermore , the leverage effect of the volatility variable is included in the model , i.e. , T-GARCH (the Asymmetric Autoregres sive Threshold GARCH) and then adopted. The result of the empirical test shows that there are antileverage effects in the volatilit