台北市中古屋價格與法拍屋拍定價格非對稱價格調整行為之研究

A Study on Asymmetric Price Adjustment for the Housing Prices and Auction Prices in Taipei

江淑玲(Shu-Ling Chiang)；蔡明憲(Ming-Shann Tsai)；張金鶚(Chin-Oh Chang)

共整合 ； 門檻效果 ； 法拍屋 ； 中古屋價格 ； Cointegration ； Threshold Effect ； Court Auction Properties ； Housing Prices

管理與系統

18卷2期（2011 / 04 / 01）

317 - 340

繁體中文

中古屋與法拍屋市場交易的房屋性質相近，家戶因自住與投資需求而在二手成屋市場的買賣行爲，將影響此兩市場的供給與需求，進而改變兩市場的房屋均衡價格，所以二者間應存在相關性。目前台灣關於房價的研究少見納入法拍屋市場的議題，本文因此針對兩市場的關係進行探討。台灣房地產市場的價格具多變性且存在結構性轉變，據此，傳統誤差修正模型將無法合理描繪出中古屋價格與法拍屋拍定價格的價格調整行爲與領先落後關係，爲合理與完整分析此兩變數非線性價格調整行爲，本研究以Hansen and Seo (2002)的門檻誤差修正模型進行此議題的探討。由結果發現，中古屋價格指數與法拍屋拍定價格指數間的確具有長期均衡關係，且門檻誤差修正模型的解釋能力相較於傳統誤差修正模型爲佳，因此門檻誤差修正模型的估計結果應能提供更具參考性的資訊。在門檻值前後，變數對於誤差修正的調整速度的確有所不同，變數之間的領先及落後關係亦有所差異。以文中代表性狀態的估計結果推論，這兩市場的價格應互爲領先落後的關係。但不論在哪個門檻階段，皆呈現法拍屋拍定價格指數的調整速度高於房屋價格指數的調整速度，故推論其可能原因爲投資客對資訊快速反應的買賣行爲，使得法拍屋市場進行誤差修正是較有效率的。

Because the traded houses in the housing market are similar to that in the court auctioned housing market, the household's living and investing demand for the houses will simultaneously affect the supply and demand of houses in these two markets, and then that leads to changes in the housing equilibrium prices. Based on this viewpoint, one may infer that the housing prices in these two markets are correlated. However, few researchers investigate the housing market taking the court auctioned housing market into account. This article, thus, intends to analyze the relationship between housing prices and auctioned housing prices. Some housing studies demonstrated that Taiwan's housing market have the changeable property and structural change. Using the tradition error correction model may not reasonably explain Taiwan's housing price behaviors. In order to more appropriately analyze the nonlinear relationship between housing prices and auctioned housing prices, this study analyzes Taipei's housing market by using Hansen and Seo (2002) threshold model. Since Hansen and Seo's model can estimate the unknown threshold level, we first use this model to directly estimate the threshold level, and then to discuss whether the adjustment behaviors and relationships of these two variables are the same in different disequilibrium regimes. According to the results, one can find that the long-term relationship exists between the housing prices and auctioned housing prices. The price behavior can be better explained by the threshold model than by the traditional error correction model. At the different threshold regimes, the adjustment speeds and lead-lag relationship are different. Because the typical regime in our study is the main situation that the error-correction of these two variables occurs, we conclude that these two markets have two-way lead-lag relationship. Moreover, the adjustment speed for the error correction is faster in the auctioned housing market than that in the housing market. The reason, which leads to efficient price-adjustment in the auctioned housing market, may be the investors behavior of fast responding to the market information.

1. Chen, M. C.,Patel, K.(2002).An Empirical Analysis of Taipei Area.Taiwan Economic Review,30(4),563-595.
   連結：
2. 江婷(2005)。法拍屋估價與價格之分析。土地問題研究季刊，4(2)，93-103。
   連結：
3. 張金鶚、王健安、陳憶茹(2008)。法拍屋折價之謎：市場競爭程度是否更能解釋折價？。交大管理學報，28(2)，1-39。
   連結：
4. 張梅英、鐘陳佳(2002)。住宅法拍屋屋屬性與拍定價格關係之研究─以台中市12樓以下集合住宅為例。土地問題研究季刊，1(2)，12-20。
   連結：
5. 彭芳琪、張金鶚、陳明吉(2008)。不同拍賣機制對不良資產價格之影響。中山管理評論，16(3)，401-428。
   連結：
6. 楊雅婷、彭建文(2003)。房價結構性改變之檢測─以台北縣、市房價為例。台灣土地研究，6(2)，43-60。
   連結：
7. 蔡怡純、陳明吉(2004)。台北地區住宅市場結構性轉變與價格均衡調整。都市與計畫，31(4)，365-390。
   連結：
8. Abelson, P.,Joyeux, R.,Milunovich, G.,Chung, D.(2005).Explaining House Prices in Australia: 1970-2003.The Economic Record,81(255),96-103.
9. Azevedo-Pereira, J. A.,Newton, D. P.,Paxson, D. A.(2003).Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation.Journal of Real Estate Finance and Economics,26(2/3),197-221.
10. Balke, N. S.,Fomby, T. B.(1997).Threshold Cointegration.International Economic Review,38(3),627-645.
11. Brown, J. P.,Song, H.,McGillivray, A.(1997).Forecasting UK House Prices: A Time Varying Coefficient Approach.Economic Modeling,14(4),529-548.
12. Buckley, R.,Ermisch, J.(1982).Government Policy and House Prices in The United Kingdom: An Econometric Analysis.Oxford Bulletin of Economics and Statistics,44(4),497-513.
13. Chen, M. C.,Tsai, I. C.,Chang, C. O.(2007).House Prices and Household Income: Do They Move Apart? Evidence from Taiwan.Habitat International,31(2),243-256.
14. Davies, R. B.(1987).Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative.Biometrika,74(1),33-43.
15. Drake, L.(1993).Modelling UK House Prices Using Cointegration: An Application of The Johansen Technique.Applied Economics,25(9),1225-1228.
16. Enders, W.,Siklos, P. L.(2001).Cointegration and Threshold Adjustment.Journal of Business and Economic Statistics,19(2),166-176.
17. Engle, R.,Granger, C.W.J.(1987).Cointegration and Error Correction: Representation, Estimation and Testing.Econometrics,55(2),251-276.
18. Guirguis, H. S.,Giannikos, C. I.,Anderson, R. I.(2005).The US Housing Market: Asset Pricing Forecasts Using Time Varying Coefficients.The Journal of Real Estate Finance and Economics,30(1),33-53.
19. Hall, S.,Psaradakis, Z.,Sola, M.(1997).Switching Error-Correction Models of House Prices in The United Kingdom.Economic Modelling,14(4),517-527.
20. Hansen, B. E.,Seo, B.(2002).Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models.Journal of Econometrics,110(2),293-318.
21. Hilliard, J. E.,Kau, J. B.,Slawson, V. C., Jr.(1998).Valuing Prepayment and Default in A Fixed-Rate Mortgage: A Bivariate Binomial Options Pricing Technique.Real Estate Economics,26(3),431-468.
22. Holly, S.,Jones, N.(1997).House Prices Since the 1940s: Cointegration, Demography and Asymmetries.Economic Modelling,14(4),549-565.
23. Johansen, S.(1988).Statistical Analysis of Cointegration Vectors.Journal of Economic Dynamics and Control,12(2-3),231-254.
24. Kau, J. B.,Keenan, D. C.,Muller, W. J., Ⅲ,Epperson, J. F.(1990).Pricing Commercial Mortgages and Their Mortgage-Backed Securities.Journal of Real Estate Finance and Economics,3(4),333-356.
25. Kau, J. B.,Keenan, D. C.,Muller, W. J., Ⅲ,Epperson, J. F.(1992).A Generalized Valuation Model for Fixed-Rate Residential Mortgages.Journal of Money, Credit and Banking,24(3),279-299.
26. Mayer, C. J.(1995).A Model of Negotiated Sales Applied to Real Estate Auctions.Journal of Urban Economics,38(1),1-22.
27. Meen, G. P.(1990).The Removal of Mortgage Market Constraints and The Implications for Econometric Modelling of UK House Prices.Oxford Bulletin Economics and Statistics,52(1),1-23.
28. Nellis, J. G.,Longbottom, J. A.(1981).An Empirical Analysis of Determination of House Prices in the United Kingdom.Urban Studies,18(1),9-21.
29. Samuelson, P. A.(1973).Proof That Properly Discounted Present Values of Assets Vibrate Randomly.The Bell Journal of Economics and Management Science,4(2),369-374.
30. Shefrin, H.,Statman, M.(1985).The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence.Journal of Finance,40(3),777-790.
31. 吳森田(1994)。所得、貨幣與房價─近二十年來台北地區的觀察。住宅學報，2，49-66。
32. 林秋瑾(1998)。預售屋與成屋價格關係之分析─市場效率之驗證。管理學報，15(4)，643-664。
33. 林秋瑾、黃瓊瑩(2007)。特徵價格法之參數與半參數電腦輔助大量估價（CAMA）模型之研究─台北地區法拍屋住宅市場之實證分析。住宅學報，16(2)，85-105。
34. 林祖嘉(2000)。亞洲金融風暴對台灣住宅市場與住宅金融之影響與衝擊。現代化研究，21，44-61。
35. 邱國勳、張金鶚(2003)。我國不良資產處理方式之研究。管理評論，22(1)，75-97。
36. 張金鶚、楊宗憲、洪御仁(2008)。中古屋及預售屋房價指數之建立、評估與整合─台北市之實證分析。住宅學報，17(2)，13-34。
37. 陳明吉(1990)。房地產價格變動因素之研究。台灣銀行季刊，41(2)，220-244。
38. 彭建文(2000)。政治大學地政研究所。
39. 賴碧瑩(2003)。從經濟及結構變遷探討房地產市場與總體經濟之關連性。中華民國住宅學會第十二屆年會論文集，台北:

1. 陳晏寧(2017)。臺灣法拍屋不同拍次之拍定價格與面積關係之探究。臺中科技大學財務金融研究所碩士班學位論文。2017。1-30。