| Summary: | 碩士 === 國立屏東商業技術學院 === 不動產經營系 === 95 === There is heavy trading in the real estate market. People are going ponder whether supply is greater than demand in the housing market, whether the Real estate cycle is too hot and has the cycle reached is peak? If we can forecast the peaks and troughs of cycle accurately, it would be of great benefit to policy-makers and the investors.
In this study, we adopt the Composite Leading Index of Taiwan’s real estate cycle which includes the investment, product, transaction and use phase of the real estate life cycle. We use univariate Markov-switching autoregressive model to forecast the turning points of real estate cycle. The model with the best fit is MSIH(2)-AR(8), of which, the lags is 8 and both the intercepts and variance are regime-dependent.
The dating of the turning points from the MSIH(2)-AR(8) model is so consistent with the peaks and troughs of the reference cycle announced by the Taiwan Real Estate Research Center that the Leading Index cannot present its forecast function. However, we use MS-ARX model to identify that the Leading Index leads the reference cycle by one season. Additionally, we forecast that Taiwan’s real estate cycle will remain in the stage of expansion, and a turning point will not occur.
To identify turning points, we adopt the growth rate of CLI and Reference Index, and multivariate Markov-switching vector autoregressive mode. The fit model is MSIAH(2)-VAR(8), of which, the lags is 8 and the intercepts, coefficient and variance are regime-dependent. Its performance in identifying turning points is good.
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