Dynamic Behavior of Overall and the Regional House Price Indices

• Main Authors: Ming Hui Yen, 顏明輝
• Other Authors: Kuang-Liang Chang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/50750102385848377563

碩士 === 國立嘉義大學 === 應用經濟學系研究所 === 99 === The purpose of this study is based on single state model ARX(p) that are to add exogenous macroeconomic variables. Compare difference between dynamic behavior of regional house price indices in ARX(p) model and MS-ARX(p) model, and further compare difference between estimated coefficients of overall and the regional house price indices in the real estate recession and prosperity. The empirical results, in Taiwan, show the estimated coefficients of ARX(p) and MS-ARX(p) is not the same .On interest rates, ARX(p) is negative, but MS-ARX (p) is positive. And we also found better results after added the regime switch model. In the MS-ARX(p) model, we found that estimates will change by the regimes. In xinbei city, regional disposable income will change with difference regimes. In the real estate recession, the disposable income is significant positive; in the real estate prosperity, it is negative. They probable appear positive or negative in difference regimes. The reason they are difference estimated results by scholars in the past.