Momentum Phenomenon of Housing Bubble – Evidence from Taipei City and New Taipei City

• Main Authors: CHEN,PEI-WEN, 陳姵雯
• Other Authors: CHIANG,Ming-JU
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/px5a7g

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === The goal of this paper is to study whether there is housing bubble and whether there is momentum of housing bubble in Taipei City and New Taipei City. The method proposed by Lai & Van Order (2010) is used by analyzing the Sin-Yi monthly housing price indices from 2005 to 2016. This paper also divides full sample into two sub-periods: 2005-2007 and 2009-2016 in empirical analyses. Our results show that, first; there existing momentum of housing bubble during 2009 to 2016 in Taipei City and New Taipei City, suggesting the housing price might deviate from the fundamentals. Second, volatilities of error terms were significantly different in the two sub-samples in Taipei City and in New Taipei City. As to the explanatory power of fundamentals to housing prices for both Taipei City and New Taipei City, this paper finds that stock index, money supply, construction costs perform better than rent. This article has three contributions. First this paper provides evidence to government as to grasp the factors causing bubbles in the housing market based on which timely response countermeasures can be made. Second, this paper provides home buyers a better understanding about the phenomenon of bubble momentum according which the correct timing to enter into market. Finally, this paper provides useful information on the housing bubble for banks who are constantly monitor the risk of real estate mortgages.