Estimation of housing bubble and the factor moves in housing market – A case study for Taipei city

• Main Authors: Chi Chen, 陳琦
• Other Authors: Hung-Jen Wang
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/smu3j4

碩士 === 國立臺灣大學 === 經濟學研究所 === 107 === We used present value asset model to estimate the fundamental of price-rent ratio in Taipei city. By applying Campbell and Shiller (1998) present value model in housing market and adding user cost model to find out the implied information in expected housing return. The price-rent ratio is determined by expected future growth rate, expected cost of capital, and expected risk premium of owning versus renting. We apply a quarterly dataset of housing market in Taipei city from 1994 to 2018 in empirical study. To observe the housing bubble in Taipei city, we define the difference between real price and fundamental as the housing bubble. Eventually, applying the variance decomposition approach to examine the main factor in Taipei housing market. Our results show that during 1994 to 2018 cost of capital is the main factor in price-rent ratio of Taipei city, and we also analyze the price-rent ratio in Taipei in different period, especially the influence before and after financial crisis. In 1994 to 2008, cost of capital also playing the vital role in price-rent ratio that indicates the importance of interest rate in housing market; in 2009 to 2018 housing return playing the vital role in Taipei housing market.