房市泡沫與總體經濟關係Relationship Between Housing Bubbles and Macroeconomic Factors

過去文獻指出台北市於2005-2008年有顯著的房市泡沫出現，泡沫的形成除了受投資人樂觀預期心理影響外，亦受總體經濟因素的影響。為進一步研究房市泡沫的成因，本文透過租金推估房價基值，並使用狀態空間模型先估計台北市1976年6月至2014年9月的泡沫價格。後續透過因果關係、衝擊反應函數及變異數分解分析台北泡沫價格與總體經濟變數之間的關係。實證結果發現房市泡沫價格主要受M1b、股價指數及匯率等因素影響，與利率關係較小。顯示充裕的資金是造成房市泡沫的主因，政府應審慎採取適當的貨幣政策避免房市泡沫破裂引發金融危機。

The housing bubble in Taipei was not only affected by investors’ optimistic expectations, but also by macroeconomic variables. This paper focuses on the determinant factors of a housing bubble. First, this paper regards the housing fundamental as the sum of the expected present value of rent and applies the state-space model to measure the bubble price from June 1976 to September 2014 in Taipei City. Second, Granger causality analysis and VAR modeling methods are used to investigate the causes of the housing bubble. The empirical findings show that money supply, the stock price index, and the exchange rate were the causes of the housing bubble, and that real interest rates were not. The results imply that sufficient funding was the main cause of the housing bubble; therefore, the Taiwan government should implement a prudent monetary policy to avoid the bursting of the housing bubble, which would trigger a financial crisis.