台北地區不動產價格波動之不對稱性探討An Analysis of the Asymmetric Volatility of Real Estate Price in the Taipei Area

過去的文獻已說明，不動產價格波動性可能存在異質自我相關的現象，但對於不動產市場相較於其他市場的最大優勢之一：抗跌性，卻鮮少有文獻以波動性的角度驗證它。本文的目的即是，希望提出證據說明不動產價格的向下波動不對稱性，藉以驗證不動產市場的所謂抗跌性。首先，本文使用台北地區1973年第二季至2005年第二季的房價資料，選取適當的平均數及變異數模型，以估計不動產價格報酬之異質條件變異數，而後，本文在模型內加入了衡量波動性槓桿效果(leverage effect)的變數，即使用T-GARCH模型，結果發現不動產市場的波動性存在反向槓桿效果，亦即，當上一期發生與房價報酬相關的負面消息時，當期的報酬波動性會變小，展現房價往下與往上波動的不對稱性，此結果說明，台北地區在資料區間內存在房價抗跌的現象。
關鍵詞：不動產價格、波動性、抗跌性、不對稱性、T-GARCH

Although several articles have documented that there are heteroskedastic autocorrelations in the volatility of real estate prices, few of these papers depict one of the most commonly known advantages of the housing market, namely, its ability to be defensive from the viewpoint of volatile behavior. Therefore, this research seeks to examine “defensiveness” in the housing market by providing evidence to show the asymmetric volatility between house prices moving up and down. First, we use the house price data for Taipei from the second quarter of 1973 to the second quarter of 2005, and select the most suitable mean and variance equations to estimate the conditional heteroskedasticity volatility of the return on house prices. Furthermore, the leverage effect of the volatility variable is included in the model, i.e., T-GARCH (the Asymmetric Autoregressive Threshold GARCH) and then adopted. The result of the empirical test shows that there are antileverage effects in the volatility of the housing market. Therefore, while the lagged innovations are negatively correlated with the housing return, the current volatility of the housing return might decline.These results depict the asymmetric volatility between house prices moving up and down, and show that there is a defensive effect in the Taipei housing market during the data periods examined.
Key words: real estate price, volatility, defensive, asymmetric, T-GARCH