2008年金融危機後，台灣各大都市房地產價格大幅上漲。為了探討房價上漲是否為泡沫化現象，本文引用彭建文與張金鶚 (2000) 所建構的房價均衡模型，當其房價均衡模型存在兩組共整合關係，可推導出在影響房屋供給量變數相同下，房價分別受實質性需求的實質所得及投資性需求的貨幣供給所推升。本文透過新近發展Yang et al. (2014)提出的共整合誤差均等變異數檢定，經由實質性需求與投資性需求和房價的共整合誤差變異數大小比較，藉此觀察實質所得與貨幣供給和房價的緊密性以判定房價是否存在泡沫化現象? 亦即當房價和貨幣供給的共整合誤差變異數小於其和實質所得的共整合誤差變異數時，我們據此推斷房價已存在泡沫化現象。實證分析結果顯示在2008年金融危機前，台北市、新北市、 台中市與高雄市無顯著具有房價泡沫化現象；2008年金融危機後台北市房價顯著具有泡沫化現象， 新北市房價有泡沫化的隱憂，台中市及高雄市尚無顯著房價泡沫化現象。

The housing prices have been rising in the main cities of Taiwan after Financial Crisis in 2008. In order to investigate whether the increase of housing price is bubble or not, this paper applies the housing prices model proposed by Peng and Chang (2000). If the housing prices model exists two cointegrating relationships, we have the housing prices are rised by income and money supply when the supply variable of housing function are constant. In order to test the housing prices bubble, this paper applies the equal variance test proposed by Yang et al. (2014). If the cointegrating relationship between housing prices and money supply is closer than housing prices and income, we say the housing price is bubble. The empirical result shows that there is no housing prices bubble in Taipei, New Taipei, Taichung ang Kaohsiung during 2001Q1 to 2008Q4. From 2009Q1 to 2013Q3, Taipei city exists housing prices bubble, New Taipei city is going to be housing prices bubble and Taichung ang Kaohsiung don’t have housing prices bubble.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 v
表次 vi
1 緒論 1
1.1 研究動機及目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2 文獻回顧 5
3 研究方法 8
3.1 理論模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.3 共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.4 均等變異數檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.4.1 OLS估計的共整合均衡誤差漸進分配. . . . . . . . . . . . . . . 19
3.4.2 檢定統計量. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4 實證結果分析 23
4.1 資料來源與說明. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
4.3 共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.4 均等變異檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5 結論 31
參考文獻 33
附錄 38

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