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353H:2007/09/1011:06AMpage:317ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?ÒÓéÔYêÕëÖì×íXÚØÛÙîÚÛÜÝÞYßàáâXãRä,ÔYÕÖ×âåæçèûüâYÔïâðñ,ò1970óôõö,÷øghÜùúûâçè, ý Ûgh Üù ûâ XÔ â üY, ghî
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ÑÒ ,pλWTXδTjjÞω^T_κ° ±τh9¦câdU°j±®hY¦aQñÞ^â^,MKjjj, L^ª9<2Ä tuSaÞâ2ε∼N(0,σ)9¯d âcdefab,òlt^βâÂÃtlÙ A9``,ëJ F³Xªã«R³@Y9°±h¦/ò `s⧨ÊXRÉdf ,ø3OPZ¯ij§¨^âÞ>ghJâcdjg`hqÙaÞRf d1f5°?,,½Æ fݨÇabY,-ÂÃ^â^β N³ëÔ â¼½l¾â¿ À Á ÂaÃbÄaÅb,ÆÄÇ ÈymZ>βâaÞ,ª«MHamilton>1989?state?1,±²³´ÓÆÞ¿ßÀàÉÇÊÈ˵¶·¸¹º»×ر²ÙÚÖ,ÆÛÜÙÚÝá,âÌÍÎÏÐÑÒÓÔsÕt,áâãäå:∆lnPh=[α(1−s)+αs]+[β(1−s)+βs]Zt0t1t0t1tt−1m1+S[λ(1−s)+λs]∆lnPY0jt1jtt−jj=1m2+S[δ(1−s)+δs]∆lnHHN0jt1jtt−jj=1m3+S[ω(1−s)+ωs]∆lni0jt1jtt−jj=1m+S4[κ(1−s)+κs]∆lnCC0jt1jtt−jj=1m+S5[τ(1−s)+τs]∆lnPh+ε,(15)0jt1jtt−jt1æçèéêëìíèîïðjñ=ò1óôõ,ö÷ øùúûü,òûü-ñôõ ýþ 325
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353H:2007/09/1011:06AMpage:327ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?( ZYZ)$t−1 %[À,ÙÚ ÊÄÅÝ ÄÅ (p)$&,VUd12, W X 1 >aST ∆?ln Ph=y,θ \ÒÓÔ]ÿ^à_, `ºs=j tttP{s=j;θ},Ép(y,s=j;θ)=f(y|s=j;θ)·P{s=ttttttje;θ³},´Uµy¶·Ób2Ð c » J B Ôy JBÔdD`ºs=j ,ttt:f(SNy;θ)=p(y,s=j;θ).(17)tttj=1>eloglikelihoodfunction L(θ)=STlogf(y;θ),ÌÍAfgh%ijkµM LÄE?ÅÕy6z7ÁØzByÔmlnÔ1tt=1o3,Þ-p6º7qMrµsÂÔN{t| uOP EF,}~íÛôeqg}g
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353H:2007/09/1011:06AMpage:329ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?1ln Phln PYln HHNln iln CC Std. in ADF test()()()()() Lag PP test()()()()() Lag length89289Variables in ADF test () () () () () Lag PP test () () () () () Lag length76642:Mackinnon(1996) p-value¡ô¢£¤¥¦§¢&(,-.,ß âmMsågQ,ª«iCDÄ tuSaÞâmMsHáâÓÔh8(Perron,1997),iXk j 13k4lYm·¿ ¶Q2 n i2±¼²½CÜ,¹,, [¨!a4!cgÑ Ò>rÁHB¯Ó ª 3, pÓÔ©Êm ÚÔY,e-嫬>rH|s ®, pÓÔ·Ðvà Þr h µt 5Y,/ ÿh Ix(1Ü)ÞÐÔ±Y¿,²¿ {5 ³ vq,½«¬>rH ÊE, X 34¼°½w, KLÞ^âã 23 ´µâ ,?ÂÃ~ Ó2ö8äNelsonandPlosser>1982?¶ùú14·¸¹
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353H:2007/09/1011:06AMpage:331ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?2 !!!!!!តᇴln Phln PYln iln CCᑭؠࢍณ point1987:11993:42001:31988:2!!!!!!តᇴ ∂ln Ph∂ln PY∂ln i∂ln CCᑭؠࢍณ point1998:21996:11974:11973:3Critical values5% 10% 100 Infinite :1.×ðØñ¡ÙÚÛÜÝ:PhÙÞßàáâãPYÙÞäåæçãiÙÞìíãCCÙÞîï2. !"#$%&;'( !"#)$%&¡*+Perron(1997), -.æ/0 ;¡12%3456789:×,4.<=/ 0 7>E0?ÕÖPerron(1997)@AB>CDEFABCíAD%789:×?,FGHPerron(1997)æIJ¡3JohansenKLMHypothesized number of Trace Max-eigenvaluestatisticcointegration **At most :*ÙÞ65%NOPQÝRSNO¡Gnraªngher%cidjeXf gkh- B o
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353H:2007/09/1011:06AMpage:334
þÿ35:3(2007)5ÒÓÔ Õª«¬ª«Ö®¯ °Ξ͈ᖼೱሀݭ;∂ln Ph = [Å (1 - s) + Ås] + [ı (1 - s) + ıs] Zt0t1t0t1tt-1 + [ (1 - s) + s] ∂ln PY + [Î (1 - s) + Îs] ∂ln HHN 0t1tt-10t1tt-1 + [˛ (1 - s) + ˛s] ∂ln i + [Ô (1 - s) + Ôs] ∂ln CC 0t1tt-10t1tt-1 + [Í (1 - s) + Ís] ∂ln Ph+ á0t1tt-1tܼᇴ!!!ҤࢍࣃܼᇴҤࢍࣃc ()**1d ()**1c ()** ()**2ÅÅ () () 01ıı ()** () 01 ()** () 01ÎÎ ()* ()*01˛˛ () () 01ÔÔ ()** () 01ÍÍ () ()*012Centered R = ‰(á) = :×Þ4¡ØðØÙ4ÚÛÜÝ5hÞßàáâÞãäåæçèéêëìíTðññîï1h, ò óÝ,Úéôêõëäìå æ ç è ,héöê÷ëøìùöú÷ûø ù úûhüýþ,
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þÿ35:3(2007)∆lnPh=γ+γ∆lnPh+v,(19a)t0tt−1tγ=ζγ+ξ∆lnGDP+ξ∆lnM2+u.(19b)t0t−11t−12t−1tqqr(19
a) ¼sptº qprºs!Ô ÀÜ»#ÝMÓ«,QR¦Euo ®,ÌÍ 5p #vw pº,,-¹:;-ÑÒ pº(GÁDP|)d}xByÓ8 z4(M2), Ï,,-A· ÌÀÓ pºqrsÔ11,{±²pZ [{|,~ÛÜq(19) hr, ¸ YÕ=", ∆lnPh=y,θ \ÒÓÔ]ÿ^à_,ÌÍAgKalman lterttTT{∆lnPh}={y} ijBÔ,-ÛÜγ pºqtttt=1t=1{k { ÿ 6734YN rsÔ p6 pº{|6 34¼½-CÜ,pº,K\qrsÔÁ|}qr ,ÿ yDкxy8z ÎÉ, !ÑÿÒåvw Î,{QRp !pºqrsÔÎ,Æ{ ,MµÂNÄÅ,ÆÞpºqrsÔ irpºqrsÔ Î, !P i,Ér !MµOP,
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353H:2007/09/1011:06AMpage:337ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?6¼½¾L¿À¯ª«Á °ਫ਼ᕩሀݭ;∂ln Ph = Ç + Ç∂ln Ph+ Ât0t t-1tÇ = ÏÇ + ˜∂ln GDP + ˜∂ln M2 + ut0t-11 t-12 t-1tܼᇴҤࢍࣃÇ ()*Ï()** ˜1 ()** ˜2 ()* :1.×ØÙÚÛÜ2Centered RÝ = :PhÙÞßàáâã‰(á) = ÙÞÃÄÅÆÇãM2ÙÞÈÉJÊ¡2./0¾Ø¿Q²,**À*ÁÂÙÞ61%Ã5%NOPQÝRSNO¡ prob in ËÌÍÎÉÊÏÐÑÒ_`]^ûÓÔóêÔYëÕìÖí×ÚXÛØîÚÔÛïÜâÝðÞñYßàáâXãRä,ÔYÕÖ×â,Õ+åæçèé "#$%ñâ&'½9^Ô ,5Ô Y2Õ3Ö4×NâüYò àá , !ðh¦ñ âø§&¨ 'pª«Z¬ ® Z~ð¯, ! ° ± h¢¦ââi£¨jßOkYPlZh@p²¤KLéê
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þÿ35:3(2007)Z±¯¸i¹jº°±h¦ ³´µ¶|·°±h¦ âcd ÞY,V°¨_»Vâ ¼½³´µ ijâcd ÞY,¾ cdghâdf,^øÞ&Ö'â ˾ÌX W pô ,ø3OPpC|Dcbdefabw N-Ä?cd§,p gÖ×b ab,_âHalletaYl.>1997? ¡CDmZaÞ cdefab,WXÙë g
Õ,cdefâ^½³ëÔ j`aÞ,©?ÙÙ´`j8`Gøâ&c'dâ$|Z¯ib,t¾l ðrsgh23dfJÑÒâÜS ¾[é,°±h¦RÉdfc⧨ÊX7Ô A,CUSUMsô,cdef^^5^ÂâÃamÞZËaÌÞ cdefab,WXë égt
uÕSâaÞâYtcld eøf&'Î,,tlðé,ëmZ1ðñw,°±h¦ÙefRÉdfcâ,fbÙmcZ w2ðñw,°±h¦7Ô³dfcd ef,)°±h¦ÑÒd, ÔZ³ ¯wiejf§,½¨Æ,^°â±Þh¦2éêJÙÙÎÔåæ 9×C_DmZwÞaÞ ^gcdÂeÃfiajb§Y¨ÂÃ^, ÓYÔô!µø â3gdðhfé2wR df2w ,Vm,iZj §Ö¨×\^V ÂwÃØ1¹^fºÉî(³aß,Ö Dtl×b ø3 abâ@ :)ij§¨^ß ,¸h¦³RÉ X,df 1ºâ,» Vß N ¸º»Vâ0!1,$p°±338
353H:2007/09/1011:06AMpage:339ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?ÙÚ:éÛÜÝ°±³hâ¦Q(Pãh) :1 97g2:Q
2Õõ&19'99Y:Q12DqORâÞßÛãOà QáY ÐéÖi°±h¦ê]U^ ä°±bå ¨Ç_æç&'è,1999:Q2õ2004:Q42 ¡åg $øÔ32 Ð
Åh¦Öd ÔW ,,p f ÐÖ_ Ðéh¦(PY):pùó Ðé_ ÐÖÃ-
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â øÔµê (CC):!ñ òh]^,2ùó ÐÖÃ-ë Ð(HéHN)Ã: -óë^,2ùó ÐÖ_ ÐéÃ-ëhE Ô, î¢ó,Vpy
óCDï¥gÔµê ÿV (i) :Yôõ[ö÷âøgùúû V,2ùó üúÃýþ (M2):ùó üúÃýþ 339
353H:2007/09/1011:06AMpage:340
þÿ35:3(2007) >1994?, æçãÈÉÀ
á B
, , ßà ,2,49 66)*+>¡À1,99Û9?-, ßà > ¸¹À !"# ,$%&î'"# (¡(2004), ßà./7890×Àáâô12¸ , D.À03 ,31,4(536>5 390¡CD1E99 0?, .
á<67 89 /0 , : ;<=À>á?@"AB,397 429, :òF"#GHI"#æ¡Abraham,(1996), BubblesinMetropolitanHousingMarkets, JournalofHousingResearch,7,191 ,P.,,(1998),AnEconomicAssessmentofRecentHousePriceDevelopments,Dublin:,N.,,(1998), AModelofInvestorSentiment, JournalofFinancialEconomics,49,307 eld,(2002), PredictingtheNextStepofaRandomWalk:Ex-perimentalEvidenceofRegime-ShiftingBeliefs, JournalofFinancialEconomics,65,,.(1980), EquilibriumandDisequilibriuminModelsoftheHousingMarket:ASurvey, NationalHousingEconomicsConference,AustralianGovernmentPublishingService(AGPS).Brown,.,,(1975), TechniquesforTestingtheConstancyofRegressionRelationshipsoverTime, JournaloftheRoyalStatisticalSociety,SeriesB,37,149 ,(1989), TheEf ciencyoftheMarketforSingleFamilyHomes, AmericanEconomicReview,79,125 ,(1998), HousePriceDynamicsandGrangerCausality:AnAnalysisofTaipeiNewDwellingMarket, JournalofAsianRealEstateSociety,1,101 ,(2002), AnEmpiricalAnalysisofDeterminationofHousePricesin340
353H:2007/09/1011:06AMpage:341ÂÃÄÅÆÇÈÉÊË>ÌÍÎ,ÏÐÑ?theTaipeiArea, TaiwanEconomicReview,30,563 ,.,,(1994), RegimeSwitchingwithTimeVaryingTransitionProbabilities, (ed.),NonstationaryTimeSeriesAnalysisandCointegration,283 302,Oxford:,S.,,(1997), SwitchingError-CorrectionModelsofHousePricesintheUnitedKingdom, EconomicModelling,14,517 ,.(1989), ANewApproachtotheEconomicAnalysisofNonstationaryTimeSeriesandtheBusinessCycle, Econometrica,57,357 ,.(1994),TimeSeriesAnalysis,Princeton,NJ:,.(1984), EconometricModellingofHousePricesintheUnitedKingdom, (eds),EconometricsandQuantitativeEconomics,135 172,Oxford:,(1995), ExplainingAssetBubblesinJapan, NBERWorkingPaper,,J.,,(1994), TheHoneycombCycleinRealEstate, JournalofRealEstateResearch,9,237 ,S.(1988), StatisticalAnalysisofCointegrationVectors, JournalofEconomicDy-namicsandControl,12,231 ,S.(1991), EstimationandHypothesisTestingofCointegrationVectorsinGaussianVectorAutoregressiveModels, Econometrica,59,1551 ,(1990), MaximumLikelihoodEstimationandInferenceonCoin-tegrationwithApplicationstotheDemandforMoney, OxfordBulletinofEconomicsandStatistics,52,169 ,G.(1998), TheHousingMarketandtheMacroeconomy:EvidencefromIreland, WorkingPaper, SpeculationintheHousingMarket, UrbanStudies,34,1419 ,.(1996), NumericalDistributionFunctionsforUnitRootandCointegrationTests, JournalofAppliedEconometrics,11,601 ,(1997), BoomsandBustsintheUKHousingMarket, Eco-nomicJournal,107,1701
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þÿ35:3(2007)Nelson,(1982), TrendandRandomWalksinMacroeconomicTimeSeries:SomeEvidenceandImplication, JournalofMonetaryEconomics,10,139 ,P.(1989), TheGreatCrash,theOilPriceShock,andtheUnitRootHypothesis, Econometrica,57,1361 ,P.(1997), FurtherEvidenceonBreakingTrendFunctionsinMacroeconomicsVari-ables, JournalofEconometrics,80,355 ,.(2001), TheRiseinHousePricesinDublin:Bubble,FadorJustFundamentals, EconomicModelling,18,281 ,.(1980), TheConsumerPriceEquationinthePost-WarBritishEconomy:AnExerciseinEquationSpeci cationTesting, ReviewofEconomicStudies,47,113 ,C.(1971), AModeloftheUKHousingMarket, OxfordBulletinofEconomicsandStatistics,33,245
353H:2007/09/1011:06AMpage:343ACOBWEÂBÃÄTÅHÆÇEÈOÉRÊYË>ÌÍÎ,ÏÐÑ?INCORPONRaAStiooDTDMuneIetahpNplieIaanSr rGrnguCttmm nThCeeIaYunnNhiVCOEhSFeTnHOORUBSEEHPARVIICOER∗iwattnta ooSnffTeFFUsniiannnUaaiivnnneccirveeseitrysityKeywords:Cobwebtheory,Markov-switching,Error-correction,Houseprices,AnticipationJELclassi cation:E32,R21,R31∗Correspondence:Ming-ChiChen,DepartmentofFinance,NationalSunYat-SenUniversity,Kaoh-siung804,:(07);Fax:(07)525-4899;E-mail:mcchen@
353H:2007/09/1011:06AMpage:344
AþBSÿT3R5A:3(2007){{,,weestimatetheexpectedcoefficientofadjustmentandfindthatwhenthecoefficientisrelativelylarge,,weconcludethatwhentheexpectedcoefficientofadjustmentislarger,,
