摘要

　　對眾多投資人而言，股票市場與房地產市場是重要的兩個投資標的，而房地產投資金額占所得比例相當大，在進行投資決策時，相對其他資產，必須更謹慎的做好投資分析。Case and Shiller (2003)提出民眾普遍預期未來房價上揚容易造成房市泡沫，此時的房價並非奠定在基本要素價格(fundamental price)提高，且一旦出現外力衝擊，如政策改變，需求不振將導致資產價格崩跌，嚴重導致投資人的投資金額大額損失。

　　鑒於過去許多文獻研究房地產市場泡沫化現象時，鮮少考慮到房地產市場是否已發生結構性改變。然而，房價是否發生結構性改變對於房價預測準確度有相當重大的影響，為了建立出一套更精確的房地產泡沫檢測機制，本論文透過Bai and Perron(1998)多次結構性改變檢測方法事先針對美國1991年一月至2009年十二月之房價進行結構性檢測，並且深入探討造成房價結構性改變之原因。另外，透過房價所得資產現值模型，納入狀態空間模型(State-space model)來建立房地產基本價值模型分析泡沫化現象，亦進一步去探討以往認為是泡沫化之現象，是否在考量結構性改變後與過去文獻有所牴觸？一旦發生結構性改變，奠定房價基本價格的要素亦可能發生改變，當計算房地產價值時應該配合不同時期的因子，才能做出正確的投資決策。

Abstract

In the past, most kinds of the studies about the housing bubble were seldom considering whether the real estate market had taken place the structural changing. However, it has a significant influence in predicting house price. In order to set up a more specific system that can help to find the housing bubble effect, we use the Bai and Perron (1989, 2003) methodology to test for multiple structural breaks in the housing prices for US starting from January 1991 to October 2009. Besides, through the affecting of the house price we use the state-space model to examine the basic value of the real estate bubbling phenomenon. If there occurred structural changing, the factors of the house’s basic value would be varied, as well. As accounting for the price of the real estate, we must match with different phase of factors, so that we can make a correct investing decision.

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