2001年以來，由於持續性的經常帳順差和資本流入，促成了中國外匯存底快速的累積。為了維持人民幣匯率的穩定與經濟平穩發展，中國人民銀行實施了一連串的沖銷政策，以緩解因外匯占款所可能引起的流動性過剩與物價膨脹問題。然而，日益推升的沖銷成本對中國外匯沖銷的有效性與持續性將造成衝擊。因此，本論文第一部分即建構在個體基礎理論的架構下，將房價納入中國貨幣當局的目標函數，並檢視中國人民銀行沖銷政策的有效性與可持續性。實證結果顯示，近年來中國人民銀行幾乎完全沖銷了國際資本流入與外匯準備上升對基礎貨幣的影響，亦即資本流動程度的上升並未破壞中國貨幣政策的獨立性。然而，沖銷政策的可持續性分析卻顯示，中國人民銀行沖銷政策的可持續性於2008年3月開始受到嚴峻的挑戰，顯示出中國人民銀行承受了極大的沖銷不可持續性的壓力。 隨著短期國際資本流入快速增加以及在中國人民銀行無法完全沖銷因外匯干預所釋放出的外匯占款背景下，資產價格的上漲也逐漸引起人們對於短期國際資本流入與資產價格之間相互作用導致資產價格泡沫的質疑。為了探討短期國際資本流入與中國資產市場之間的關係，本論文第二部分引入結構化向量自我迴歸模型來探究未沖銷完全的基礎貨幣與短期國際資本流入對中國股票市場與房地產市場的衝擊。實證結果顯示，中國的短期國際資金流入與資產價格上漲事實上為一種自我實現與相互促進的關係，未沖銷完全的基礎貨幣會進一步推升資產價格上漲，顯示出短期國際資本的流入與流動性過剩的現象，將促使中國資產價格出現泡沫。 當資金極度充裕的時候，在中國大陸缺乏其它可以選擇的投資管道之下，將會助長股市與房市的投資與投機熱潮，也因而造成股票市場的波動與中國的房地產價格的快速成長。隨著中國近年來的改革開放與經濟發展，房地產業迅速發展成為國民經濟的支柱產業，甚至已經成為一些城市的經濟命脈。因而瞭解中國房地產市場的發展情況並針對房價泡沫化作出判斷也因此成為了刻不容緩的課題。 因此，本論文第三部分則延續第一部分及第二部分的議題，探討中國房地產市場的房價泡沫問題，並進一步利用狀態空間模型，結合卡門濾波器的遞迴運算，以最大概似法來估計泡沫價格。實證結果顯示，中國、北京、及上海的房地產市場確實存在房價泡沫的現象，中國房地產的泡沫價格占房價的比例雖然隨著中國政府的房地產政策調控而略有下降趨勢，但在2012年第4季，此比例仍高達27.99%的水準。此外，利用北京與上海民眾的可支配所與房價進行實證分析發現，北京與上海泡沫價格占房價的比例甚至超過了48%，顯見中國房地產市場房價泡沫問題的嚴重性。 / In the context of the constant buildup of China’s foreign exchange reserves, the PBC has undertaken a series of sterilization operations to alleviate excessive liquidity and inflationary pressure resulting from huge funds outstanding for foreign exchange. However, the growing costs of sterilization have also impacted the effectiveness and sustainability of the foreign exchange surplus sterilization policy. Therefore, the first part of this dissertation is to examine the sterilization policy in China. Within a microeconomic framework, we incorporate the housing price variable into the target loss function of the monetary authority to explore its financial capabilities and evaluate the effectiveness and sustainability of China’s sterilization policy. The empirical results show that Chinese monetary authorities sterilize almost all of the effects of international capital inflows and increasing foreign exchange reserves on the monetary base. That is, increased capital mobility does not sabotage the independence of the Chinese monetary policy. Nevertheless, analyses of the sustainability of sterilization policy indicate that the sustainability of the monetary sterilization policy has been seriously challenged since March 2008, which suggests that Chinese monetary authority has endured tremendous pressure for unsustainable sterilization. In the context of rising foreign exchange reserves and monetary authorities being unable to sterilize all funds outstanding for foreign exchange due to foreign exchange market interventions, increases in asset prices have gradually made people question the interaction between short-term capital inflows and asset prices that contributes to asset price bubbles. In order to investigate the relationship between short-term international capital inflows and asset markets. A structural vector auto-regressive (SVAR) model is used to explore the effects of the incompletely sterilized monetary base and short-term international capital inflows on the Chinese stock markets and real estate markets in the second part of this dissertation. The empirical evidence demonstrates that the relationship between short-term international capital inflows and asset prices is self-fufilling and mutually reinforcing. The incompletely sterilized monetary base further exacerbates asset price bubbles, which suggests that short-term international capital inflows and excess liquidity will gradually escalate the severity of asset price bubbles. With an over-abundance of funds and a shortage of other viable channels of investment in China, such circumstances tend to encourage investments and speculations in the stock market and real estate market. Consequently, this causes China’s stock market to fluctuate and prices of real estate are being driven up in China. Following China’s reform and economic development in recent years, the nation’s real estate industry has rapidly evolved into a pillar of China’s national economy and the economic bloodline in some cities. As such, acquiring sufficient understanding of China’s real estate market for an accurate assessment of the risk of a housing price bubble has become an issue that requires immediate attention. In order to discuss the extent and severity of real estate bubbles in China. The third part of this dissertation uses the maximum likelihood method through the use of a state space model and recursive computation of the Kalman Filter to estimate the housing price bubbles in China. Results of empirical analyses reveal that price bubbles do exist in housing markets of Beijing, Shanghai and the whole of China in general. Although the proportion of price bubble to house price in China has shown a moderate decline due to the Chinese government’s adjustment of its real estate policies, price bubbles remained as high as 27.99% in the fourth quarter of 2012. Empirical analyses of Beijing and Shanghai residents’ disposable income and housing prices revealed that the proportion of price bubble to house price in the two cities has exceeded 48%, which suggests that housing price bubbles remain a significant issue to be addressed.

有鑒於以往房價泡沫文獻較少探討泡沫與房屋特徵間的關係，本文援引特徵價格法研究內外部特徵對房價泡沫的影響。藉由所建構之台中市房屋交易個案資料庫，將交易區分為獨立式住宅與集合式住宅，並考量明星學區環域的影響，全面納入「建築內部」、「教育」、「休閒」、「生活機能」、「區位」、「交通」、「安全」、「鄰避設施」八類衡量生活品質的房屋特徵，以房價泡沫取對數值作為應變數，住宅與各類設施距離取對數值為自變數，將樣本區分為六十五個學區進而實證歸納出學區環域內容易被炒作的特徵。 房地產市場中的獨立式住宅及集合式住宅兩大類商品，其在追求生活品質的同時符合Hotelling模型極小化產品差異的結果，由研究成果顯示集合式住宅渴望在繁榮的鬧區保有安靜的生活環境，而獨立式住宅則是在空曠的郊區追求生活機能，前者為「鬧中取靜」，後者為「靜中取鬧」，換言之集合式住宅與公園綠地等休閒設施距離越近泡沫越大，但對於會帶來大量車流和人潮的交通樞紐及大型遊樂場所等則是距離越遠，泡沫越大，獨立式住宅方面則是距離連鎖餐飲、便利商店等生活機能設施越近，泡沫越大。 / Since there were not many papers focusing on the topic of the relationship between bubbles and housing characteristics, this paper studies the internal as well as the external causes of housing bubble by adopting the canonical Hedonic Pricing Method. By utilizing a constructed unique database composed of Taichung housing transactions, the detailed features of transactions on the detached houses and condominiums can be investigated. The "Building Interior", "Education", "Leisure", "Living Infrastructure", "Location", "Transportation", "Security", and "NIMBY" are collected as the measurement of quality of life in housing characteristics to complement the Star School District impact in the educational buffer. Using the level of house price bubbles as dependent variable and dividing the selected area into 65 school districts, and discover what factors are used for house price speculation. The results show similar demand on the quality of life, in line with Hotelling Model, in both the transactions of detached houses and condominiums. The residents of condominium; however, prefers living in the prosperous urban area with Serene environment whereas the occupants of detached house would choose to live in the spacious suburban area with decent local living facilities. In other words, the closer the condominiums are with leisure facilities, such as public park, and the further they are with facilities that gathers crowd and traffic, such as transportation hub and entertainment facilities, the larger the bubble. The further the detached houses are with living function facilities such as chain restaurants, convenient stores, the larger the bubble.

台北房市自2003年的SARS低點過後逐漸回暖，並在2006年開始房價出現劇烈的漲幅，在決定房屋供給與需求的基本面未大幅變化的前提下，多數學者質疑台北的房價已呈現泡沫化，購屋的負擔已超過多數受薪家庭的支付能力。本文首先擬以購屋成本及投資報酬率的角度分析台北房市泡沫化的幅度，實證結果指出台北市的房價在1990年代及2006年後明顯出現泡沫化的現象，所得及租金推估的泡沫分別達到三成及六成的幅度，且2006年後的房價泡沫至今仍未有破裂跡象。在此一結論下，本文進一步分析生成台北房價泡沫的原因，實證結果指出房價出現泡沫化的同時，與股市報酬率及貴金屬報酬率明顯呈現正相關，貨幣供給增加亦是促成泡沫化的因素。 此外，對於房地產學界一直關注的議題，即房地產景氣預測及房地產價格的推估，本文亦利用貝式分析的技巧適度修補了現階段實證研究遭遇的困難。對房地產景氣的推估而言，加入事前訊息後的馬可夫轉換模型，在掌握房地產景氣擴短縮長的特性有顯著的改善，同時樣本外的預測亦說明其優越之處。在房地產估價方面，貝式多層次模型在面對較少樣本下的估價亦展現優越之處，特別是房價波動較大的期間，在不同樣本數目下，貝式多層式估計的精確度皆明顯優於傳統的特徵價格估計法。