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研究生:李昱彥
研究生(外文):Li, Yu-Yan
論文名稱:房地產市場資本利得稅與價格波動性之理論探討
論文名稱(外文):Capital Gains Tax and Price Volatility A Theoretical Analysis in Housing Market
指導教授:郭文忠郭文忠引用關係
指導教授(外文):Guo, Wen-Chung
口試委員:賴孚權陳軒基郭文忠張世忠
口試委員(外文):Lai, Fu-QuanChen, Xuan-JiGuo, Wen-ChungZhang, Shi-Zhong
口試日期:2012-07-03
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:51
中文關鍵詞:資本利得稅雜訊交易者參與比例價格波動性房地產市場期望價格供給衝擊
外文關鍵詞:Capital gains taxNoise trader ratioPrice volatilityExpectation priceSupply shocks
相關次數:
  • 被引用被引用:2
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  • 下載下載:176
  • 收藏至我的研究室書目清單書目收藏:1
本論文嘗試利用理論模型探討課徵資本利得稅,對於房地產市場期望價格、雜訊交易者參與比例,以及價格波動性之影響,並在世代交替模型架構下,求解均衡雜訊交易者參與比例與均衡價格波動性。首先探討市場存在供給衝擊,並給定雜訊交易者參與比例為外生,研究結果顯示資本利得稅對於市場期望價格為負相關變動。接著進一步允許雜訊交易者內生進入下,結果顯示資本利得稅與均衡雜訊交易者參與比例以及均衡價格波動性為負相關變動。再接著討論不存在供給衝擊,資本利得稅變動與均衡雜訊交易者參與比例以及均衡價格波動性仍為負相關變動,顯示在二種狀況下資本利得稅對於均衡雜訊交易者參與比例以及價格波動性皆為負相關變動,顯示市場增加資本利得稅,確實能夠降低市場雜訊交易者參與比例以及價格波動性。最後本論文亦再延伸加入供給面價格斜率項變動,欲了解此項參數對於雜訊交易者參與比例以及價格波動性之影響,結果顯示當供給面價格斜率項降低時,供給數量變動量會下降,導致價格波動性以及雜訊交易者參與比例之增加。

This thesis establishes an overlapping generation model to discuss the relationship between capital gains tax, expectation price, price volatility and noise trader ratio for the housing market. In particular, this study tries to solve equilibrium the proportion of noise traders and equilibrium price volatility.
Several findings of this study are as follows. First, considering supply shocks and the exogenous of noise trader participations, this study has proved that the negative correlation between capital gains tax and expectation price. Regarding the endogenous of noise trader participations have shown that the negative correlation between capital gains tax, price volatility and noise trader ratio. Moreover, the situation without supply shocks is also discussed.
Finally, the thesis involves the parameter of the price slope of supply side, and thesis negative correlation between the price slope of supply side and noise trader ratio finds price volatility.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 8
第三節 研究架構 12
第二章 文獻回顧 14
第一節 證劵市場相關文獻 14
第二節 非證劵市場相關文獻 17
第三章 理論模型 19
第一節 基本模型 19
第二節 市場結清均衡 21
第三節 雜訊交易者內生進入均衡 24
第四節 不存在供給衝擊之狀況 27
第四章 資本利得稅之影響 30
第一節 存在供給衝擊 30
第二節 不存在供給衝擊 33
第五章 比較靜態分析 36
第一節 房地產市場期望價格 36
第二節 雜訊交易者參與比例 37
第三節 價格波動性 39
第六章 延伸探討-供給面價格斜率 41
第一節 模型設定 41
第二節 供給面價格斜率變動 43
第七章 結論與研究建議 47
第一節 研究結論 47
第二節 未來方向與研究限制 48
參考文獻 49

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