2749

JOURNAL OF HOUSING STUDIES, VOLUME 14 NO. 2, DECEMBER

2005

The Dynamic Relationship of Rents and Prices among Taipei

Housing Spatial Submarkets
******
Chien-Ying Tseng* , Chin-Oh Chang** , Ching-Chun Hua***

(
)
345

ABSTRACT

The long-term Taiwan real estate market depression has been reducing households
investment demand and slowing down the housing price which determines mainly the monthly
rent multiplier, but the monthly rent multiplier still reaches to 345 and does not drop significantly.
Due to the different housing service qualities of tenure states which determine the use values, the
gap of housing rent and price can not shrink.
This paper finds that the degree of interaction of rents and prices has lessened, and the
impact of prices change on rents is obviously higher than the vice versa. This means not only the
rents, but also some other key variables influence the change of prices. Considering the dynamic
relationship, we find that there is a long-term equilibrium between rents and prices and the price
of Taipei city moves ahead that of Taipei county. Besides, there is no obvious causality between
prices and rents.Such evidence indicates that the disparity of rents and prices is caused by market
segments of tenure states which weaken the substitution of both submarkets.
Key words: rent, house price, rent multiplier, time series

(20062920065320065)
* Master, Department of Land Economics, National Chengchi University.
** Professor, Department of Land Economics, National Chengchi University.
*** Associate Professer, Department of Public Affairs Management, Hsuan Chuang
University.

28

(housing service) (1)

(capitalization rate) (2)

(rent multiplier)
100(1%-rule) (3)()
10070
(Gross Rent Multiplier, GRM)()

6~7(4)
(1992)1979~1989
376.87326.64245.15(1997)
1981~1993298274
(2001)1999374
(1989,1992)(1997)(2000)

(1997)

(5)
(6)

-(stock-flow model)(tenure choice model)

DiPasquale & Wheaton(1996)-

()

29

Cheung, et al.(1995)Granger(
)1982~1991

()

(..)

(7)

30

(1992)(1997)

(1997)(1995)

(8)
(9)
82~9280
82~8485~92(10)
82~8485~92
()

82~92(11)

(12)

3(13)
(14)82~92
345348343

31

(15)
(16)

345

300

(1992)(1997)

32

(3SLS)
(17)

()
1.
(1992)(1994)(1996)(1997)

(R)((F)(Xi)(H))

(18)

Potepan(1996)
(2000)

(R)(P)

(L) (19)(T)

01
(82~84185~920)(20)

RR(P , F , Xi , H , L , T) .......................................................................................................... (1)

2.
Potepan(1996)

33

(1994)
(1994)
(2000)
((F)(Xi)(H))(L)

(21)

(1994)Potepan(1996)
(2000)
(P)(T)

PP(R , F , Xi , H , L , T) .......................................................................................................... (2)

(Endogenous)
(Exogenous)
R1011P12F13Xi14H15L16T1 ............................................................... (3)
1011012013014015016
P2021R22F23Xi24H25L26T2 ............................................................... (4)
2020220230240250260
(3)(4)(condition of identification)(22)
(rank condition)(order condition)(23)
(identified)(3)(4)(Log-Linear form)

()
1%

(0.561)(-0.354)
(0.276)(0.057)(-0.029)(0.004)

34

1%

(0.902)(
-0.666)(0.557)(0.205)(-0.10)(0.022)

(24)

82~92(25)44
(26)
(27)(Unit Root Test)
(28)(Cointegration) (29)
(30)(ErrorCorrection-Model, ECM) (31)

()
Hyllebreg et al.(1990)

95%
I(1)
4

()
(VAR)
4
(LM)Ljung-Box5%
2

35

-3SLS

5.48
(0)***

0.242
(0)***

0.140
(0.276)***

0.007
(0.057)***

-0.001
(-0.029)***

D_TPE3
D_TPE4
D_TPE5
D_TPE6
D_TIME
R2
N

0.025
(0.561)***

D_TPE1

0.008
(0.557)***
0.038
(0.902)***

0.019
(0.205)***
-0.005
(-0.10)***

-0.247
(-0.135)***

-0.382
(-0.222)***

-0.314
(-0.354)***

-0.723
(-0.666)***

-0.131
(-0.191)***

-0.342
(-0.438)***

-0.504
(-0.252)***

-1.025
(-0.332)***

-0.598
(-0.229)***
0.006
(0.004)*

-1.122
(-0.258)***
0.7267

0.028
(0.022)***

35045

1. ( )
2. ******1%5%10%
3. 4.9%
4. D_TPE1D_TPE3D_TPE4
D_TPE5D_TPE6D_TIME

I(1)Johansen(1988)
(MLE)(32)lambda maxtrace test

36

VAR

1
2

LM(1)/P-val
6.623/0.98*

21.308/0.17*

LM(4)/P-val

16.863/0.19*
22.031/0.14*

L-B/P-val

CHISQ(4)/P-val

177.593/0.11*

11.666/0.88*

180.390/0.02

11.382/0.18*

1. LM(p)pX2
2. CHISQ(p)
3.*5%

Null

Alyemative

r1

r1

r0
r2
r3

r0
r2
r3

Null

Alyemative

r1

r2

r0
r2
r3

Trace test

r1
r3
r4

Statistic

90%

35.45

39.08

60.23*
17.10
7.41

Lambda-max

58.96
22.95
10.56

Statistic

90%

15.34

16.13

24.78*
9.70
7.41

19.88
12.39
10.56

* 10%

()

VAR

PRICET1332.388RENTR12.052PRICET2310.462RENTR2
(PRICET1)(RENTR1)(PRICET2)
(RENTR2)
0-29.2%15.3%

37

Zjt

(PRICET1)
(PRICET2)
(RENTR2)

ARCH(2)

0.399

2.397

-0.292/-2.413**

0.578

0.153/2.382**

0.448

-0.001/-1.455

(RENTR1)

R2

0.001/1.293

0.503

0.332
2.761
1.667

1. ARCH(q)q

2. R2
3. Zj
4. ** 95%t1.96

PRICET1(t)
RENTR1(t)

PRICET2(t)
RENTR2(t)

DPRICET1(t-1)

DRENTR1(t-1)

DPRICET2(t-1)

DRENTR2(t-1)

-0.000/-0.124

-0.196/-2.106**

-0.001/-0.786

0.019/0.084

-0.000/-0.591

-0.072/-0.531

-0.349/-2.113**
-0.117/2.195**

-78.580/-1.528
-41.023/-1.503

-0.019/-0.060

-0.141/-2.025**
0.001/0.689

-69.478/-1.772
53.333/1.659

-0.309/-1.963**

95%t-value1.96** 95%

345

38

93

39

1 (2001)()
()
2
RPR()P()

3 Grabler , et al. (1956)pp423Shelton (1964)pp65Muth (1969)pp187~188

4 Pyhrr , et al. (1989)Real Estate Investment, pp71~72 , pp244~255 , pp520

5 Potepan(1996)

6 (1990)Logit

7 (1998)

9 86
1219

10

(2004)

40

11 82~87
(2000)88~92

(Linear-linear form)
12

(Adj R2)0.7

12 11

13

14 82-92

15 New York TimesRations of Price to Rental Price in Selected Metro Areas

(2005/05/27)20002005
(San Francisco)(California)11
30100
6~7
3~4%

16 2004
()1994~2003239204294
1997
1997179
211259
17 (2SLS)(3SLS)2SLS

3SLS3SLS

2SLS2SLS3SLS
3SLS

41

(pooling)
3SLS
18 (1997)
19
(1995)

20 10

(1)
(2)

(3)

21 (1995)
22 AA
A-1
(identified)
A-1(unidentified)
23 MMm
Kk

42

(order condition)(1)Kkm1 (2) Kkm1(3)

Kkm1(rank condition)rank
rank(order)
0M100
0

24 (1996)
Mills(1994)
25 11

..

26 X12

27 (stationary)

Nelson & Plosser(1982)

28 Engle & Granger(1987)d

d(integrated of order d)Xt~I(d)

29 G r a n g e r ( 1 9 8 1 ) E n g l e &
Granger(1987)

30
YtI(1)XtI(1)YtXt

Yt-tI(0)Yt-ttI(0)t
Y tX tY tX t
(cointegration vector)YtXt
YtXt
YtXtt

31
(error correction term)
Engle & Granger(1987)

43

32 Engle and Granger

VAR

44

1989
60137-153
1990 Logit
18(1)
137-157
1992
43(1)279-312

1994
225-48

1996
1(1)29-40

2004 2004

1997

1994
249-66

1995

2000

97-117

2000
17(2)343-368

2001

38(4)89-107

1998
26(4) 409-429

1997
627-48

2004
Cheung , Y. L., S. K. Tsang , & S. C. Mak
1995 The Causal Relationships Between Residential Property Prices and Rentals in Hong
Kong: 1982-1991, Journal of Real Estate and Economics. 10: 23-35.

Dipasquale, D. & W. C. Wheaton

1996 Urban Economics and Real Estate Markets, Englewood Cliffs, NJ: Prentice-Hall, Inc.

45

Granger, C.W.J
1981 Some properties of Time Series Data and Their Use in Econometric Model
Specification,Journal of Econometrics. 16: 121-130.

Engle, R. & C.W. J. Granger

1987 Cointegration and Error Correction: Representation, Estimation and Testing,
Econometrics. 55: 251-276.

Grabler, L., D. M. Blank , & L. Winnick

1956 Capital Formation in Residential Real Estate: Trends and Prospects. Princeton:
Princeton University Press.
Hyllebrg, S., R. Engle, C. Granger, & B. Yoo
1990 Seasonal Integration and Cointegration, Journal of Econometrics. 44: 215-238.

Johansen, S
1988 Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and
Control. 12: 231-254.
Muth, R. F.
1969 Cities and Housing. Chicago: The University of Chicago Press.
Mills , E. S. & B. W. Hamilton
1994 Urban Economics. New York: Harper Collins.

N elson, C. R. & Plosser C. I. P

1982 Trends and Random Walks in Macroeconomic Times Series: Some Evidence and
Implication, Journal of Monetary Economics. 10: 139-162.

Pyhrr , S. A. , J. R. Cooper , L. E. Wofford , S. D. Kapplin, & P. D.Lapides

1989 Real Estate Investment-Strategy: Analysis and Decisions, Second Edition. New York:
Wiley.
Potepan , M. J.
1996 Explaining Intermetropolitan Variation in Housing Prices, Rents and Land Prices,
Real Estate Economics. 24(2): 219-245.
Shelton , J. P.
1964 The Cost of Renting Versus Ownning a Home, Land Economics. 44: 59-72.
New York Times
2005 Rations of Price to Rental Price in Selected Metro Areas, May 27.

157.57
(19.85)**

-2.53
(-3.85)**

5.09
(2.95)**

1584

1.96
1553

7.44

1.93

0.83

192.87
(18.93)**

-0.37
(-0.64)

5.97
(3.34)**

0.88
(2.12)**

-12.65
(-2.29)**

2347

7.24

1.76

0.66

80.74
(7.62)**

-1.66
(-3.32)**

6.43
(3.29)**

0.86
(1.97)**

-15.65
(-2.67)**

21.72
(57.86)**

-31.46
(-1.29)

84

3595

6.93

1.82

0.66

133.32
(15.31)**

-0.53
(-0.89)

6.03
(3.79)**

1.24
(4.41)**

-22.10
(-5.33)**

24.41
(73.78)**

-122.59
(-5.96)**

85

6630

7.32

1.78

0.70

151.04
(27.07)**

-0.47
(-1.24)

5.09
(5.01)**

1.86
(8.01)**

-26.17
(-8.42)**

6327

6.95

1.68

0.70

144.28
(25.38)**

-1.15
(-2.85)**

7.32
(7.02)**

1.05
(5.69)**

-21.63
(-7.82)**

-102.64
(-7.21)**

87

24.75
24.88
(112.9)** (110.76)**

-99.52
(-7.12)**

86

436

6.85

1.27

0.74

134.67
(9)**

-3.59
(-3.47)**

5.65
(1.37)

3.22
(4.52)**

-48.93
(-5.58)**

23.27
(33.57)**

59.2685
(1.28)

88

308

7.39

1.50

0.81

77.30
(5.05)**

-1.66
(-1.58)

3.73
(1.12)

0.76
(1.04)

-11.80
(-1.34)

23.17
(35.11)**

-46.00
(-1.06)

89

549

6.29

1.56

0.76

79.14
(7)**

-0.48
(-0.55)

4.27
(1.7)*

1.08
(2.01)**

-16.35
(-2.54)**

20.71
(39.5)**

-51.31
(-1.46)

90

1043

7.55

1.48

0.72

91.96
(10.29)**

-1.74
(-2.63)**

5.96
(2.91)**

2.87
(5.65)**

-40.15
(-6.98)**

21.40
(49.27)**

3.59
(0.12)

91

788

7.85

1.36

0.82

76.65
(8.36)**

-2.14
(-3.28)**

3.42
(1.86)*

2.80
(5.75)**

-38.24
(-6.59)**

54.75
(1.9)*

92

19.69
(54.46)**

( )t***10%5%0Collinoint10

DW
7.92

1.8
(4.89)**

Collinoint

-26.11
(-5.45)**

0.83

26.32
(79.53)**

-172.50
(-7.64)**

-98.46
(-4.77)**

26.50
(79.14)**

83

82

Adj R-square

182~92

46

1581

1.94
7.09

0.74

76.16
(14.11)**

-0.33
(-0.67)

-28.05
(-9.30)**
1.89
(8.15)**
6.17
(5.28)**

13.78
(0.89)
14.69
(57.52)**

82

1664

1.86
6.69

0.63

71.31
(6.70)**

0.70
(2.01)**

-41.47
(-8.72)**
2.37
(7.84)**
5.56
(3.35)**

5.31
(0.24)
16.63
(44.94)**

83

2761

2.00
7.61

0.55

52.07
(7.19)**

0.39
(1.29)

-18.10
(-5.12)**
0.98
(4.27)**
3.10
(3.20)**

54.35
(3.41)**
13.51
(48.23)**

84

3659

2.01
7.89

0.52

41.22
(6.60)**

0.12
(0.26)

-15.62
(-5.94)**
0.81
(5.44)**
1.72
(1.95)*

95.97
(6.55)**
12.42
(54.73)**

85

6425

1.90
7.54

0.60

68.85
(14.16)**

0.78
(2.15)**

3.79
(6.02)**

0.68
(7.57)**

-14.95
(-8.53)**

-78.90
(-6.85)**
16.29
(87.35)**

86

7440

1.80
6.89

0.57

68.85
(14.16)**

0.78
(2.15)**

3.79
(6.02)**

0.68
(7.57)**

-14.95
(-8.53)**

-78.90
(-6.85)**
16.29
(87.35)**

87

880

1.42
7.81

0.69

55.00
(10.61)**

-0.77
(-2)**

3.76
(3.29)**

1.30
(6.6)**

-24.49
(-9.37)**

48.50
(3.04)**
12.36
(41.33)**

88

9192515base

Collinoint

DW

Adj R-square

282~92

504

1.11
7.31

0.74

51.84
(10.8)**

0.16
(0.46)

4.34
(5.14)**

0.07
(0.34)

-2.46
(-0.83)

-23.81
(-1.46)
11.34
(33.59)**

89

678

1.11
7.34

0.76

48.97
(12.11)**

-0.40
(-1.24)

2.56
(2.9)**

0.26
(2.31)**

-3.18
(-1.63)

-25.89
(-1.86)*
11.46
(43.6)**

90

883

1.92
7.34

0.73

17.12
(4.13)**

19.70
(3.06)**

0.63
(0.97)

0.24
(2.08)**

-4.21
(-2.23)**

21.51
(2.69)**
10.37
(45.92)**

91

804

1.45
6.86

0.40

37.84
(6)**

23.39
(1.93)*

5.25
(5.13)**

0.06
(0.3)

-1.17
(-0.36)

98.90
(7.69)**
5.58
(20.39)**

92

47

( )

358
(115)
492
(157)
1.52
(0.66)
340
(90)

368
(109)
502
(167)
1.49
(0.56)
351
(94)

2.33
(1.21)

2.28
(0.94)

344
(182)

1.48
(0.55)

488
(237)

343
(154)

2.94
(0.95)

755
(286)

798
(353)

801
(286)

84

83

82

350
(93)

1.48
(0.57)

497
(139)

352
(119)

2.28
(0.94)

771
(274)

85

344
(128)

1.46
(0.51)

486
(183)

350
(189)

342
(81)

1.48
(0.58)

485
(132)

342
(130)

2.28
(0.92)

753
(321)

760
(402)
2.24
(0.87)

87

86

345
(129)

1.47
(0.63)

487
(150)

344
(103)

2.27
(0.93)

752
(259)

88

335
(90)

1.51
(0.61)

483
(148)

339
(98)

341
(91)

1.48
(0.68)

480
(164)

342
(94)

2.17
(0.95)

718
(243)

733
(250)
2.24
(0.87)

90

89

382~92()()

343
(94)

1.42
(0.55)

469
(160)

348
(133)

2.08
(0.77)

700
(275)

91

341
(90)

1.37
(0.56)

451
(146)

346
(133)

2.04
(0.98)

683
(248)

92

48

-3.71

-1.95

None

-3.08

3.26

None

6.55

18.642*

14.335*

16.218*

12.293*

12.293*

-3.228*

-2.711*

-3.748*

-3.116*

-3.210*

-2.665

-2.737

-0.897

-0.787

2.657*

PRICE

11.432*

11.964*

12.546*

13.097*

14.114*

-3.350*

-3.428*

-3.381*

-3.460*

-3.384*

-0.399

-0.489

-1.158

-1.133

-2.282*

RENT

11.473*

8.945*

11.970*

9.309*

8.075*

-3.246*

-2.224*

-3.139*

-2.253*

-2.531*

-4.172*

-4.459*

-4.250*

-4.543*

-3.195*

dPRICE

-3.561*

-3.245*

-3.726*

-3.380*

-3.316*

-0.011

-0.164

-1.129

-1.170

-2.381*

PRICE

9.477*

9.762*

7.851*

8.240*

7.829*

8.677*

8.767*

10.178*

10.318*

9.884*

10.274*

11.049*

10.764*

11.540*

11.842*

-3.466*

-3.554*

-3.634*

-3.714*

-3.750*

-0.549

-0.604

-0.371

-0.375

-1.292

RENT

(Level)

F34()

-3.313*

-2.338*

-3.059*

-2.662*

-2.846*

-4.475*

-4.584*

-3.877*

-3.993*

-3.083*

dRENT

(First
Difference)

10.746*

10.127*

10.392*

9.810*

9.566*

-3.828*

-3.219*

-3.958*

-3.373*

-3.620*

-3.749*

-3.917*

-3.427*

-2.992*

-2.237*

7.848*

8.985*

7.899*

9.024*

8.423*

-3.087*

-3.215*

-3.186*

-3.320*

-3.417*

-3.868*

-3.711*

-3.407*

-3.657*

-3.244*

dRENT

(First
Difference)

dPRICE

1. 5-1PRICERENT
2. NoneI onlyI,SDI,Tr
I,SD, Tr
3. * 95%

2.95

I , SD , Tr

I , Tr

6.60

3.04

I , SD

I only

F34()

-1.91

I , SD , Tr

I , Tr

-3.04

-1.95

I , SD

I only

PI2()

-3.56

I , SD , Tr

I , Tr

-3.08

-2.96

-1.95

I , SD

I only

None

PI1

(Level)

49