本文主要探討在不動產市場中，投資人是否遭受貨幣幻覺(Money Illusion)。貨幣幻覺亦被稱作通膨幻覺(Inflation Illusion)，指人們將預期通貨膨脹率假設為不變，因而將受通貨膨脹率影響的名目價值的變動，誤以為是受實質價值的變動所影響，進而導致消費及投資行為的不理性，為一種認知上的偏差，貨幣幻覺假說主張資產的錯誤定價(mispricing)主要受到通貨膨脹率影響，並且通貨膨脹率與錯誤定價之間為顯著負相關。本研究以世界經濟大國之一的英國住房市場為研究目標，選取1990-2017年最近期之樣本期間，從房價租金比(price-rent ratio)中分離出偏離基值(fundamental value)的錯誤定價(mispricing)部分，再利用貝氏向量自我迴歸模型(Bayesian Vector Autoregression)求出錯誤定價之估計值，並以此錯誤定價之估計值與通貨膨脹率進行單迴歸分析，然而在本研究的樣本中找不到貨幣幻覺存在的相關證據，因此我們嘗試找尋其他同樣代表投資人非理性行為的替代變數，選用消費者情緒(consumer sentiment)作為另一解釋因子，比較貨幣幻覺與消費者情緒何者才是造成英國住房市場中錯誤定價的主因，最終發現消費者情緒比起通貨膨脹率更能解釋錯誤定價部分，又發現作為消費者情緒之代理變數的經濟信心指數(ESI)之組成成分中，以消費者信心、零售貿易業信心、營造業信心三者為影響錯誤定價之主因。

In this article, we want to investigate that there is money illusion or not in the housing market. Money illusion is also called inflation illusion, which means people assume the expected inflation rate is constant, and then mistakenly think the real value of assets has changed. This misperception will cause the irrational behavior in investment and consumption. Money illusion hypothesis indicates that the mispricing of asset is mainly influenced and caused by the inflation rate, and there is significantly negative correlation between mispricing and inflation rate. We choose England, one of the world's greatest economies, to be the research objective, and the sample period is from 1990 to 2017. We try to separate the mispricing component, the deviation from fundamental value, from the price-rent ratio, and use the Bayesian Vector Autoregression to get the estimated value of mispricing, then take the mispricing to run Least Squares model with the inflation rate. In our results, we don’t find any evidence to support money illusion hypothesis, so we try to find another variable also representing the irrational behavior of investors can better explain the mispricing. We choose consumer sentiment to be the another factor to compare with inflation rate. Finally, we confirm that consumer sentiment can better interpret the mispricing component of asset than inflation rate.

壹、前言 1
一、研究動機 1
二、研究目的 2
貳、文獻回顧 4
一、股票市場的貨幣幻覺 4
二、住房市場的貨幣幻覺 8
三、交易者行為和消費者情緒 12
參、研究架構 15
一、錯誤定價之推導 15
二、向量自我迴歸模型 19
三、錯誤定價與通貨膨脹率及消費者情緒之相關性 20
肆、實證 23
一、樣本資料 23
二、研究結果 25
伍、結論 34
參考文獻 36

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