통화정책을 통한 주택 및 전세가격의 동시 안정은 달성 가능한 목표인가?
Joint-Stability of Housing and Joensei Prices through Monetary Policy: Is an Achievable Goal?
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초록
본고는 통화정책 등을 통하여 거시경제 펀더멘탈에서 벗어난 주택 및 전세가격 내의 불균형(dis-equilibrium)을 동시(simultaneously)에 축소․안정화 시킬 수 있는 지를 분석한다. 이를위하여 먼저 부분균형 정태분석을 통하여 주택 매매와 전세가격(또는 불균형)이 음의 가격교차탄력성을 가짐을 보인다. 다음으로 이를 일반화한 실증모형으로 합리적 자산가격 이론에기반한 주택 및 전세가격과 거시경제 펀더멘탈의 공적분 VAR 모형을 구성한다. 또한 주택가격내의 거시경제 펀더멘탈 추세와 독립적인 非 펀더멘탈 추세를 변환오차수정모형과 베버리지넬슨 분해를 통하여 구하고 통계적으로 검정한다. 외환위기 이후 기간을 대상으로 한 실증분석결과, 이자율(통화정책)과 산업생산 상승충격은 단기적으로 주택가격 불균형의 하락 반응과전세가격 불균형의 상승 반응을 상반되게 가져오는 것으로 나타났다. 또한 주택 및 전세가격은모두 이자율 등 펀더멘탈 보다 심리적인 요인 등에 의해 결정되는 非 펀더멘탈 추세 충격에상대적으로 더 큰 반응을 보이는 것으로 나타났다. 이런 결과들은 통화정책을 통해 주택 및전세가격의 불균형을 동시에 축소하여 주택시장을 안정화시키는 것이 어려울 수 있음을 시사한다.
Abstract
In this paper, we test and estimate of the stochastic trends in Korean housing and jeonse market. For this, following Kim (2016, 2018), we exploit that the long-run equilibrium housing price may be decomposed into fundamental and stochastic non-fundamental trends by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which housing and jeonse prices converge to their long-run equilibrium, which reflects the stated stochastic non-fundamental trend. We may test the existence of bubble trend via a standard test and conduct a dynamic analyses using housing and jeonse prices, fundamental and non-fundamental trends in a VAR model. The results of the dynamic analysis of monthly data after Asian financial crisis, indicate that the impulses in housing and jeonse prices during that period can induce inverse direction responses with each other. Those results indicate that the monetary policy may not sorely successful to stabilize the housing and jonse markets jointly without supply-side policy.
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