저금리가 주택가격을 상승시키는가?
How does the Low Interest Rate Raise House Prices?
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This study analyzes the effect of interest rates on house prices. In particular, tests hypotheses which are 1) the low key rate increases house prices, 2) house prices affects interest rates and 3) the interest rate determined by Taylor's rule is appropriate. The variables are house prices, key rate, BOK bond rate, loan rate, price index and estimated Taylor interest rate. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based specification is adopted to produce a time-varying measure of volatility. The empirical results show that Interest rates affect the house prices, the low key rate raises house prices, and house prices impact on interest rates, while house price change and the key rate are unconnected. Another finding is that clusters of volatility exist and persistence is long-run. Therefore the central bank should consider the real estate market when determining the key rate to stabilize asset prices.
Abstract
This study analyzes the effect of interest rates on house prices. In particular, tests hypotheses which are 1) the low key rate increases house prices, 2) house prices affects interest rates and 3) the interest rate determined by Taylor's rule is appropriate. The variables are house prices, key rate, BOK bond rate, loan rate, price index and estimated Taylor interest rate. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based specification is adopted to produce a time-varying measure of volatility. The empirical results show that Interest rates affect the house prices, the low key rate raises house prices, and house prices impact on interest rates, while house price change and the key rate are unconnected. Another finding is that clusters of volatility exist and persistence is long-run. Therefore the central bank should consider the real estate market when determining the key rate to stabilize asset prices.
참고문헌 (24)
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