주택가격과 물가의 동학: 한국의 경험
Dynamics of Housing Price and Inflation in Korea
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초록
This paper analyzes dynamic relations between housing price and inflation in Korea, using a vector error correction model(VECM). Data covers Jan. 1986 to June 2012. I apply the stability test proposed by Qu and Perron(2007) to explore the possibility of the structural breaks of the model during the data period. Empirical results are as follows: Firstly, I find 4 times of structural breaks during the data period and consider 2 breaks which are related to the foreign exchange crisis and the financial crisis. Therefore I have 3 sub-periods to analyze. Secondly, the result of Johanson cointegration test shows that long-run equilibrium relations between housing price and inflation hold for the whole and sub-periods. Thirdly, housing price and inflation have mutual effects in the sub-periods unlike in the whole period. This result imply that housing price has both of inflation hedging ability and wealth effect in Korea, if we consider the structural breaks.
Abstract
This paper analyzes dynamic relations between housing price and inflation in Korea, using a vector error correction model(VECM). Data covers Jan. 1986 to June 2012. I apply the stability test proposed by Qu and Perron(2007) to explore the possibility of the structural breaks of the model during the data period. Empirical results are as follows: Firstly, I find 4 times of structural breaks during the data period and consider 2 breaks which are related to the foreign exchange crisis and the financial crisis. Therefore I have 3 sub-periods to analyze. Secondly, the result of Johanson cointegration test shows that long-run equilibrium relations between housing price and inflation hold for the whole and sub-periods. Thirdly, housing price and inflation have mutual effects in the sub-periods unlike in the whole period. This result imply that housing price has both of inflation hedging ability and wealth effect in Korea, if we consider the structural breaks.
참고문헌 (28)
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