한국의 주택가격과 거시경제: SVAR 분석
Housing Price and Macroeconomy in Korea: SVAR Analysis
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초록
This paper investigates interrelations between housing prices and other macroeconomic variables, using an structural vector autoregression (SVAR) model of the Korean economy. The model includes 6 variables: output, consumption, consumer prices, interest rate, money, and housing prices. Contemporaneous restrictions are applied to identify the SVAR model. I find that house prices are significantly affected by interest rate shocks and housing price shocks increase consumption, output, and price level. These findings coincide with other VAR model's results of U.S. and EU countries. But the impacts of shocks are larger in Korea, compared to those of other countries. Combining the estimates for interest rate and house price shocks suggests that house price movements can explain about 22% of the fall in consumption following an interest rate shock.
Abstract
This paper investigates interrelations between housing prices and other macroeconomic variables, using an structural vector autoregression (SVAR) model of the Korean economy. The model includes 6 variables: output, consumption, consumer prices, interest rate, money, and housing prices. Contemporaneous restrictions are applied to identify the SVAR model. I find that house prices are significantly affected by interest rate shocks and housing price shocks increase consumption, output, and price level. These findings coincide with other VAR model's results of U.S. and EU countries. But the impacts of shocks are larger in Korea, compared to those of other countries. Combining the estimates for interest rate and house price shocks suggests that house price movements can explain about 22% of the fall in consumption following an interest rate shock.
참고문헌 (37)
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