서울 아파트 매매가의 영구적 · 일시적 요인 분석
Permanent and Transitory Components of Seoul Apartment Prices
0
조회
0
다운로드
5
인용
0
참고문헌
키워드
초록
This paper proposes a log-linear present-value model in relation to home prices, Chonsei prices, and interest rates (conversion rates from Chonsei prices to rent prices). Given the present-value model, we apply a vector autoregressive approach to the Seoul apartment market and then find three main results. First, the Seoul apartment market seemed to be speculative in the past, but its speculative movements have gradually declined over time. Second, most recent variation in home prices relative to Chonsei income results from the future uncertainty related to the interest-rate forecast. Third, Chonsei prices and interest rates provide natural increasing and decreasing trends for home prices, respectively. In addition, variation in expected returns that represents a shift in real-estate investment opportunity makes the prices mean-revert to the home’s intrinsic value. Since the interest-rate forecast not only increases the price volatility but also induces the price decrease, it is important to keep a long-term interest-rate policy stable for the residential stabilization.
Abstract
This paper proposes a log-linear present-value model in relation to home prices, Chonsei prices, and interest rates (conversion rates from Chonsei prices to rent prices). Given the present-value model, we apply a vector autoregressive approach to the Seoul apartment market and then find three main results. First, the Seoul apartment market seemed to be speculative in the past, but its speculative movements have gradually declined over time. Second, most recent variation in home prices relative to Chonsei income results from the future uncertainty related to the interest-rate forecast. Third, Chonsei prices and interest rates provide natural increasing and decreasing trends for home prices, respectively. In addition, variation in expected returns that represents a shift in real-estate investment opportunity makes the prices mean-revert to the home’s intrinsic value. Since the interest-rate forecast not only increases the price volatility but also induces the price decrease, it is important to keep a long-term interest-rate policy stable for the residential stabilization.
참고문헌 (22)
- 김문성, "서울 아파트 월세, 전세, 매매시장의 무차익 조건과 규제 및 규제완화 효과에 대한 시사점", 규제연구, 21(2), pp.127~146 (2012), 한국규제학회
- 김미정, "복잡성 하의 부동산투기및 부동산 정책-행위자기반모형을 중심으로", 제 1 회 복잡계컨퍼린스 (복잡계이론과 현실, 생산적 적용의 모색) 발표논문 (2006), 삼성경제연구소 복잡계센터
- 김원희, "부동산 버블 측정에 관한 연구 -아파트를 중심으로-", 지역연구, 28(2), pp.129~142 (2012), 한국지역학회
- 김윤영, "우리나라 주택시장의 매매 · 전세 가격변동 거시결정요인의 동태분석", 경제학연구, 60(3), pp.127~153 (2012), 한국경제학회
- 김봉한, "부동산가격 버블의 존재 검정: 상태전환회귀식의 활용", 주택연구, 12(1), pp.71~96 (2004), 한국주택학회
- 문규현, "국내 주택시장의 가격발견 - 매매가격", 전세가격을 중심으로, 2010, pp.23(2), 797~811[DOI]
- 배형, "상이한 주택 가격 기대상승률과 자본비용 하에서의 주택 매매, 전세, 월세 시장의 균형분석", 산업조직연구, 22(4), pp.1~20 (2014), 한국산업조직학회
- 손정식, "부동산가격 예측모형에 관한 연구", 주택연구, 11(1), pp.49~75 (2003), 한국주택학회
- 이영수, "주택가격과 전세가격: VECM 분석", 부동산학연구, 16(4), pp.21~32 (2010), 한국부동산분석학회
- 이준희, "자산가격 결정모형을 이용한 우리나라 주택가격 분석", KDI Journal of Economic Policy, 29(1), pp.113~136 (2007), 한국개발연구원
- 이창무, "임차인 입장에서의 전월세전환율 분석", 주택연구, 18(2), pp.163~182 (2010), 한국주택학회
- 임규채, "주택시장의 전세가격과 매매가격간의 상호관계에 관한 연구", 산업경제연구, 19(3), pp.1203~1223 (2006), 한국산업경제학회
- 조주현, "전세가격과 매매가격 및 월세가격간의 관계에 관한 연구", 부동산학연구, 10(2), pp.17~30 (2004), 한국부동산분석학회
- 최성호, "매매, 전세, 월세 시장간 관계의 구조적 해석", 주택연구, 17(4), pp.183~206 (2009), 한국주택학회
- Campbell, John Y., "A variance decomposition for stock returns", The Economic Journal, 101, pp.157~179 (1991)
- Campbell, John Y., "Handbook of the economics of finance" (2003)
- Campbell, John Y., "Cointegration and tests of present value models", Journal of political Economy, 95(5), pp.1062~1088 (1987)
- Campbell, John Y., "The dividendprice ratio and expectations of future dividends and discount factors", Review of financial studies, 1(3), pp.195~228 (1988)
- Cochrane, John H., "Permanent and transitory components of GNP and stock prices", The Quarterly Journal of Economics, pp.241~265 (1994)
- Cochrane, John H, "The dog that did not bark : A defense of return predictability", Review of Financial Studies, 21(4), pp.1533~1575 (2008)
- Cochrane, John H, "Presidential address : Discount rates", The Journal of Finance, 66(4), pp.1047~1108 (2011)
- Fama, Eugene F., "Two pillars of asset pricing", The American Economic Review, 104(6), pp.1467~1485 (2014)