우리나라 주택가격의 추세-순환 분해 및 평균회귀 현상 분석
Trend-Cycle Decomposition and Mean Reversion of Korean Housing Prices
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This paper analyzes the movement of housing prices in Korea. We decompose housing pricesinto trend and cycle, using an unobserved component(UC) model, where the trend follows arandom walk with drift and the cycle is characterized as ARMA(p,q) process. We also investigatewhether housing prices shows a mean reversion in the long horizon. Data covers from Jan. of1986 to June of 2013. The cycle process best fits with ARMA(2,1) and explains 60.5% of the housing prices movement,based on the estimated parameters of the model. Predictable variation, due to the predictable cycleprocess, is estimated to be 31.4% of the housing prices movements. We find statistical evidence of mean aversion in the short horizon and mean reversion in thelong horizon with Fama·French model. Other two models, Jegadeesh model and Poterba·Summersmodel, shows mean aversion both in the short and the long horizons. After the foreign exchangecrisis in 1997, serial correlations and variance ratios have smaller values, implying the inefficiencyof the housing market is diminished.
Abstract
This paper analyzes the movement of housing prices in Korea. We decompose housing pricesinto trend and cycle, using an unobserved component(UC) model, where the trend follows arandom walk with drift and the cycle is characterized as ARMA(p,q) process. We also investigatewhether housing prices shows a mean reversion in the long horizon. Data covers from Jan. of1986 to June of 2013. The cycle process best fits with ARMA(2,1) and explains 60.5% of the housing prices movement,based on the estimated parameters of the model. Predictable variation, due to the predictable cycleprocess, is estimated to be 31.4% of the housing prices movements. We find statistical evidence of mean aversion in the short horizon and mean reversion in thelong horizon with Fama·French model. Other two models, Jegadeesh model and Poterba·Summersmodel, shows mean aversion both in the short and the long horizons. After the foreign exchangecrisis in 1997, serial correlations and variance ratios have smaller values, implying the inefficiencyof the housing market is diminished.
참고문헌 (34)
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