서울시 아파트가격의 동학적 특성에 관한 연구: 주택가격변화의 계열상관과 균형복귀율 추정을 중심으로
A Study on the Apartment Price Dynamics in Seoul :Focused on the Serial Correlation and Mean Reversion in Housing Prices Changes
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This research analyzes the long-run and short-run dynamic properties of apartment prices inSeoul by using quarterly time series data from 2006 to 2012. In order to analyze the long-rundynamic characteristics of apartment prices, market equilibrium prices are estimated by using areduced-form equation arising from the equilibrium condition of demand and supply. For analyzingthe short-run dynamic features of apartment prices, a price adjustment model is built and estimatedon the standpoints of serial correlation and mean reversion. In the first-stage of analysis, panelestimation with fixed effects of "Gu" dummy variables fits the data very well and all variables inthe equation have the expected signs and are statistically significant at the 5% level. Thesecond-stage of analysis uses the estimates of the equilibrium prices from the first-stage. Theempirical results show that house prices exhibit a strong serial correlation with a coefficient of0.489, and the rate of mean reversion is 0.165. The realizations of the estimated serial correlationand mean reversion are spread over 25 "Gu" regions. Sixty-seven percent of observations lie inthe no-oscillation and convergent region and another 32.2% falls in the no-oscillation andconvergent region which implies that during the sample period in Seoul, the movements ofapartment price can be largely explained by the long-run and short-run models, and there havebeen no sustainable apartment price bubbles.
Abstract
This research analyzes the long-run and short-run dynamic properties of apartment prices inSeoul by using quarterly time series data from 2006 to 2012. In order to analyze the long-rundynamic characteristics of apartment prices, market equilibrium prices are estimated by using areduced-form equation arising from the equilibrium condition of demand and supply. For analyzingthe short-run dynamic features of apartment prices, a price adjustment model is built and estimatedon the standpoints of serial correlation and mean reversion. In the first-stage of analysis, panelestimation with fixed effects of "Gu" dummy variables fits the data very well and all variables inthe equation have the expected signs and are statistically significant at the 5% level. Thesecond-stage of analysis uses the estimates of the equilibrium prices from the first-stage. Theempirical results show that house prices exhibit a strong serial correlation with a coefficient of0.489, and the rate of mean reversion is 0.165. The realizations of the estimated serial correlationand mean reversion are spread over 25 "Gu" regions. Sixty-seven percent of observations lie inthe no-oscillation and convergent region and another 32.2% falls in the no-oscillation andconvergent region which implies that during the sample period in Seoul, the movements ofapartment price can be largely explained by the long-run and short-run models, and there havebeen no sustainable apartment price bubbles.
참고문헌 (13)
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