국내 주택시장의 시차가변적 위험 프리미엄 존재에 관한 연구
Whether or not Time-variant Risk Premia exist in Korea Housing Market
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초록
본 연구는 국내 주택시장을 하나의 투자시장으로 간주하고 아파트, 단독주택, 연립주택의 개별 매매시장과 전세임대시장 내에 비체계적 위험 프리미엄이 존재하는지의 여부와 만약 존재할 경우 이러한 위험 프리미엄이 시차가변성을 보이는지를 IGARCH-M모형을 통해 검증한 것이다. 분석결과 첫째, 아파트 매매수익률에는 시차가변적 위험 프리미엄이 존재함을 알 수 있었다. 둘째, 아파트 전세가 변동에도 시차가변적 위험프리미엄이 존재하는 것을 알 수 있었다. 셋째, 특히 최근 10년간 아파트 매매가 변동에 있어 위험프리미엄이 급격히 줄어드는 과정에서 전세가 변동의 위험프리미엄과 역전현상이 발생되고 있음을 알 수 있었다. 결론적으로 위험프리미엄이 가산된 아파트 전세보증금을 기반으로 레버리지투자를 추구하여 고위험 하의 고수익을 추구할 수 있는 투자자에게는 매매투자보다 아파트 전세임대를 기반으로 한 투자전략이 보다 우월할 수 있는 주택투자 시장상황임을 보여주었다.
Abstract
The purpose of this study is to investigate some empirical evidences about the next two issues. Firstly, there is the existence of the risk premium in Korea housing market. Secondly, if there are the risk premia, whether or not they are time-variant. For this study, I assumed that the domestic housing market in Korea is considered as one of the investment markets, and it is composed of three major assets; Apartment(APT), Detached House(DH), and Row House(RH). There are two types of investment strategies; Sales and Jeonse Lease. For empirical analysis, I construct the applied model that combine CAPM and IGARCH-M model. The results of this research are follows: 1) In sales market, there are time variant risk premia in the APT returns, time invariant risk discount in the DH returns, and time variant risk discount in the RH returns. 2) In Lease market, there are time variant risk premia in the APT price changes, time variant risk discount in the DH and the RH price changes. 3) Particularly, the risk premia of APT yields for sale sharply reduced during the last 10 years, but the risk premia of APT rental price changes maintains during the same period. Eventually, the reversal phenomenon occurred between the sales market and the lease market. So, the risky investor who pursue a high returns under high risk using the leverage, may prefer the lease investment strategy to the sales strategy in recent years
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