중국 주택가격의 장･단기 영향요인 분석- 시장규모 및 시장특성을 고려하여
Analysis of long and short term influencing factors of Chinese housing prices - Considering market size and market characteristics
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초록
본 연구는 중국 주택가격에 대한 장단기 영향요인을 확인하기 위한 실증분석을 수행한다. 장기관계의 존재를 확인하기 위해 기존의 요한센 공적분 외에 ARDL bound test를 추가하고, 장기벡터 확인을 위해 DOLS 및 FMOLS 분석을 수행한다. 단기영향력은 변수나열순서와 무관하게 일관적 결과를 도출하는 일반화 충격반응 및 일반화 예측오차 분산분해를 수행한다. 장기분석결과, 모든 도시규모에서 장기관계가 확인되었다. 장기벡터의 경우 소득과 대출량의 정(+)의 영향력과 주가가 부(-)의 영향력이 대부분 모형에서 확인되었다. 하지만 이자율과 주택재고의 경우 유의미한 결과가 많지 않아 장기에 있어서 주택가격에 대한 영향력이 크지 않은 것으로 판단된다. 단기분석결과, 일반화 충격반응함수의 경우 일선도시는 주가의 영향이 확인되었다. 이선도시와 삼선도시의 경우 일차 상급도시 및 대출량이 유의미한 영향력을 나타내었다. 모든 규모에서 충격은 20개월까지 이어짐이 확인되었다. 일반화 예측오차분산분해의 결과는 충격반응함수의 결과를 뒷받침하고 있다. 연구결과 장기와 단기에 주택가격 결정에 대한 영향요인에 차이가 있음을 확인하였다. 장기의 경우 이론적 요인이 제한적으로 부합하고 있지만 단기에는 주요요인이 차상위 도시의 변동으로 나타났다. 이 결과는 정책수립 시 단기와 장기에 구분되는 방법을 준비하는 것이 중요함을 의미한다.
Abstract
This paper conducts an empirical study on China's housing markets, attempting to analyze the short and long-run influence factors of housing price. In order to analyze the existence a long-run relationship of the theoretical model, we perform Johansen cointegration, and ARDL Bounds test. Additionally, DOLS and FMOLS analysis performs to determine long term vectors. To analyze the short-run influential factors, generalized impulse response and generalized variance decomposition techniques are employed. Long-run relationships have been identified on all models. For the long-run vectors, the positive influence of income and household loans and the negative influence of stock prices are mostly identified in the model. However, interest rates and housing stocks show little significant results. We found that in the short-run, the generalized impulse response effect of stock prices is confirmed in the first-tier cities. Upward-tire cities and household loans is significant results in second- and third-tier cities Shock levels at all sizes have been confirmed for up to 20 months. The results of the generalized variance decomposition support the generalized impulse response.. In our finding, long and short run influence on housing Price are different. In the long-run, the theoretical influences are identified, but in the short-run , the major factor is upward-tire cities. The results emphasizes that to establish short and long-run different policy is important.
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