동태적 현재가치모형을 이용한 한국 주택가격움직임의 구성요소 분석
Sources of Housing Price Movements in Korea: Analysis Based on the Dynamic Present Value Model
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초록
본 연구는 국내 주택가격을 움직이게 하는 근본요인이 무엇인지를 Campbell and Shiller(1988)의 ‘동태적 현재가치모형’을 이용하여 살펴본다. 모형을 적용하면 주택의 임대소득-가격비율은 미래의 예상실질이자율과 예상주택프리미엄 그리고예상임대소득성장과 같은 구성요소의 선형관계로 나타낼 수 있다. 이 관계로부터‘3요소 분산분해(variance decomposition)’를 분석하고, 더 나아가 ‘4요소 분산분해’를 분석하여 선행연구와 차별된 결과를 도출한다. 결과는 첫째, 시장의 여건에따라 미래의 주택프리미엄이나 임대소득성장에 대한 기대변화가 주택가격을 움직이는 주요 요인이 될 수 있음을 보여준다. 둘째, 구성요소들의 공분산 관계가주택가격의 변동을 상쇄시킬 뿐만 아니라 증폭시키는 역할도 할 수 있음을 발견해준다. 셋째, 펀더멘탈의 공분산구조를 고려하지 않고 이자율로 주택가격의 움직임을 설명하는 것은 잘못된 판단을 가져올 수 있음을 확인시켜 준다.
Abstract
This study examines the fundamental factors that drive Korean housing prices using Campbell and Shiller(1988)’s ‘Dynamic Present Value Model’. The model allows the rent-price ratio to be expressed as a linear relationship of the three components, such as the expected future real interest rates, housing premium, and rent growth rate. Using the relationship, we can conduct ‘4-component variance decomposition’ exercise as well as the general ‘3-component variance decomposition’ exercise. We show that changes in expectations for the housing premium or the rent growth are the main factors driving house prices depending on market conditions. Second, the correlations among the components play a role in not only dampening house price fluctuations but also amplifying house price fluctuations. Finally, explaining the housing price movements by only interest rates, ignoring these covariance, could be misleading.
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