금융자산가격이 주택가격에 미치는 영향
The Effects of Financial Asset Prices on Housing Prices
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참고문헌
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초록
여러 VAR 모형을 이용한 실증적 분석결과 이자율 하락충격은 동태적으로 매매가격보다는 전세가격을 더 상승시키기 때문에 전세/매매가격비율을 증가시킨다. 이 충격반응효과는 실질변수를 사용하는 경우에도 유사하다. 반면 주가 상승충격은 실질변수를 사용하는 경우 매매 및 전세가격에 더 크고 통계적으로 유의적인 플러스 영향을 미친다. 한편 VAR 모형에 대한 BLS 검정결과 분석대상기간동안 외환위기가 발생했음에도 불구하고 구조적 분기점이 존재하지 않는 것으로 나타났다.
Abstract
The paper presents empirical evidences for the effects of asset price shocks on housing prices, using several VAR models. The empirical results show that a negative shock to the interest rate dynamically leads to a persistent increase in housing Chonsei prices/housing sales prices, because Chonsei prices are rising more rapidly than sales prices. This effect is nearly similar, even when real variables are used instead of nominal variables. On the contrary, a positive shock to the stock price has more statistically significant and positive influence on housing sales and Chonsei prices, when real variables are employed. The BLS test provides that there exists no endogenous break point for the whole sample period in spite of the 1997 currency crisis.
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