금융위기 전후 부동산시장과 주식시장의 상호영향에 관한 연구

Abstract

The purpose of this study is to examine the mutual influences between the real estate market and the stock market, to identify the relationship between the two markets, and to suggest future economic policies including relevant financial market policies. To do this, we collected the representative indexes such as the KOSPI, KOSDAQ, Kookmin Bank’s housing price index, the Bank of Korea's total currency(M2), and daily call rate. The analysis period was from January 1999 to January 2019. The analysis method used the vector autoregressive(VAR) model by dividing the global financial crisis in 2007. As a result, the impact of the real estate market on the KOSPI market was reversed before and after the global financial crisis. Before the global financial crisis, we find weak relationship between real estate market and stock market. In contrast, after the financial crisis, the positive impact on real estate prices had a negative impact on the stock market. This results indicate that the activation of real estate after the financial crisis was negative on the stock market, while restraining investment funds for companies through the stock market. This means excessive expansion of the real estate market is driving out stock market investments, suggesting that this could negatively affect economic growth.