주택가격과 거시경제: 구조적 VEC모형
House Price and Macro-Economy in Korea: Structural VECM Analysis
1
조회
0
다운로드
17
인용
0
참고문헌
키워드
초록
본 논문은 공적분된 VEC모형을 중심으로 1999년 1분기~2013년 1분기에 걸친 한국경제의 거시경제 자료를 이용하여 주택시장과 거시경제 간의 상호관계를 분석하였다. 소규모 개방경제 모형을 구축하여 구매력 평가, 이자율평형, 피셔 인플레이션평형, 국가 간 산출 격차, 주택 산출 관계를 유도하였다. 이들은 구조적 VEC모형의 공적분 공간을 제약하는 관계로 활용되었다. 추정된 모형에 대해 일반화된 충격반응함수(generalized impulse response) 분석을 실시하였다. 실증분석 결과는 장기적으로 주택가격과 이자율 및 국내 산출 간에는 각각 장기적으로 음(-), 양(+)의 균형관계가 존재하며 단기적으로 거시경제 변수와 주택가격 간의 통상적인 관계를 다시 확인할 수 있었다. 그러나 주택가격의 예측오차 분산 분해는 주택가격 변화에 있어 국내 변수보다는 국외 변수가 지배적인 영향을 미치고 있음이 나타났다.
Abstract
We identifies the dynamic relations between house price and macroconomic variables based on a vector error-correction model of a small open economy developed by Garratt et al.(2006). The dynamics of the short run are constrained only by adjustment to the long run equilibrium within a structural vector error-correction model and the long run equilibrium relation is derived from an dynamic optimization model. Using macroeconomic data over the period 1999 Q1~2013 Q1 in the Korean economy, we identify the long-run structure of the Korean economy and study the dynamic interrelations using the generalized impulse response functions. A long-run positive relation among house price, interest rate and output is identified significantly. Usual short-run relation among several macroeconomic variables and house price were able to be confirmed. However, the variance decomposition of forecast errors signified dominant influence of foreign variables on house price fluctuations.
참고문헌 (24)
- 심성훈, "주택가격과 거시경제변수의 순환변동에 대한 연구", 부동산학연구, 12(1), pp.147~164 (2006), 한국부동산분석학회
- 이영수, "한국의 주택가격과 거시경제: SVAR 분석", 부동산학연구, 14(3), pp.129~147 (2008), 한국부동산분석학회
- 최희갑, "통화정책 전달에서의 주택가격의 역할", 부동산학연구, 17(4), pp.5~25 (2011), 한국부동산분석학회
- Abadir, K. M., "The Influence of VAR Dimensions on Estimator Biases", Econometrica, 67, pp.163~181 (1999)
- Aoki, K., "House as Collateral: Has the Link between House Prices and Consumption in the U.K. Changed?", Fed Reserve Bank New York Economic Policy Review, 8(1), pp.163~177 (2002)
- Asset Price Shocks, Real Expenditures, and Financial Structure: A Multi-Country Analysis, "Chirinko, R. S.", De Nederlandsche Bank, ~, pp.DNB Working Paper no.14 (2004)
- Elbourne, A., "The UK Housing Market and the Monetary Policy Transmission Mechanism: An SVAR Approach", Journal of Housing Economics, 17, pp.65~87 (2008)
- Fry, R., "Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?", Economic Record, 86, pp.465~485 (2012)
- A Structural Cointegrating VAR Approach to Macroeconometric Modelling, "Garratt. A.", Edinburgh School of Economics, University of Edinburgh, ~, pp.ESE Discussion Papers no.8 (1999)
- Garratt. A., "A Long-run Structural Macroeconometric Model of the UK", Economic Journal, 113(487), pp.412~455 (2003)
- Garratt. A., "Global and National Macroeconometric Modelling: A Long-run Structural Approach" (2006), Oxford University Press
- Haug, A. A., "Tests for Cointegration: A Monte Carlo Comparison", Journal of Econometrics, 71, pp.89~115 (1996)
- House Prices and Business Cycle in Europe : A VAR Analysis, "Iacoviello, M.", Boston College, ~, pp.Boston College Working Paper in Economics no.540 (2002)
- Iacoviello, M., "The Credit Channel of Monetary Policy: Evidence from the Housing Market", Journal of Macroeconomics, 30, pp.69~96 (2008)
- Johansen, S., "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, 12, pp.231~254 (1988)
- Johansen, S., "Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models", Econometrica, 59, pp.1551~1580 (1991)
- Johansen, S., "Maximum Likelihood Estimation and Inference on Cointegration–with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, 52, pp.169~210 (1990)
- Johansen, S., "Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and UIP for UK", Journal of Econometrics, 53, pp.211~244 (1992)
- Kim, S., "Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach", Journal of Monetary Economics, 45(3), pp.561~586 (2000)
- King, R. C., "Stochastic Trends and Economic Fluctuations", American Economic Review, 82, pp.819~840 (1991)
- Koop, G., "Impulse Response Analysis in Nonlinear Multivariate Models", Journal of Econometrics, 74, pp.119~147 (1996)
- Pesaran, M. H., "Generalized Impulse Response Analysis in Linear Multivariate Models", Economics Letters, 58, pp.17~29 (1998)
- Pesaran, M. H., "Long-Run Structural Modelling", Econometric Reviews, 21(1), pp.49~87 (2002)
- Pesaran, M. H., "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables", Journal of Econometrics, 97, pp.293~343 (2000)