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주택가격의 인플레이션 헷지(hedge) 효과의 지수 간 비교분석

An investigation of the inflation-hedging ability of housing in Korea using two housing price indexes

심성훈
한국지역사회학회 (Korean Association Of Regional Studies)|2015.12|지역사회연구 (Journal of Regional Studies)|제23권 제4호|pp. 15-40|DOI 10.22921/jrs.2015.23.4.002

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키워드

HousingAppraisal-based priceTransaction-based priceInflation hedge
주제분류국제/지역개발

초록

Using both appraisal-based price index and transaction-based price index, this paper investigates the inflation hedging effectiveness of eight housing markets in Korea during the period of 2006～2015, based on the EGARCH model. The empirical results show that the GARCH effect in housing return volatility is found in all regions. Second, housing provides a significant hedge against expected inflation but weak evidence against unexpected inflation, based on the transaction-based prices. Third, there does not exist the effect of systematic risk on housing return. Fourth, the negative asymmetric effects are found in Seoul metropolitan areas, implying housing return volatility becomes larger in response to bad news than to good news during the sample period. The fact that empirical results using the appraisal-based price index are largely different with those using transaction-based price index indicates that the analysis of housing return should rely on the sales prices rather than asking prices or appraisal-based prices.

Abstract

Using both appraisal-based price index and transaction-based price index, this paper investigates the inflation hedging effectiveness of eight housing markets in Korea during the period of 2006～2015, based on the EGARCH model. The empirical results show that the GARCH effect in housing return volatility is found in all regions. Second, housing provides a significant hedge against expected inflation but weak evidence against unexpected inflation, based on the transaction-based prices. Third, there does not exist the effect of systematic risk on housing return. Fourth, the negative asymmetric effects are found in Seoul metropolitan areas, implying housing return volatility becomes larger in response to bad news than to good news during the sample period. The fact that empirical results using the appraisal-based price index are largely different with those using transaction-based price index indicates that the analysis of housing return should rely on the sales prices rather than asking prices or appraisal-based prices.

참고문헌 (38)

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An Investigation of the Inflation-Hedging Ability of Housing and Stock Returns in Korea심성훈, 최종일한국주택학회 · 주택연구2002 · 제10권 제1호실거래가격을 이용한 부동산가격지수 선물의 도입에 관한 연구노태욱, 차미호한국부동산분석학회 · 부동산학연구2011 · 제17권 제1호한국 아파트시장의 비대칭 변동성에 관한 연구김지혜, 홍민구한국감정평가학회 · 감정평가학논집2017 · 제16권 제2호주택의 인플레이션 헤징효과임병준, 최희갑한국부동산분석학회 · 부동산학연구2009 · 제15권 제3호주택가격과 물가의 동학: 한국의 경험이영수한국부동산분석학회 · 부동산학연구2012 · 제18권 제4호평가기반 아파트가격지수에서의 비대칭 평활화 현상에 관한 연구박연우, 방두완한국주택학회 · 주택연구2011 · 제19권 제2호

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