주택 거래량과 가격 간의 그랜저 인과관계 분석- 서울 아파트 시장을 중심으로
The Granger Casuality Analysis between Prices and Trading Volume in the Housing Market -Focused on Apartment property markets in Seoul
1
조회
0
다운로드
85
인용
0
참고문헌
키워드
초록
The purpose of this paper is empirically to shed light on a causal relationship between housing prices and trading volume. This research utilizes Granger causality test in order to figure out whether housing prices and trading volume are determined synchronously or they affect each other with a specific time-lag, analyzing monthly data of apartment prices and trading volume from 2006 to now in Seoul. As a result, it turned out that housing prices have statistically affected trading volume in seventeen districts of total twenty five ones. Housing price volatility may precede trading volume volatility although it is not absolute. Besides, in three Gangnam districts and Nowon district that people have regarded them as investment areas, housing price volatility have affected not only trading volume volatility, but the latter has also influenced the former.
Abstract
The purpose of this paper is empirically to shed light on a causal relationship between housing prices and trading volume. This research utilizes Granger causality test in order to figure out whether housing prices and trading volume are determined synchronously or they affect each other with a specific time-lag, analyzing monthly data of apartment prices and trading volume from 2006 to now in Seoul. As a result, it turned out that housing prices have statistically affected trading volume in seventeen districts of total twenty five ones. Housing price volatility may precede trading volume volatility although it is not absolute. Besides, in three Gangnam districts and Nowon district that people have regarded them as investment areas, housing price volatility have affected not only trading volume volatility, but the latter has also influenced the former.
참고문헌 (33)
- 곽태원, "부동산 양도소득세의 동결효과와 그 해소방안", 서강경제논집, 22, pp.1~15 (1993)
- 김갑성, "수도권 주택건설과 인구유입의 인과관계, 수도권 주택건설과 인구집중" (2002), 국토연구원
- 김성제, "주택시장의 인과관계에 대한 시장상황분석: 노원구 지역의 아파트매매 및 전세가격과 공급량을 중심으로", 부동산학연구, 11(2), pp.87~96 (2005)
- 김진유, "신문기사가 부동산가격변동에 미치는 영향- ‘투기’가 포함된 신문기사와 주택가격간의 그랜저인과관계분석을 중심으로 -", 주택연구, 14(2), pp.39~63 (2006), 한국주택학회
- 서승환, "지가불안정성의 영향 및 결정요인", 주택연구, 9(1), pp.57~74 (2001)
- 송일호, "계량경제 실증분석" (2002), 삼영사
- 안승철, "수익률의 변동성과 거래량에 대한 연구: 연속적 정보도착가설 vs. 혼합분포가설", 산경연구, 14, pp.19~33 (2006)
- 이용만, "강남지역의 주택가격이 주변지역의 주택가격을 결정하는가?", 국토계획, 39(1), pp.73~92 (2004), 대한국토·도시계획학회
- 이중희, "주택경제론" (1997), 박영사
- 정상국, "선물시장에서 가격과 거래량간의 인과관계 분석", 인제논집, 19(1), pp.119~143 (2004)
- 하성규, "주택정책론" (2006), 박영사
- 한국주택금융공사, "주택금융월보" (2008)
- Anderson, T., "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility", Journal of Finance, 51(1), pp.169~204 (1996)
- Berkovec, James A., "Turnover as a Measure of Demand for Existing Homes", Real Estate Economics, 24(4), pp.421~440 (1996)
- Clark, P.K., "A Subordinate Stochastic Process Model with Finite Variance for Speculative Prices", Econometrica, 41(1), pp.135~155 (1973)
- Copeland, T., "A Model of Asset Trading Under the Assumption of Sequential Information Arrival", Journal of Finance, 31(4), pp.1149~1168 (1976)
- Dipasquale and Wheaton, "Urban Economics and Real Estate Markets" (1996), Prentice Hall
- Engelhardt, G.V., "Nominal loss aversion, housing equity constraints and household mobility: evidence from the United States", Journal of Urban Economics, 116(4), pp.171~195 (2003)
- Genesove, David, "Loss Aversion And Seller Behavior: Evidence From The Housing Market", The Quarterly Journal of Economics, 116(4), pp.1233~1260 (2001)
- Harris, L., "Transaction Data Tests of the Mixture of Distributions Hypothesis", Journal of Financial Quantitative Analysis, 22(2), pp.127~141 (1987)
- Jennings, R., "An Equilibrium Model of Asset trading with Sequential Information Arrival", Journal of Finance, 36(1), pp.143~161 (1981)
- Lee, Nai Jia, "Upward mobility, house price volatility, and housing equity", Journal of Housing Economics, 14(2), pp.127~146 (2005)
- Leung, Charles, "What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market", The Journal of Real Estate Finance and Economics, 31(2), pp.241~255 (2005)
- Lucas, Robert E. Jr, "Asset Prices in an Exchange Economy", Econometrica, 46(6), pp.1429~1445 (1978)
- Miller, Norman, "Exploring Metropolitan Housing Price Volatility", The Journal of Real Estate Finance and Economics, 33(1), pp.5~18 (2006)
- Poterba, James M., "Tax Subsidies to Owner-occupied Housing: An Asset-Market Approach", The Quarterly Journal of Economics, 99(4), pp.729~752 (1984)
- Porteba. James M., "House Price Dynamics: The Role of Tax Policy and Demography", Brookings Papers on Economic Activity, pp.143~203 (1991)
- Housing Price Dynamics and Household Mobility Decisions, Working Paper, "Selsen, T.N.", The Centre for Real Estate, M.I.T., ~ (2003)
- Smirlock, M., "A Further Examination of Stock Price Changes and Transaction Volume", Journal of Financial Research, 8, pp.217~225 (1985)
- Stein, Jeremy C, "Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects", The Quarterly Journal of Economics, 110(2), pp.379~406 (1995)
- "국토해양부 부동산정보 통합포탈사이트 온나라 포탈"[URL]
- "국민은행"[URL]
- "부동산테크"[URL]