부동산가격 버블의 존재 검정: 상태전환회귀식의 활용
The Rise in House Price in Korea: Bubble, Fad or Fundamentals
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본 연구에서는 우리경제의 부동산가격에 버블이 존재하는 가의 여부를 검정하였다. 기존 실증분석 연구의 문제점을 극복하고자 1987년에서 최근까지의 전국 아파트가격지수를 이용하여 상태변환 회귀식의 계량기법을 사용했다. Roche(2001)의 상태변환 회귀식을 사용하여 부동산 가격이 투기적 버블, 유행(fads), 또는 기초경제변수에 의해서 설명되는 가를 다양한 방법으로 검정했는데 우리나라의 아파트가격은 버블모형에 의해서 가장 잘 설명될 수 있다는 결과를 얻었다. 버블이 붕괴될 확률을 추정했는데 1998년에 0.26의 값을 얻어서 추정기간 중에 가장 높은 값을 기록하였는데 이는 외환위기의 영향이 가장 컸던 1998년에 아파트가격이 가장 큰 폭으로 하락하였기 때문이다.
Abstract
>We test the existence of bubbles in Korea's house prices. Following the methodology of Roche(2001), we use average house price of Korea as an endogenous variable and industrial production, interest rate, and consumer price index as explanatory variables of the regression. Estimated regression residuals are defined as house price bubbles.We test the existence of house prices bubbles in Korea for the period of 1986-2003 with monthly data, using regime-switching model. We confirm the existence of house prices bubbles throughout the sample period except for the year 1998 when Korea suffered the financial crisis. We estimate the probability of bubbles to crash. We find that in 1998, the probability of crash is highest recording 26% which is consistent with historical data since, with the Asian financial crisis, house prices fell very sharply in 1998.
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