Campbell-Shiller의 동태적 고든 모형이 한국의 아파트시장을 설명할 수 있는가?
Can Campbell-Shiller's Dynamic Gordon Model Explain Korean Apartment Market?
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초록
The dynamic Gordon model of Campbell and Shiller(1988) was considered. First, the quarterly data set, which rental income was measured by the corporate bond yield, was used for the sample period of 1986Q1~2008Q2. For this quarterly data set, the dynamic Gordon model was not consistently rejected at the 5% significance level. However, the model could not evaluate the apartment price properly with the normal discount rate. Second, the monthly data set, which rental income was measured by the monthly rent rate, was used for the sample period of Agu.2001~Jun.2008. For this monthly data set, the dynamic Gordon model was rejected at the 1% significance level in the apartment excess return regression test. According to the volatility test, differently from the test result of the quarterly data set, there existed the excess volatility of the log rental income-apartment price, and the model was rejected at the 5% significance level. In addition, the model was mostly rejected at the 5% significance level, by the Wald test. Furthermore, the model was able to evaluate the recent apartment price properly. By this model, the nominal nationwide apartment price was overvalued by 26.9% in June and 24.9% in the first half of 2008, and the nominal Seoul apartment price was overvalued by 27.6% in June and 24.8% in the first half of 2008, comparing with the estimated fundamentals.
Abstract
The dynamic Gordon model of Campbell and Shiller(1988) was considered. First, the quarterly data set, which rental income was measured by the corporate bond yield, was used for the sample period of 1986Q1~2008Q2. For this quarterly data set, the dynamic Gordon model was not consistently rejected at the 5% significance level. However, the model could not evaluate the apartment price properly with the normal discount rate. Second, the monthly data set, which rental income was measured by the monthly rent rate, was used for the sample period of Agu.2001~Jun.2008. For this monthly data set, the dynamic Gordon model was rejected at the 1% significance level in the apartment excess return regression test. According to the volatility test, differently from the test result of the quarterly data set, there existed the excess volatility of the log rental income-apartment price, and the model was rejected at the 5% significance level. In addition, the model was mostly rejected at the 5% significance level, by the Wald test. Furthermore, the model was able to evaluate the recent apartment price properly. By this model, the nominal nationwide apartment price was overvalued by 26.9% in June and 24.9% in the first half of 2008, and the nominal Seoul apartment price was overvalued by 27.6% in June and 24.8% in the first half of 2008, comparing with the estimated fundamentals.
참고문헌 (20)
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