부호제약을 이용한 한국 주택시장의 변동요인 분석
Korean Housing Market Dynamics: A VAR Analysis with Sign Restrictions
1
조회
0
다운로드
6
인용
0
참고문헌
키워드
초록
본 연구에서는 주택시장 변수들과 거시경제변수들로 구성된 6개 변수 VAR 모형을 이용하여 여러 가지 충격들이 주택시장에 미치는 동태적 파급 효과를 분석하였다. 주택시장 변수로는 주택(아파트)가격과 주택(아파트)거래량을 사용하였으며, 충격 변수로는 주택공급충격, 주택수요충격, 이자율충격, 가계대출충격, 총수요충격, 총공급충격을 고려하였다. 충격의 식별은 부호제약을 이용하였다. 데이터는 2006년 1월부터 2018년 12월까지의 월간자료이다. 분석결과를 정리하면 다음과 같다. 첫째, 주택시장에 미치는 충격들의 파급 효과는 주택가격과 주택거래량에서 큰 차이를 보인다. 둘째, 주택공급충격은 주택거래량 변동에, 주택수요충격은 주택가격 변동에 상대적으로 커다란 영향을 미치며, 가계대출충격과 이자율충격은 주택거래량보다는 주택가격의 변동에 더 큰 영향을 미친다. 셋째, 주택거래량 변동에 미치는 영향력은 주택공급충격>주택수요충격>가계대출충격>이자율충격>총수요충격 >총공급충격의 순이며, 주택가격 변동에 미치는 영향력은 이자율충격>가계대출충격>주택수요충격>총수요충격>총공급충격>주택공급충격의 순이다. 특히 주택가격 변동에 대한 영향력에서 금융부문 2개 충격의 비중이 50%를 넘어서고 있음은 주목할 만한 결과이다.
Abstract
This paper analyzes the dynamic spill-over effects of shocks on housing market, using a six-variable VAR model. As housing market variables, housing price and housing trading volume are used, and as shock variables, housing demand shock, housing supply shock, interest rate shock, household loan shock, aggregate demand shock, and aggregate supply shock are taken into account. The shocks are identified by imposing sign restrictions on the responses of variables. Data analyzed are monthly data from January 2006 to December 2018. The results of analysis are as follows: First, the spill-over effects of the shocks on housing market showed great difference in housing price and housing volume. Second, housing supply shock had relatively great effects on the fluctuation of housing trading volume, housing demand shock had relatively great effects on the fluctuation of housing price, and household loan shock and interest rate shock had greater effects on the fluctuation of housing price than on the fluctuation of housing trading volume. Third, housing supply shock had the greatest influence on housing trading fluctuation, followed by housing demand shock, household loan shock, interest rate shock, aggregate demand shock, and aggregate supply shock. And interest rate shock had the greatest influence on housing price fluctuation, followed by household loan shock, housing demand shock, aggregate demand shock, and aggregate supply shock. Particularly, it is noteworthy that interest rate shock and household loan shock in the financial sector explain more than 50% of housing price fluctuation.
참고문헌 (25)
- 이근영, "금리와 주택가격", 경제학연구, 64(4), pp.45~82 (2016), 한국경제학회[DOI]
- 이영수, "통화정책과 주택시장: 부호제약을 이용한 베이지안 VAR 분석", 주택연구, 27(1), pp.113~136 (2019), 한국주택학회[DOI]
- 차경수, "국내 주택매매가격 변동의 특징과 주요 거시경제변수와의 상호작용", 경제분석, 19(4), pp.1~45 (2013), 한국은행
- Bian T. Y., "What drives housing dynamics in China? A sign restrictions VAR approach", Journal of Macroeconomics, 46, pp.96~112 (2015)
- Canova, F., "Monetary disturbances matter for business fluctuations in the G-7", Journal of Monetary Economics, 49(6), pp.1131~1159 (2002)
- Case, K. E., "Is there a bubble in the housing market?", Brookings Papers on Economic Activity, 2003(2), pp.299~342 (2003)
- Davis, M. A., "Housing and the business cycle", International Economic Review, 46(3), pp.751~784 (2005)
- Eickmeier, S., "Monetary policy, housing booms and financial imbalances", Macroeconomic Dynamics, 17(4), pp.830~860 (2013)
- Faust, J., "The robustness of identified VAR conclusions about money", Carnegie-Rochester Conference Series in Public Policy, 49, pp.207~244 (1998)
- Fratzscher, M., "Asset prices, exchange rates and the current account", European Economic Review, 54(5), pp.643~658 (2010)
- Fry, R., "Sign restrictions in structural vector autoregressions : A critical review", Journal of Economic Literature, 49(4), pp.938~960 (2011)
- Global house price fluctuations : Synchronization and determinants, "Hirata, H.", National Bureau of Economic Research, ~, pp.NBER Working Paper No. 18362 (2012)
- Iacoviello, M., "Housing market spillovers : Evidence from an estimated DSGE model", American Economic Journal : Macroeconomics, 2(2), pp.125~164 (2010)
- Jarocinski, M., "House prices and the stance of monetary policy", Federal Reserve Bank of St. Louis Review, 90(4), pp.339~365 (2008)
- Mian, A., "The consequences of mortgage credit expansion: Evidence from the U.S. Mortgage default crisis", The Quarterly Journal of Economics, 124(4), pp.1449~1496 (2009)
- Negro, M. C., "99 Luftballons : Monetary policy and the house price boom across U. S. states", Journal of Monetary Economics, 54(7), pp.1962~1985 (2007)
- Robstad, O, "House prices, credit and the effect of monetary policy in Norway : Evidence from structural VAR models", Empirical Economics, 54(2), pp.461~483 (2018)
- Rubio-Ramírez, J. F., "Structural vector autoregressions : Theory of identification and algorithms for inference", The Review of Economic Studies, 77(2), pp.665~696 (2010)
- Sa, F., "Capital inflows and the U.S. housing boom", Journal of Money, Credit and Banking, 47(1), pp.221~256 (2015)
- Sims, C. A., "Interpreting the macroeconomic time series facts : The effects of monetary policy", European Economic Review, 36(5), pp.975~1000 (1992)
- Housing and monetary policy, "Taylor, J. B.", National Bureau of Economic Research, ~, pp.NBER Working Paper No. 13682 (2007)
- Price expectations and the U.S. housing boom, "Towbin, P.", International Monetary Fund, ~, pp.IMF Working Paper 15 (2015), 182
- Uhlig, H., "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, 52(2), pp.381~419 (2005)
- Vargas-Silva, C., "Monetary policy and the US housing market : A VAR analysis imposing sign restrictions", Journal of Macroeconomic, 30(3), pp.977~990 (2008)
- Wu, T., "Baysian analysis of Hong Kong’s housing price dynamics", Pacific Economic Review, 22(3), pp.312~331 (2017)