• 유통과학연구
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• 제11권10호
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• pp.63-72
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• 2013

Purpose - This study analyzes the relationship and dynamic interactions between stock price index, interest rate, price index, and housing price indices using Korean monthly data from 2000 to 2013, based on a VAR model. This study also examines Granger causal relationships among these variables in order to determine whether the time series of one is useful in forecasting another, or to infer certain types of causal dependency between stochastic variables. Research design, data, and methodology - We used Korean monthly data for all variables from 2000: M1 to 2013: M3. First, we checked the correlations among different variables. Second, we conducted the Augmented Dickey-Fuller (ADF) test and the co-integration test using the VAR model. Third, we employed Granger Causality tests to quantify the causal effect from time series observations. Fourth, we used the impulse response function and variance decomposition based on the VAR model to examine the dynamic relationships among the variables. Results - First, stock price Granger affects interest rate and all housing price indices. Price index Granger, in turn, affects the stock price and six metropolitan housing price indices. However, none of the Granger variables affect the price index. Therefore, it is the stock markets (and not the housing market) that affects the housing prices. Second, the impulse response tests show that maximum influence on stock price is its own, and though it is influenced a little by interest rate, price index affects it negatively. One standard deviation (S.D.) shock to stock price increases the housing price by 0.08 units after two months, whereas an impulse shock to the interest rate negatively impacts the housing price. Third, the variance decomposition results report that the shock to the stock price accounts for 96% of the variation in the stock price, and the shock to the price index accounts for 2.8% after two periods. In contrast, the shock to the interest rate accounts for 80% of the variation in the interest rate after ten periods; the shock to the stock price accounts for 19% of the variation; however, shock to the price index does not affect the interest rate. The housing price index in 10 periods is explained up to 96.7% by itself, 2.62% by stock price, 0.68% by price index, and 0.04% by interest rate. Therefore, the housing market is explained most by its own variation, whereas the interest rate has little impact on housing price. Conclusions - The results of the study elucidate the relationship and dynamic interactions among stock price index, interest rate, price index, and housing price indices using VAR model. This study could help form the basis for more appropriate economic policies in the future. As the housing market is very important in Korean economy, any changes in house price affect the other markets, thereby resulting in a shock to the entire economy. Therefore, the analysis on the dynamic relationships between the housing market and economic variables will help with the decision making regarding the housing market policy.

• 한국디지털건축인테리어학회논문집
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• 제10권2호
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• pp.13-20
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• 2010

Uncertainty in housing price fluctuation has great impact on the overall economy due to importance of housing market as both place of residence and investment target. Therefore, estimating housing market condition is a highly important task in terms of setting national policy. Primary indicator of the housing market is a ratio between rent and transaction price of housing. The research explores dynamic relationships between Rent-Transaction price ratio, housing transaction price and jeonse rental price, using Vector Autoregressive Model, in order to demonstrate significance of shifting rent-transaction price that is subject to changes in housing transaction and housing rental market. The research applied housing transaction price index and housing rental price index as an indicator to measure transaction and rental price of housing. The price index and data for price ratio was derived from statistical data of the Kookmin Bank. The time-series data contains monthly data ranging between January 1999 and November 2009; the data was log transformed to convert to level variable. The analysis result suggests that the rising ratio between rent-transaction price of housing should be interpreted as a precursor for rise of housing transaction price, rather than judging as a mere indicator of a current trend.

• 유통과학연구
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• 제17권1호
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• pp.11-19
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• 2019

Purpose - We document the impact of economic policy uncertainty (EPU) in the US and China on the dynamic spillover effect of macroeconomics such as stock price, housing price in Korea. Research design, data, and methodology - We use the nine variables to analyze the effect which produces a result among the EPU indexes of the US and China on economic variables which is the consumer price index (CPI), housing purchase price composite index, housing lease price, the stock price index in banking industry, construction industry and distribution industry, and composite leading indicator from January 1995 to December 2016 with the Vector Error Correction Model. Result - The US EPU index has significantly a negative relation on the CPI, housing purchase price index, housing lease price index, the stock price index in banking industry, construction industry, and distribution industry in Korea. Conclusions - We find the dynamic effect of the EPU indexes in the US and China on the macroeconomics returns in Korea. This study has an empirical evidence that the economy market in Korea is influenced by the EPU index of the US rather than it of China. The higher EPU, the more risky the economy of in Korea.

• Journal of the Korean Data and Information Science Society
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• 제25권1호
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• pp.65-76
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• 2014

주택가격은 정부의 부동산 정책이나 국내외의 경기상황과 같은 외부충격요인에 따라 많은 영향을 받는다. 본 연구에서는 주택가격지수 예측을 위한 모형구축에서 중요한 요인은 외부충격요인으로 이를 개입효과라 하며, 이 외부요인들이 주택가격지수에 미치는 영향을 파악하고 향후 주택가격지수를 효율적으로 예측하기 위한 시계열모형을 찾는데 있다. 실제 자료를 이용하여 분석한 예측결과 개입모형이 다른 모형에 비해 우수한 것으로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• 제5권2호
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• pp.43-51
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• 2018

We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.

• 유통과학연구
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• 제16권12호
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• pp.5-11
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• 2018

Purpose - We investigate the relationship between economic policy uncertainty (EPU) of the US and China and housing distribution economy in Korea using EPU indexes of two countries and the economic indicators in Korea. Research design, data, and methodology - We use the data such as the Korean housing price stability index (HPSI), housing purchase price index (HPPI), housing lease price index (HLPI), banking stock index (BSI), and consumer price index (CPI) with EPU indexes from January 1999 to December 2017. As an empirical methodology, we select the vector error correction model (VECM) due to the existence of cointegration. Result - As results of the impulse response function, the impact of the US EPU index has initially a negative response on the Korean HPSI, HPPI, and HLPI referring the housing distribution market including the economic variables, BSI, and CPI. Likewise, the impact of index in China has initially a negative response on economic indicators except the BSI in Korea. Conclusions - This study shows that the EPU index of the US has significantly negative relationships on all economic indicators in Korea. In this study, we reveal EPU of the US and China has dynamic impact on housing distribution economy returns in Korea.

• 토지주택연구
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• 제9권4호
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• pp.1-9
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• 2018

Since year 2000, French housing and rent prices rose at a rapid rate and the housing market has been overheated. Face to this phenomena, the French government enacted a new law Alur which is a legislatif tool to control the private housing rent price for the cities, where the tension of the housing market is very high. This new law has impacted the housing market in two major ways. First, for the 38 cities designated by this law, the rent price's increase rate can not rise above the IRL, which is the rent reference index. Secondly, this law also permits local authorities to control the housing rent's price following the concrete price guidance. Especially in Paris, the city applicated this method for private rental housing since 2015. This city classified its own area by 14 zones. Based on the market surveys of each sector, local authority made a guidance for private housing rent's price. The guideline is consisted of average prices, maxima and minima price by types, which is classified by the construction year, number of rooms and furnished or not. Therefore, this study aims to understand french housing rent's price control system and draw implementation for korean housing rent policies. This research is meaningful for it introduces recent foreign regislations which could be helpful to control the housing market in Korea.

• 정보기술과데이타베이스저널
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• 제6권2호
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• pp.115-130
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• 1999

The price structure of housing market varies depending upon market price policy rather than low or high price policy because of IMF. The object of this study is to develop an analysis system for analyzing housing market and its demand. The analysis system consists of four major categories: macro index analysis, market decision analysis, housing market analysis, and consumer analysis. We model each category by using a variety of techniques such as generalized linear model, categorical analysis, bubble analysis, drill-down analysis, price sensitivity meter analysis, optimum price index analysis, profit index measurement analysis, correspondence analysis, conjoint analysis, and multidimensional scaling analysis. Seoul apartment data is analyzed to demonstrate the practical usefulness of the system.

• 유통과학연구
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• 제13권11호
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• pp.39-46
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• 2015

Purpose - In Korea, there has been a recent trend that shows housing prices have risen rapidly following the International Monetary Fund crisis. The rapid rise in housing prices is spreading recognition of this as a factor in housing price volatility. In addition, this raises the expectations of housing prices in the future. These expectations are based on the assumption that a relationship exists between the current housing prices and expected housing prices in the real estate industry. By performing an empirical analysis on the validity of the claim that an increase in current housing prices can be correlated with expected housing prices, this study examines whether a long-term equilibrium relationship exists between expected housing prices and existing housing prices. If such a relationship exists, the recovery of equilibrium from disequilibrium is analyzed to derive related implications. Research design, data, and methodology - The relationship between current housing prices and expected housing prices was analyzed empirically using the Vector Error Correction Model. This model was applied to the co-integration test, the long-term equilibrium equation among variables, and the causality test. The housing prices used in the analysis were based on the National Housing Price Trend Survey released by Kookmin Bank. Additionally, the Index of Industrial Product and the Consumer Price Index were also used and were obtained from the Bank of Korea ECOS. The monthly data analyzed were from January 1987 to May 2015. Results - First, a long-term equilibrium relationship was established as one co-integration between current housing price distribution and expected housing prices. Second, the sign of the long-term equilibrium relationship variable was consistent with the theoretical sign, with the elasticity of housing price distribution to expected housing price, the industrial production, and the consumer price volatility revealed as 1.600, 0.104,and 0.092, respectively. This implies that the long-term effect of expected housing price volatility on housing price distribution is more significant than that of the industrial production and consumer price volatility. Third, the sign of the coefficient of the error correction term coincided with the theoretical sign. The absolute value of the coefficient of the correction term in the industrial production equation was 0.006, significantly larger than the coefficients for the expected housing price and the consumer price equation. In case of divergence from the long-term equilibrium relationship, the state of equilibrium will be restored through changes in the interest rate. Fourth, housing-price volatility was found to be causal to expected housing price, and was shown to be bi-directionally causal to industrial production. Conclusions - Based on the finding of this study, it is required to relieve the association between current housing price distribution and expected housing price by using property taxes and the loan-to-value policy to stabilize the housing market. Further, the relationship between housing price distribution and expected housing price can be examined and tested using a sophisticated methodology and policy variables.

• 한국전자통신학회논문지
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• 제12권3호
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• pp.499-506
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• 2017

현재 주택시장과 전세시장의 문제점을 도출하고 이를 해결하는 데 있어 자본시장 부분과 금리 부분 그리고 실물 시장으로 구분하여 많은 영향을 미치는 지표들을 감안하여 주택매매 시장과 주택 전세시장의 안정화를 위한 대책 마련에 중요한 지표가 될 것으로 보인다. 특히, 향후에 예측되는 경제위기 상황과 불확실한 미래의 또 다른 금융위기를 예측하여 부동산 가격의 급격한 변동에 사전 대비할 수 있는 자료를 공공데이터를 사용하여 제공코자 한다.