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Inefficiency of Korean Apartment and Jeonse Market : Focused on Jeonse-to-price Ratio
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논문 기본 정보

Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제21권 제4호 KCI Accredited Journals
Published
2019.1
Pages
1,721 - 1,732 (12page)

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Inefficiency of Korean Apartment and Jeonse Market : Focused on Jeonse-to-price Ratio
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Abstract· Keywords

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According to a well-known arbitrage equation between house price and Jeonse (key money lump-sum deposit on a rental) price in Korea, when a house price is expected to rise or interest rate falls, the Jeonse-to-price ratio falls. However, in the actual housing market, when prices rise or interest rate falls, the ratio rises for a while. This study examined this process with TARCH and Markov switching analysis. The analysis shows that the growth and disappearance of expected excess returns could well explain the process of the ratio. In particular, the effect of changes in the expected apartment price appreciation rate and the mortgage rates on the ratio might differ in the low volatility and high volatility regimes of expected excess returns. Based on these results, if the housing market stabilizes, the expected excess returns accumulated in the apartment Jeonse market will gradually decrease. In addition, if the current ultra-low interest rates are resolved, the process will be strengthened. It would enhance the efficiency of the housing market, and the Jeonse market would look for relative stability.

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References (22)

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백영규 / 2013 / 전세 계약의 레버리지 가설과 운용소득 가설의 검정- 일반 및 재건축 아파트먼트와 오피스텔 하부시장에 대한 실증분석 - / 부동산학연구 19(3):27~43 dbpia 백광일 / 2016 / 신경망모형을 이용한 민간아파트 분양가격 보조지표에 관한 연구 / Journal of The Korean Data Analysis Society 18(3):1367~1376 dbpia Benjamin, J. D. / 1998 / What do rental contracts reveal about adverse selection and moral hazard in rental housing markets? / Real Estate Economics 26(2):309~329 google schola 장영재 / 2018 / 주택매매가격 영향요인의 비선형적 효과 분석 / Journal of The Korean Data Analysis Society 20(6):2953~2966 dbpia 조재호 / 2015 / 주택가격지수의 국면전환 연구 / Journal of The Korean Data Analysis Society 17(2):797~810 dbpia

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