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An Analysis of Cycle Variation of Housing Price Index andthe Effect of Macroeconomic Variables
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주택가격지수의 순환주기변동과 거시경제변수의 영향 분석

논문 기본 정보

Type
Academic journal
Author
Kim Moon Sung (동국대학교) Bae Hyung (동국대학교)
Journal
Korea Real Estate Research 부동산연구 부동산연구 제25권 제3호 KCI Accredited Journals
Published
2015.1
Pages
7 - 25 (19page)

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An Analysis of Cycle Variation of Housing Price Index andthe Effect of Macroeconomic Variables
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This study examined the characteristics of the cycle variation of the national housing price index since 1986 and analyzed the effects of macroeconomic variables on housing price index cycle variation for the period after 1990. Firstly, analyzed trend and cycle variation of housing price index, housing purchase price index was in the expansion phase of sixth cycle, housing jeonse price index was in the contraction phase of fifth cycle. However, reference point March 2005, these price indices showed that contraction phase was longer than the period of the expansion phase. Accordingly this result, this study separated periods by March 2005 and examined the effect of macroeconomic variables with respect to housing price index cycle variation by Bayesian VAR Model. The impulse response analysis showed that these price indices showed a generally negative reaction to the interest rate in two periods. However, impulse response function of these housing price indices were shown a change in reaction degree and direction to the other macroeconomic variables. In addition, as a result of variance decomposition, the effect of macroeconomic variables to housing purchase price index was significantly reduced. But the effect of macroeconomic variables to housing jeonse price index was increased and showed the changes in the variables that affect. Considering these results, it may take a different policy approaches with respect to the housing market.
#house price index #growth cycle #HP filter #bayesian VAR model

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강민석 / 2005 / 주택경기 순환주기 분석 / 주택연구 13(3):69~95 dbpia 강창구 / 2008 / 결합추정기법을 이용한 분기 GDP추정 / 국민계정리뷰 32:46~73 google schola 김경환 / 2007 / 외환위기 전후 주택시장 구조변화와 주택정책 / 경제학연구 55(4):369~399 google schola 성병희 / 2001 / Bayesian VAR모형을 이용한 경제전망 / 경제분석 7(2):59~90 dbpia 손종칠 / 2010 / 통화정책 및 실물·금융변수와 주택가격간 동태적 상관관계 분석 / 경제학연구 58(2):179~219 google schola

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