주택가격요인 분석에 대한 연구 = A Study on Decomposition of Domestic Housing Price

다국어 초록 (Multilingual Abstract)

The volatility of the housing price based on demand and supply in the housing market reflects the structural features of the housing market. Consequently, decomposing the housing market into trends and cycles through econometric models will make it possible to deduce the nature of the housing market in the long term, in addition to provide hindsight for real estate portfolio asset allocation in a more systematic way.
The paper addresses the housing price behavior through univariate time series analysis. The Unobserved-Component (UC) model and the Beveridge-Nelson (BN) decomposition model are applied to analyze the factors for the volatility of housing price with the trends and cycles. Specifically, the UC model is analyzed by UC-Zero(0) model assuming the covariance between the trends and the cycles, which are unobserved variables, is zero (0), and the UC-UR (UC-UnRestricted) model, which is free from the restraint of the covariance between the trends and cycles. The estimation is based on the Kalman Filter. The study analyzes how the volatility in the domestic housing price index was influenced by the trends and cycles, which are inherent variables, by comparing the estimated values of the UC-0 and UC-UR model with the BN decomposition model. Domestic housing prices have plunged two times: the 1997 Asian financial crisis and the 2008 Global financial crisis. However, the analysis data in this research include only the 2008 Global financial crisis.
The results are summarized as follows: First, the volatility of the domestic housing price index can be explained by the UC-0 model. As explained by the UC-0 model with the assumption of the covariance between trend and cycles zero(0), the domestic housing price index has not shown any correlation between the trend and cycle, and thus it implies that the trends mainly explain the volatility in the housing price index. Second, as the trends mainly explain the volatility in housing prices, domestic housing prices do not follow a random walk under the efficient market hypothesis. Hence, the price volatility can be seen as predictable, and the right-upward price trend that has been lasted for a considerable period of time can be seen as a result of reflecting adaptive expectations of market participants. Lastly, institutional investors such as pension funds are increasing their share of real estate and alternative investments, and the share of real estate is increasing in the asset market. The fact that inefficient housing market, and the housing price return as seen through the housing price analysis follow a very differential distribution from the normal distribution would mean that as a factor hindering investors' rational portfolio diversification investment. Therefore, it is judged that a lot of effort is required for risk management.
The analysis between macro variables and house price variables through the structural economic models will leave it as a future task.

국문 초록 (Abstract)

연구의 결과는 다음과 같이 요약된다. 첫째, 국내 부동산 주택가격 지수의 움직임은 UC-0 모형으로 설명될 수 있다. 추세와 순환의 공분산이 제로(0)인 가정의 UC-0 모형으로 설명됨에 따라, 국내 주택가격 지수는 추세와 순환의 구분이 거의 없고 주로 추세가 주택지수 변동을 설명하는 것으로 분석되었다. 둘째, 추세 변수가 주택가격 변동의 대부분을 설명하므로, 국내 주택가격은 효율적 시장가설 하에서의 랜덤워크(Random walk)를 따르지 않음을 의미한다. 즉, 가격 움직임은 예측 가능하다는 의미로 볼 수 있는데 상당 기간 지속된 우상향 가격 움직임은 시장 참여자의 적응(adaptive)적 기대가 반영된 결과로 볼 수 있으며, 이러한 상황에서 가격 통제 일방향의 주택정책은 효과를 거두기 어려움을 의미한다.

참고문헌 (Reference)

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