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A Study on Long-Run Relationship Between Housing Prices and Stock Prices Using VECM
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VECM을 이용한 주택가격과 주가간의 장기관계 연구

논문 기본 정보

Type
Academic journal
Author
Journal
인문사회과학기술융합학회 예술인문사회 융합 멀티미디어 논문지 예술인문사회 융합 멀티미디어 논문지 제8권 제9호
Published
2018.1
Pages
13 - 22 (10page)

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A Study on Long-Run Relationship Between Housing Prices and Stock Prices Using VECM
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Abstract· Keywords

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This study examined the long-run relationship between housing prices and stock prices using a vector error correction model (VECM) and discussed its indication. The result of the study is as follows. First, the variables of housing prices, expected appreciation rate of housing price, stock prices, and interest rates have been proved to be in a long-run equilibrium relationship by sharing one co-integration with the level of significance at 5%. Second, it has been found that the estimated coefficients in the error correction terms have the same signs as the theoretical signs, and the long-run elasticity of the housing prices for the fluctuation in the expected appreciation rate of housing price, stock prices, and interest rates are 14.485, -0.060, and -7.772, respectably. Third, when the prices deviated from the long-run equilibrium because the absolute value of the coefficient of the error correction term was –0.047 which was larger than other variables, they return to the long-run equilibrium by adjusting the stock prices. Above results indicate that the stock prices have more influence on the long-term variability of housing prices rather than to the short-term variability of housing prices. Therefore, it is suggested to consider stocks as replacement assets for real estate investment.
#Housing price #Stock Price #Cointegration Test #Vector Error Correction Model #VECM) #Correction term

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References (17)

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W. D. Lastrapes / 2002 / The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations / Journal of Housing Economics 11:40~74 google schola K. I. Jeong / 2006 / Analysis of the Relationship Between and Asset Prices and Liquidity / Monetary and Economic Research 255:1~39 google schola K. H. Lim / 2007 / A Study on the Co-Characteristics between Stock Price Fluctuations and Housing Price Fluctuations / Social Science Research 26:101~111 google schola 장세웅 / 2010 / 주가와 지역별 부동산가격 변동 간의 관계성 분석 / 대한건축학회논문집 계획계 26(03):177~184 dbpia 김중규 / 2012 / 유동성과 금리가 부동산가격 변동에 미치는 영향 분석 / 주택연구 20(1):105~125 dbpia

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