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A Study on the Applicability of Financial Market Index to Korea Housing Market
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금융시장지수의 한국주택시장 적용성에 관한 연구

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Type
Academic journal
Author
Donghui Lee (부산대학교) Han-Ik Jang (한국주택금융공사) Ji-Hun Yoon (부산대학교)
Journal
The Korean Operations Research and Management Science Society KOREAN MANAGEMENT SCIENCE REVIEW Vol.37 No.2 KCI Accredited Journals
Published
2020.6
Pages
33 - 43 (11page)
DOI
10.7737/KMSR.2020.37.2.033

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A Study on the Applicability of Financial Market Index to Korea Housing Market
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Abstract· Keywords

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The 2007 U.S. subprime mortgage crisis shows the housing market crisis could expand into the financial market. Thus, if there is an early indicator of the housing market crisis, the financial crisis can be predicted in advance. This study calculates a volatility index for housing prices and examines whether the volatility index can account for information in the housing market, such as housing prices and the rate of change. The calculated volatility index confirmed that an increase over a fall in domestic housing prices was the predominant factor, especially the continued upward pressure on housing prices since 2016. On the other hand, the housing market has shifted from an upward trend to a downward trend since the second half of 2018 with each volatile index rising. As such, the ability to explain the housing price volatility indicators calculated for changes in the housing market was identified and the volatility indicators produced by them could be used as evidence to predict the housing market.
#Housing Market #Financial Market Index #Volatility Index

Contents

Abstract
1. 서론
2. 변동성 지표
3. 변동성 지표의 측정 및 기초통계량
4. 변동성 지표의 예측력 검정
5. 결과
참고문헌

References (21)

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곽승준 / 2006 / 부동산정책이 주택가격의변동성 변화에 미치는 영향- 주택가격의 변동성 변화 시점을 중심으로 - / 주택연구 14(2):175~194 dbpia 박윤서 / 2011 / 서비스품질과 고객만족간의 인과관계 실증 분석：Granger 검정법을 중심으로 / 한국경영과학회지 36(4):143~160 dbpia 박천규 / 2009 / 주택시장 스트레스지수 개발에 관한 연구 / 주택연구 17(2):57~74 dbpia 양진아 / 2017 / Bass 확산모형을 활용한 국내 주택연금의 중․장기 수요예측 / 한국경영과학회지 42(1):29~41 dbpia 엄영호 / 2008 / 변동성지수의 미래예측력에 대한 연구 / 금융연구 22(3):1~33 google schola

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