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Interactions of Housing Prices and Stock Prices in Korea: MS-VAR Approach
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MS-VAR 모형을 이용한 주택가격과 주가의 상호연관성 분석

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Type
Academic journal
Author
Mi-Hyang Yeo (영산대학교) Lee Young Soo (영산대학교)
Journal
건국대학교 부동산도시연구원 부동산·도시연구 부동산·도시연구 제12권 제2호 KCI Accredited Journals
Published
2020.1
Pages
83 - 101 (19page)

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Interactions of Housing Prices and Stock Prices in Korea: MS-VAR Approach
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In this study, we use two-variable MS-VAR model to analyze the dynamic relationship between housing prices and stock prices in Korea. Two regimes, with high or low volatility, are considered. Data covers from a period ranging January 1986 to June 2019. Results of data analysis can be summarized as following. First, likelihood ratio test suggests that the MS-VAR model is more statistically rigorous compared to conventional VAR model. Second, average prices increases in housing and stock are higher under high-volatility regimes compared to low-volatility regimes. Third, housing prices and stock prices are positively correlated under high-volatility regimes; under low-volatility regimes, they instead show negative correlation. Fourth, stock market shocks affect changes in stock prices and housing prices in same directions regardless of regimes. In contrast, the effects of housing prices shocks are regime-dependent: Under high-volatility regimes, housing prices and stock prices change in the same direction and under low-volatility regimes, they change in opposite directions. Lastly, interactions between housing markets and stock markets are stronger under low-volatility regimes, and stock price shocks account for larger changes in housing price than housing price shocks do in stock price changes under both regimes.
#주택가격 #주가 #마르코프 국면변환 #벡터자기회귀 모형 #일반화 충격함수

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References (28)

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금기조 / 2015 / KOSPI지수와 금융변수가 주택매매가격과 전세가격에 미치는 영향 분석 / 부동산학보 (60):182~195 dbpia 송경섭 / 2012 / 부동산시장의 주택매매가격지수와 주식시장 종합주가지수 및 산업별지수와의 관계 연구 / 부동산학보 (48):77~93 dbpia 유한수 / 2007 / KOSPI 변동성과 주택매매가격지수 변동성 / 경영컨설팅연구 7(4):95~108 google schola 윤성민 / 2016 / 지역주택가격 변동의 장단기 결정요인에 관한 실증분석 / 부동산학보 (67):198~211 dbpia 임병진 / 2009 / 주식시장 지수와 부동산시장 지수의 시계열 특성비교와 관계에 관한 실증적 연구 / 산업경제연구 22(4):2065~2083 dbpia

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