주택시장의 리스크프리미엄 예측에 관한 연구

A Study on the Predictability of the Premium of House

&nbsp;&nbsp;1. CONTENTS<BR>&nbsp;&nbsp;(1) RESEARCH OBJECTIVES<BR>&nbsp;&nbsp;The aim is how the macro economic indicators can explain the risk premium of the house selling and buying market and set up the model.<BR>&nbsp;&nbsp;(2) RESERCH METHOD<BR>&nbsp;&nbsp;VAR(Vector Autoregressive Model), Impulse Response Analysis, Variance Decomposition Analysis<BR>&nbsp;&nbsp;(3) RESERCH RESULT<BR>&nbsp;&nbsp;From 2000, in korea, it is set up the model of the premium of the house selling and buying using macro economic indicators. Adj. R-square is 88.4% and in VAR model independent variables is statistically significant almost.<BR>&nbsp;&nbsp;2. RESULTS<BR>&nbsp;&nbsp;From this study, first, the risk premium of the house selling and buying market can be explained by VAR model, second, it is recognised that the risk premium of the house selling and buying market be affect by macro economic indicators like a rate of savings and Kospi.