거시경제에 기초한 주택가격 분석

An Investigation of House Price Based on the Macroeconomic Variables

&nbsp;&nbsp;1. CONTENTS<BR>&nbsp;&nbsp;(1) RESEARCH OBJECTIVES<BR>&nbsp;&nbsp;The purpose of this study is to examine the long-run and short-run relationships between house prices of four regions and economic variables such as GDP, income, interest rate, and CPI, etc. Furthermore, based on these results, the present study investigates the existence of short-run bubble in house price.<BR>&nbsp;&nbsp;(2) RESEARCH METHOD<BR>&nbsp;&nbsp;This study employes a bounds testing approach to coin testing. In addition, an ARDL (autoregressive distributed lag) - ECM (error correction model) is used to estimate the short-run relations between house prices and macroeconomic variables.<BR>&nbsp;&nbsp;(3) RESEARCH RESULTS<BR>&nbsp;&nbsp;The empirical results show that there exist long-run cointegration relationships between house prices and economic variables, based on bounds test as well as on Johansen method. In the short-run, however, the house prices of four regions are not influenced by the macroeconomic variables such as GDP and income, and the error correction terms are negative and statistically significant. This findings imply the possibility of bubble in short-run house prices.<BR>&nbsp;&nbsp;2. RESULTS<BR>&nbsp;&nbsp;Based on the results of both ARDL and ECM estimations, this study sets a long-run housing model and forecasts house prices. Using the difference between actual and fitted values of house prices, the bubble is estimated. The bubble term in Gangnam area is bigger than the other regional housing markets. The bubble appears to be over 30% in Gangnam and be less than 20 % in other regions.