주택가격 변동성의 특성 및 인플레이션과의 관계

House Price Volatility and Inflation

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this study is to analyze the inflation hedging effectiveness of housing in Korea, Hong Kong, and Singapore. (2) RESEARCH METHOD This study explores the impact of conditional hetero-risk on housing return and the influence of asymmetric information on conditional risk based on the EGARCH model. (3) RESEARCH FINDINGS The empirical results reveal the significant and positive relationships between housing returns and expected as well as unexpected inflation only m Korean housing market, proving the effective inflation hedge of Korean hosing investment. Second, there does not exist the effect of unsystematic risk on housing returns. Finally, contrary to the stock market, the positive asymmetric leverage effects are found in Korean and Singapore housing market. This implies that the housing return volatility becomes larger in response to good news than to bad news. As a possible explanation on this result, we may consider the downward rigidity of house prices which sterns from the characteristics of housing such as production of residential service itself and the relationship between sale and rental market. 2. RESULTS The effective inflation-hedging ability suggests that the investors would better contain the Korean housing properties in order to avoid erosions of the real returns invested due to the inflation risk. Furthermore, the positive leverage effect indicates that the housing properties can be included in a portfolio with other assets.