주택가격의 변동성과 결정요인 분석

Volatility of Housing Price and its Determinants

1.CONSENTS (1) RESEARCH OBJESCTIVES Many studies have been sought to understand the volatility patterns of real estete, whereas the study of housing price volatility is relatively little. This study aims to examine the determinants of housing price volatility for the whole country and Seoul area cities, house purchase price, Chonse (rent merketjnnce in Korea. (2) RESEARCH METHOD It utilizes quarterly date of Seoul and the whole country from 1986:Q2 to 2010:Q2. An Exponential-Generalised Autoregressive Conditional Heteroskedesticity (EGARCH) model is employed to analyse the volatility series of housing prices. Its determinants are also investigated. It also intends to see how housing volatility spreads from city to city by estimating individual city’s EGARCH outcome. (3) RESEARCH RESULTS The results show that the volatility clustering effects(ARCH effect) are found in many capital cities. These findings provide some important insights into the volatility of housing once. 2. RESULTS As a result, house price volatility has affected the unempolyment volatility and income volatility and National house prices, housing prices in Seoul, National rental prices, rental prices in Seoul is appeared significantly in alL Unlike the response of the general shock to the equity market leverage-effect presents that the volatility of housing price to good news is larger than that to bad news.