미국 서브프라임 모기지 사태의 국내 주택시장 영향 연구

A Study on the Impact of Sub-prime Mortgage Crisis on the Housing Market in Korea

1. CONTENTS (1) RESEARCH OBJECTIVES This paper researches how the U.S. sub-prime mortgage crisis has influenced South Korea's housing market before and after the sub-prime of April 2007. (2) RESEARCH METHOD As a method of this study, literature review, theoretical considerations, construction of analytical models, and empirical analysis were utilized. This research uses Vector Error Correction Model (VECM) for the dynamic structure to examine the theory with macroeconomic variables under co-integration relationship between variables in the model. (3) RESEARCH FINDINGS Through the Granger causality test results. before the sub-prime mortgage crisis. U.S. housing loan had granger-causality with U.S. housing price index. On the other hand. after the sub-prime mortgage crisis had an additional certificate of deposit rate and the Dow Jones index had granger-causality relationship. Meanwhile. housing price index in Korea and U.S had no granger-relationship before and after. Both before and after the sub-prime mortgage crisis. the impulse response analysis in Korea and U.S. certificate of deposit rate shocked housing price index to a negative (-) reaction. while house price index in Korea had a short period of positive (+) reaction in before. But in the after crisis. it was showed a strong positive (+) reaction. The variance decomposition analysis showed certificate of deposit rates in US and Korea in the before crisis. While self-explanatory of the previous house price over a period was strong in the after crisis. 2. RESULTS First. the certificates of deposit rate could be used as a predictor variable in housing market in Korea. The relationship of interest rate between Korea and U.S. can be explained as a coupling of interest rate. Second. the U.S. sub-prime mortgage crisis did not give powerful influence on housing market in Korea. Even though housing prices in U.S. has declined in the after crisis, housing prices in Korea continue to rise. Korean current government had announced the expansionary and deregulation policy on housing market to prevent price decrease.