자산가격결정이론에 기반한 주택가격결정요인 분석에 관한 연구

Asset Pricing Theory based on the Study on the Determinants of Housing Prices by VECM

1.CONTENTS (1)RESEARCH OBJECTIVES This study theoretically identified the correlation between housing, which is an investment asset, and macroeconomic variables by using the asset pricing theory before and after the financial crisis. (2)RESEARCH METHOD In this study, empirically analysis were through vector error-correction model(VECM) (3)RESEARCH FINDINGS Each variable had aunit root, and as a result of cointegration test, it was found that before and after the financial crisis there exists a long-term balance.As a result of analysis of impulse response, the housing price shows a positive response to housing price itself, a positive response to Chonsei price, a positive response to index of industrial product and a negative response to CD rates. Of the macroeconomic variables, it was found that Chonsei price, which is the proxy variable of rental income, has the greatest, impact on housing price. It could be also checked that the index of industrial product and CD rates also have a constant impact. Variance decomposition analysis, since the financial crisis than other regions in housing price changes Gangnam occupy large variance of the change in Chonsei prices were low explanatory power. 2.RESULTS It could be known that housing has a greater aspect of investment asset in Gangnam than in Gangbuk. It shows that when establishing the housing policy, it is important to establish and implement not only the policy on housing price but also the policy on Chonsei price. Moreover, it shows that when establishing the mid-and long-term real estate countermeasures, only the establishment of comprehensive countermeasures considering the macroeconomic variables can show a continuous influence for a long time.