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KCI등재 학술저널

주택매매가격/임대료비율을 이용한 주택시장 변동성 분석-비정상요소(Non-Stationary Factor) 추정을 바탕으로

Analysis of Housing Market Volatility Using Price-Rent Ratio-Based on Estimation of Non-Stationary Factor

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본 연구는 주택매매가격/임대료비율의 변동성을 통해 주택시장을 분석하였다. 이때 국내 주택매매가격/임대료비 율의 변동에 비정상성이 존재하는 것으로 판단됨에 따라 이러한 비정상성요소를 포착하기 위해 추세적변동과 비추세적 변동을 구분하였다. 그리고 이러한 요소들이 비관측요소임을 감안하여 상태공간모형을 구성하고 칼만필터로 추정하였 다. 분석결과에 따르면 첫째, 미래기대수익률이 미래기대임대료성장률보다 높은 지속성을 보이면서 자산시장의 모습과 유사한 결과를 보였다. 둘째, 미래기대임대료성장률이 미래기대수익률보다 금융위기이전과 이후 모두에서 크게 나타 났다. 그리고 비정상성요소로의 충격은 미래기대임대료성장률과 미래기대수익률보다 모두 크게 나타났다. 셋째, 비정 상성요소는 2006년까지는 계속 상승하다가 금융위기금융위기 이후에 급격하게 하락하는 모습을 보였다. 금융위기전후 로 비교했을 때 금융위기 이전보다 이후가 변동폭이 높은 것으로 나타났다.

1. CONTENTS (1) RESEARCH OBJECTIVES This study aims is being conducted to analyze the housing market through volatility of house price / rent ratio. It is seemed that there is an non-stationarity in the fluctuation of house price / rent ratio. Therefore, I decomposed price / rent ratio into the trend change and the non - trend change in order to capture the non-stationary factor. (2) RESEARCH METHOD In analysis, Because these factors are latent variables, it is estimated using state space model and Kalman filter. The estimation period is from January 2000 to December 2017 and it is examined before the financial crisis (2000-2007) and after the financial crisis (2008-2017). (3) RESEARCH FINDINGS The results suggest that persistence parameter of expected housing return is higher than the expected rent growth. This is similar to results to the financial asset market other researchers have found. The expected rent growth is larger than the expected house return both before and after the financial crisis. The shock to non-stationary component. is larger than the expected rent growth and the expected house return. The non-stationary factor continued to rise until 2006, when the housing market fell sharply after the financial crisis, and relationship of this factor between interest is negative. 2. RESULTS The Korean real estate market has more difficulties in analyzing the real estate market than foreign countries. Nevertheless, according to the study conducted through the rents obtained using the Chonsei index and house sale price index, the direction is not much different from the foreign cases of the sale and rent market. This non-stationary factor can be compared quantitatively These abnormalities can be compared quantitatively with the fluctuation of the future expected rent increase rate and the future expected home market rate, which are stable parts of the house sale price / rent ratio. It is possible that this is the another way to study the complex Korean real estate market.

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 분석모형 및 분석결과

1. 분석모형

2. 분석결과

V. 결론

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