한국ㆍ미국 부동산의 자산효과와 물가ㆍ실물ㆍ금융 헷지 가능성

An Estimation of Real Estate Wealth-effect and Hedging Against Economic Variables of Korea and the United States

Purpose - The paper estimates the wealth effect of assets and hedging capability of real estate against the volatility of economic variables of Korea and the United States. Design/Methodology - Financial data are collected from Statistics Korea and FRB, St. Louis. The asymmetric multiple Vector-GARCH regression analysis were employed. Findings - For Korea, the wealth effect is not found in real estate, stock, foreign exchange, gold, bitcoin, WTI, inflation, and disposable income. However, the interset rate (i.e. bond market) is found to be significantly large in magnitude such that the rising interest rate encourages the consumption. The strong hedge of Korea real estate is found against decreasing interest rate. For the US, significant wealth effect is not found. with the exception that US inflation increases consumption. The strong hedges of US real estate are found against inflation. When compared with the inflation rates of 9 countries, all weak hedges are found in Korea while in the US, there are strong hedges against US inflation and China deflation. Gold and bitcoin hedge weakly against all 9 inflation rates. Originality/value - It is notable that the cross terms and macroeconomic factors are significant indicating that the model is appropriately fitted. The interest rate policy is most influential for consumption and real estate economy in Korea while inflation takes center stage in the US. The comparison results of wealth effect and hedging of Korea and US real estate, gold and bitcoin would enhance portfolio management and policy.