고정효과모형을 이용한 지역별 주택위험프리미엄의 추정 및 결정요인에 관한 연구

The Analysis on Estimation and Determinants of Regional Housing Risk Premium using Fixed Effect Model

This study analyzed the determinants of the regional housing risk premium from January 2011 to October 2018. The analytical model is based on a panel analysis with fixed effects model to capture regional characteristics and missing variables and VAR to estimate regional housing risk premium. The purpose of this study is to quantify the risk premium reflecting market participants expectations and to analyze the real estate market by estimating the relationship with market variables with specific values. The study shows that the housing risk premium is significantly affected by population, the credit rating and loan interest rate. That is, the population over the age of 15 increases, the housing risk premium decrease by 5.4%. If credit spread increases, the housing risk premium increases by 1.29%. Also, if housing loan increases, the housing risk premium increases by 0.022%, and housing mortgage loan increases, the housing risk premium increases by 0.034%.