주택가격과 거시경제변수 간 상호 영향력에 관한 연구

A Study on Mutual Effects between House Prices and Macroeconomic Variables

This study examines the mutual relationships between interest rates, house prices, inflation and GDP in order to analyze the connectivity between house prices and macroeconomic variables. For better understanding of theoretical aspects of macroeconomic variables, I construct a non-separable Dynamic Equilibrium Model that matches macroeconomic variables. This theoretical model provides the investigation of the connectivity between house markets and macroeconomy. Then, by conducting an empirical analysisusing a Vector Auto-regressive (VAR) method to support the investigation, I show the impulse responses to the shocks from macroeconomic variables and house prices so as to quantify the mutual effects between them. According to the theoretical model and the empirical analysis results, the housing market is mutually connected to macroeconomic variables in both direct and indirect ways, and the housing market serves as an essential driving force behind the business cycle. It is also shown that GDP is an important factor that causes changes in the int erest rate. The interest rate is also an essential element that triggers changes in house prices. A rise in house prices causes the interest rate to rise gradually, contributing to the increase in GDP. However, the rise in the interest rate turns to gradually pull do wn the interest rate curbing the rise in GDP. The fall in house prices causes the interest rate to decrease gradually, resulting in shrinking GDP.