주택가격지수와 거래량간의 선행-후행 관계

The Lead-Lag Relationship between Housing Price Index and Trading Volume

This paper provides empirical evidence of the linkage between housing price and trading volume. To investigate this point further, observed housing price index is decomposed into intrinsic value and transient value. This study employs the unobserved component model to estimate intrinsic value and transient value. The distinguishing feature of this study is the aspect which it scrutinizes the relationship between the intrinsic value and trading volume and the relationship between the transient value and trading volume. The findings of this empirical paper are as follows. Granger causality test is applied is to examine empirically the relationship between housing price and trading volume. First, there is one-way Granger causality from observed housing price index to trading volume. Second, in the case of intrinsic value, there is unilateral Granger causality from the intrinsic value to trading volume. Third, the transient value precedes trading volume. In each three cases, the impulse of housing price increases trading volume. These findings of this paper mean that housing price may affect trading volume, and this implication is useful for implementing investment strategies and housing market policy.