대외적 변동성충격에 대한 국면별 주택시장의 비대칭적 반응 연구

An Empirical Study on Asymmetric Response of Regime Switching Housing Market Concerning External Volatility

The objective of this study was to empirically analyze the asymmetric response of the housing market to the volatility shocks. Two regimes were assumed for the analysis and the analysis period was from January 2004 to December 2017. The analysis results of the study implied that, first of all, the housing market revealed volatility clustering. In other words, it showed considerable variations over a substantially long period and maintained a relatively stable period alternately. Moreover, the results of this study confirmed that there was a GARCH effect within each regime. Secondly, the variables affecting the housing price earning rate varied by regime. The exchange rate was the main variable of this study and it was more influential in regime 2 than in regime 1. Therefore, it would be important to manage the interest rate politically when an external shock occurs. Thirdly, the mortgage interest rate had different effects on the housing market in regime 1 and regime 2. It adversely affected the housing price agreeing with the theoretical basis during regime 1. However, it had positive effects on the housing price during the regime 2, accompanying with abrupt volatility. In other words, if a volatility shock occurs in the South Korean housing market, the volume of the mortgage loan will increase even though the price is rising.