주택시장 소비심리지수와 주택 거래량 간의 관계

The Relationship between Consumer Sentiment Index and Trading Volume in Housing Market- Focused on Fundamental Component and Transitory Component -

This objective of this paper investigates empirically the relationship between Consumer Sentiment Index of housing market(hereafter CSI) and trading volume of housing. Consumer sentiment survey information means expectations of market participants. Previous studies on this area explored only the relationship between the observed CSI and trading volume. However, this study investigates the relationship between CSI and the fundamental component of trading volume, and the relationship between CSI and the transitory component of trading volume. The fundamental component and the transitory component of trading volume are estimated by state-space model. The first step of this empirical analysis is to decompose observed trading volume into fundamental component and transitory component. The second step is to implement ADF unit root test and Johansen cointegration test. The third step is to carry out Granger causality test to explore the relationship between CSI and trading volume. The Granger causality test results show that there is unidirectional Granger causality from CSI to observed trading volume, to the fundamental component of trading volume, and to the transitory component of trading volume. And the impulse response function analyses reveal that the shock of CSI increases observed trading volume, the fundamental component of trading volume, and the transitory component of trading volume. In sum, the empirical evidence of this paper means that CSI and trading volume behave similarly. Therefore, analyzing the CSI and trading volume is crucial for policy-making and stability management of housing market.