한국 주택시장의 권역별 비대칭 연계성 분석

Cross-Regional Asymmetric Volatility Connectedness in the Korean Housing Markets

This paper investigates asymmetries in the volatility connectedness of the Korean housing market. For this purpose, we employ the asymmetric connectedness approach proposed by Baruink et al.(2017). While the analysis of Baruink et al.(2017) is based on low dimensional VAR model, we consider 16 regional markets, by using high dimensional LASSO-VAR model. The main results are as follows. First, the total CAM(connectedness asymmetric measure) is estimated at 27.08%, indicating a high asymmetry in the housing market. In particular, the impact of good volatility strictly dominates that of bad volatility. Second, the total CAM shows time-varying patterns, with a surge in December 2020. Third, the contribution of Seoul to the aggregate housing market had gradually decreased since 2010 but started to rise again in 2017. The findings of this study suggest that macroprudential policy instruments are necessary to stabilize the housing market in the face of the recent accumulation of financial imbalance risks.