구조적 벡터자기회귀(SVAR)를 이용한 서울지역 아파트 매매,전세가격의 상관관계

Analysis of the relationship between apartment sales price and rental price in Seoul

Using Structure Vector Autoregression Model(SVAR), this paper aims to analyze a correlation between apartment sales price and rental price in Seoul. Also, this paper especially pays attention to a correlation between apartment sales and rental price of Gangnam and Gangbok in Seoul. Since unite roots exist in those of three time series, we use 1st difference variable. The major findings in this study are as following: First, we are not able to find a long-term balance relationship because cointegration do not exist in cointegration test. Second, we are able to find the following two results from Granger causality test. Rental price dose Granger cause sales price in the case of Seoul and Gangnam. On the other hand, Rental price and sales price are mutual Granger cause in Gangbok. Third, this study suggests following three results from Impulse responses test : ① When rental price goes up 1%, sales price of seoul decrease -0.205% after two months and sales price of Gangnam decrease -0.16% after two month and Sales price of Gangbok decrease -0.3% after one months. ② when sales price goes up 1%, rental price of Seoul rises 0.92% and that of Gangnam rises 0.91% after one months and rental price of Gangbok rise 0.85% after one months. ③ Therefore, impulse of rental price change is continued for one or three months and impulse of sales price change is continued for one or two months.