주택가격 변동에 관한 연구 = A study on the fluctuation in housing prices.

다국어 초록 (Multilingual Abstract)

Real estate is a very important part of general economy of a nation and closely connected with other parts of economy. The factor of rise in price in real estate market lays a vast burden on national economy. It is major property to both individuals and countries. The factor of depreciation in price in real estate also makes many problem in domestic economy. It is important that government stabilizes real estate prices. So it is meaningful work to study the relation between real estate prices and macroeconomic variables. This study is focused on housing prices, because they lead real estate prices and have more effect on individuals and countries than any other real estate. The purpose of this study is to select variables to influence housing prices, and to make model through VAR (Vector Auto-Regressive) analysis to forecast housing prices.
Interest rate(company bond rate of interest), exchange rate of won/dollar, stock index, consumer price index, GDP and money(m2) are considered as macroeconomic variables to influence housing prices. Generally the macroeconomic variables are unstable. The unit root test of Augmented Dickey Fuller is used to see stability of variables and unstable variables are converted to stable variables by using difference method and natural logarithm. Granger causality test are used to select proper variables for VAR model. Granger causality test is carried to see what variables have an effect on housing prices. As a result of causality test by Granger Model, GDP, interest and exchange rate cause housing prices significantly. They are checked by cointegration test. As a result, there is no cointegration relationship between them. Now, analysis using VAR model can be applied for forecasting housing prices. The advantage of using VAR model are in that it is simple relative to the other econometric model. From the result of variance of decomposition in structural shocks, terms of interest rate and housing prices have relatively high contribution to housing prices. Housing prices accelerate housing prices. Interest rate has a negative effect on housing prices. Dollar exchange rate and GDP have less effect on housing prices. Real estate policies are to make a comparative analysis of the trend of macroeconomic variables and the situation of real estate market.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 거시경제변수와 주택가격지수의 자료분석
• 1. 변수선택근거와 자료적용시기
• 2. 자료의 안정성 검정
• Ⅲ. 실증분석
• 1. Granger 인과관계검정
• 1.1 Granger 인과관계검정의 이론적 고찰
• 1.2 Granger 인과관계검정 결과
• 2. 벡터자기회귀 분석
• 2.1 VAR모형의 특성과 모형설정
• 2.2 모형의 적정차수 선택
• 2.3 분산분해분석과 충격반응분석
• 2.4 공적분 검정
• 2.5 VAR 분석
• Ⅳ. 결론
• 참고문헌