자산가격과 유동성 간의 관계분석 = Asset Prices and Monetary Liquidity in Korea

국문 초록 (Abstract)

본 논문은 Lastrapes(2002)의 동태균형모형을 원용하여 주택가격, 주식가격 및 유동성 간의 장단기 관계를 실증적으로 분석하였다. 동 모형에 따르면 이론적으로 주택가격은 소득, 미래 주택가격, 유동성과는 양(+)의 관계가 있고 주식가격과는 음(-)의 관계가 있는 것으로 나타났다. 이론모형에 포함된 변수들을 대상으로 공적분 검정을 실시한 결과, 자산가격과 유동성 간에는 장기균형 관계가 존재하는 것으로 나타났다.
자산가격의 단기조정과정을 오차수정모형을 이용하여 추정한 결과, 주택가격과 유동성은 단기적으로도 상호 양의 영향을 미치며 이러한 효과는 1996년 이후 더욱 확대된 것으로 나타났다. 한편, 주식가격과 유동성 간에는 단기적으로 유의한 양의 관계가 없는 것으로 나타났다.

다국어 초록 (Multilingual Abstract)

This paper examines the relationship between asset prices and liquidity. The theoretical model derived from Lastrapes’s (2002) dynamic equilibrium model indicates that house prices are positively correlated with GDP, liquidity, and future house prices, and negatively associated with equity prices. I find empirical evidence supporting the model’s prediction: in the long-run, house prices and equity prices move together with liquidity; in the short-run, house prices and liquidity interact positively with each other whereas equity prices and liquidity do not show any significant relationship. These results suggest that it is essential to break the strong link between house prices and liquidity in order to stabilize house prices.

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