주택매매시장, 전세시장 및 월세시장 간의 상호연관성에 관한 연구 = (A)study on the time-series analysis of the relationship among housing price, chonsei price, and rental price

국문 초록 (Abstract)

영문초록:Korean residental market has three major sectors; housing ownership market, Chonsei market, and monthly rental market. The object of this study is to define the driving forces and relationship among the three different aspects of the markets. Initially, the primary concern of this study was Chonsei market. Chonsei is an unique and indigenous rental arrangement in Korea. Tenants exchange housing service with depositing substantial amount of money up to 70% of house selling price for the period of leasing contract, and don't pay monthly rent. For landlords, whatever proceeds from managing the deposit during the leasing period are considered as rental payments and they return the deposit at the end of contract. Since the Chonsei system is still the main stream of residential rental market in Korea, This study started from Chonsei system. But not long before, this study realized the three markets is combined in very tight way and it is impossible to study Chonsei system only in segregated way one market from others. So, this study started from the Chonsei system ,and expands the range and concentrated the study on the mechanism of Chonsei pricing system and the respect of other market as ownership market and monthly market. Few article was reported in academic community, The study of relationship of the price of residential market, Chonsei market, and monthly rental market. The findings out of this research could contribute to the housing stabilization policy which has a perennial importance economically and politically in Korea. This study concentrates on two main parts; the first one is theoretical part which is a study of macro and micro economic view of Korean housing market and review of research papers which is already reported. As a completion of the first study, This study proposed two differences hypothesis either might working in present Korean market. The first one is 'Discounted Price' hypothesis and the other is 'Constrained Choice' hypothesis. The second part is an empirical study of proposed hypothesis, and appreciation and interpretation of the founding in present economic situation. In the first part of the research, we put Chonsei market as an intermediary market between housing ownership market and monthly rental market, and explore the relationships among housing price, Chonsei price, and monthly rental price. Two proposed hypothesis; Discounted Price, Constrained Choice theory, is implicated and converted to explain the three sectors markets. In the Constrained Choice theory, the housing market working based on Constrained Choice. Since there are many constraints in the Korean housing market; registration tax as entry barrier, capital gain tax for transaction barrier, property tax and operation expenses for maintenance, and financing barrier etc. So, the markets segregated by the degree of existing constraints. The more constraints is superior market as ownership market and the less one is inferior market like monthly market. In the Constrained Choice market, the central price driving the market is expectation of capital gain in the market. As a opposite way, the housing market is working on the price which discounted fundamental value of housing service in the future. And the fundamental value is rental value. So, the need and value of housing service is the central and core price in Discounted Price theory. The empirical study was devoted which hypothesis is working in Korean real estate market Because the housing stability policy should be based on the aspects of the relationship and the degree of the market. Hopefully, the result of this study could contribute to provide fundamental of Housing policy. Data from January of 1986 to June of 2004 monthly indices of Chonsei, residential ownership price, and monthly rental price were used. The data were seasonally adjusted, because there is busy season for moving and the normal Chonsei leasing contract is two year, and 섣 contrace renew in every two years mostly even number year. Also, pre-sale of apartment is mainly Spring or Fall. So seasonally un-adjusted data can pollute the outcome of the empirical study. In 1986 and 2004, Korea experienced Foreign Exchange Crisis in 1997. Its magnitude of impact was significant in every aspect of the society, especially in economy. After 1997, deregulation was adopted in every aspect of economy including residential financial market. The low interest rate is prevailing and expectation of capital gain in real estate market is creeping down due to the downsizing of macro economy. There presumption of structural change is prominent in real estate market, it is important to study the market as a two different periods; before and after the Foreign Exchange Crisis. So this research exercise the same quantitative technique before and after year of 1997 Foreign Exchange Crisis. Based upon proposed hypothesis, the ownership price should be the central force in the Constrained Choice theory, and the rental price market(Chonsei market and monthly market) in Discounted Price theory. Various quantitative approach were considered. This study adoptd Granger Casualty Test to find which factor is a cause or result to other factors. The Cross Correlation Coefficient Test is for the verification of result of Granger Casualty Test and to define which factor is advance to other factors. Vector Auto Regression analysis was practiced to define the function and relativity among ownership price, Chonsei price, and monthly rental price. The time series economic data should be stationary before analyzed. The existence of cointegration could bring about spurious result of time consuming research. Through unit root test and cointegration test, all the data become stationary which is very critical in the study of time series regression. Due to least one cointegression vector was found, Vector Error Correction analysis was exercised. The estimation of coefficient, impulse response analysis, and decomposition analysis were done for the study. As a Result of Granger Causality analysis, we found that housing ownership price is still the driving force to Chonsei Price and monthly rental price. So the Korean residential market is worked by the Constrained Choice theory, and result following study, like cross correlation coefficient analysis and Error Correction Model analysis, supports the result good enough but not in every case. In the Granger Casuality analysis, the residential housing price has a casuality to Chonsei price, and the Chonsei price to monthly rental price. And the result of Cross Correlation Coefficient analysis show the working order of the prices is mostly coincidental. And the magnitude of impact of impulse analysis is housing price first and Chonsei price is second and monthly rental price third. The magnitude of change of the housing price is the most influencing one, and the connection of Chonsei and monthly rental price in rental market is very minimum each other. The determination of ownership price is considered exogenous and independent from Chonsei price and monthly rental price. and other result of study back up the prior result in general. The Korean housing market is very composite so one theory can not define the market. Especially after the Foreign Exchange Crisis, the structural change has been experienced in residential market in Korea. So, we might be in transferring period. But in general, Constrained Choice theory is prevailing in housing market, and the residential housing price is major driving force and influences to Chonsei market, and monthly rental market. So the housing policy and tax policy should be concentrated on stabilizing residential ownership market