주식시장과 부동산시장 간의 비대칭적 인과관계

장병기(Byoung-Ky Chang) 한국자료분석학회 2020 Journal of the Korean Data Analysis Society Vol.22 No.2

This study analyzes the asymmetric causal relationship between the stock market and the real estate market. It differs from previous studies in that it considers asymmetric responses to rise and fall, uses regional real estate prices to avoid aggregation bias, and pays attention to the causal relationship from real estate prices to stock prices. The linear ARDL bounds test and the nonlinear ARDL bounds test were used to analyze the short- and long-term causal relationship between stock prices and regional housing prices. As a result, some important conclusions were obtained. First, real estate prices in most regions have long-term asymmetric responses to stock prices, and the wealth effect is useful. Second, the credit-price effect, the influence from real estate prices to stock prices, was found to be significant only in the metropolitan area, Daejeon and Chungnam in the long run. Third, short-term negative elasticity is mainly observed between real estate prices and stock prices, indicating that there is a short-term alternative investment relationship between stocks and real estate. Fourth, the response of real estate prices to stock prices is asymmetric in both short and long term, but the stock price response to real estate prices tends to be symmetric. Fifth, the impact of share prices on real estate prices is more significant than the impact of real estate prices on stock prices. The analysis results of this study can be useful information for investors for risk management or asset allocation. 본 연구는 자본시장과 실물시장을 각각 대표하는 주식시장과 부동산 시장 간의 비대칭 인과관계를 분석하였다. 상승과 하락에 대한 비대칭 반응을 고려하고, 합산 편의(aggregation bias)의 문제를 피하고자 시도별 부동산 가격을 이용하며, 부동산 가격으로부터 주가로의 인과관계에도 주목한다는 점에서 기존의 연구들과 차별화된다. 주가와 지역별 부동산 가격의 장단기 인과관계를 분석하기 위하여 선형 ARDL 한계검정법과 비선형 ARDL 한계검정법을 이용하였다. 분석을 통해 특히 몇 가지 중요한 결과를 얻을 수 있었다. 첫째, 대부분 지역의 부동산 가격은 주가에 대해 장기 비대칭적 정(+)의 반응을 보여 부의 효과(wealth effect)가 유효하다. 둘째, 부동산 가격으로부터 주가로의 영향력인 신용-가격 효과(credit-price effect)는 장기적으로 수도권과 대전 및 충남 모형에서만 유의한 것으로 나타났다. 셋째, 부동산 가격의 주가에 대한 반응이나 주가의 부동산 가격에 대한 반응이 단기에는 주로 음(-)의 탄력성을 나타내어 단기 대체관계에 있는 것으로 추정된다. 넷째, 주가에 대한 부동산 가격의 반응은 장단기 모두 비대칭적이나 부동산 가격에 대한 주가의 반응은 장단기 모두 대칭적인 경향이 있다. 다섯째, 부동산 가격이 주가에 미치는 영향보다는 주가가 부동산 가격에 미치는 영향이 더욱 유의하다. 본 연구의 분석 결과는 위험관리나 자산 배분 전략 측면에서 유용한 정보가 될 수 있을 것으로 기대된다.

공동주택 호별 가격배율을 이용한 아파트 실거래 가격지수

이지연 한국부동산분석학회 2017 부동산분석학회 학술발표논문집 Vol.2017 No.1

본 연구에서는 실제 거래 신고 된 실거래 가격을 이용하여 새로운 방식의 실거래 가격지수를 산출하였다. 현행 실거래 가격지수는 반복매매모형을 이용하여 작성되고 있는데 이 지수는 통계적 모형에 기반 한 지수로 일반 이용자가 이해하기에는 산출방식이 매우 어렵고 매월 지수의 변동현상, 하위지역 산출의 어려움, 공표까지의 3개월 시간차이로 인해 이용자의 활용도가 떨어지는 단점이 있다. 따라서 본 연구에서는 종합주가지수 방식인 시가총액방식을 이용하여 실제 거래된 가격을 기반으로 산출 방식이 쉽고 객관적인 새로운 형태의 지수를 산출해 보기로 한다. 지수 산출을 위한 월별 거래가격 확보를 위해 공동주택 호별 가격배율을 이용하여 실제 거래가 되지 않은 개별호의 실거래 가격을 추정하여 지수를 산출하였고 시뮬레이션을 통해 시군구 지수 및 단지 지수 등 하위지역까지 지수가 안정되게 생산됨을 확인하였다. In this study, we suggest a new type of real transaction house price index. The current real transaction house price index is calculated using the Repeated Sales Model, which is based on the statistical model. It is vary difficult for the general user to comprehend the statistical method, and there are disadvantages in revision of the index, the difficulty in calculating the sub-region, and the difference of 3 month time until publication. Therefore, we use the market price method, which is a composite stock price index method, to present a new type of index that is easy and objective to calculate based on the real transaction price. In order to secure the monthly transaction for the index calculation, the index was calculated by estimating the real transaction price of the individual house that were not actually exchanged by using the price ratio of apartment. Through the simulation results, it is confirmed that the index is stable to sub-region.

미국의 양적완화 정책이 자산시장 및 부(富)의 불균형에 미치는 영향에 대한 연구

김연준,임홍택 부경대학교 글로벌지역학연구소 2023 Journal of Global and Area Studies(JGA) Vol.7 No.3

Decline in risk-free interest rates increases the present value and decreases the future value, thereby expanding wealth inequality. The quantitative easing, a non-traditional monetary policy after the 2008 financial crisis, has recently become a major means of implementing low-interest rates policies along with countries’ expansionary monetary policies to overcome the COVID-19 pandemic. Low-interest rates policies and changes in monetary policy measures in major countries to overcome the crisis, which began in early 2000, led to a surge in the value of real assets and eventually a rise in stock and real estate prices. This paper uses the Granger causality analysis, the impulse response function, and the variance decomposition method using major macroeconomic data of the U.S. for the period December 1998 - December 2019. This paper verifies the assumption that balance sheets and interest rates affect in the reverse direction, and the rise in real estate and stocks intensifies the imbalance between the person with assets and the person without assets, raising the Gini index and increasing inequality. As a result of the Granger causality analysis, an increase in the U.S. balance sheet affects the U.S. interest rates and the global interest rates, and a rise in the U.S. balance sheet affects the U.S. Gini index. As a result of the impulse response function analysis, it was found that the increase in the U.S. balance sheet affected the rise in the Gini index, and the rise in global stock and real estate prices also affected the increase in the Gini index. As a result of the analysis of the variance decomposition, it was found that the expansion of the balance sheet of the U.S. central bank had a significant impact on the U.S. Gini index.

실질주가와 환율 간의 장기관계 분석 : 통화론적 접근 Monetary Approach

曺正銶 한국국민경제학회 2002 경제연구 Vol.11 No.2

본 연구에서는 실질주가와 환율 간의 장기 관계를 분석하기 위하여 기존의 통화모형에 실질주가를 설명변수로 추구한 실질주가 통화모형을 설정하는 한편, 1980년 이후 독일 마르크화, 프랑스 프랑화, 일본 엔화의 대미달러 환율을 대상으로 환율, 실질소득, 금리 및 실질주가 간에 장기 안정적 균형관계가 존재하는지 살펴보았다. 본 연구에서의 실증분석 결과를 종합해 보면 본 연구에서 제시한 실질주가 통화모형에 포함된 경제변수들이 세 환율 모두에 있어서 장기적 균형관계에 있음을 발견할 수 있었다. 또한 통화보유의 기회비용으로서 단기금리를 이용한 경우에는 모든 경제변수에 대한 계수의 부호가 통화모형의 장기 이론과 완전히 일치하는 것으로 나타났을 뿐 아니라, 모든 경제변수에 대한 계수도 유의한 것으로 나타나고 있어 본 연구에서 제시한 실질주가 통화모형의 타당성을 뒷받침해 주었다. 한편 본 연구에서 관심을 가지고 있는 실질주가의 환율에 대한 효과는 통화보유의 기회비용으로서 장기금리를 이용하든 단가금리를 이용하든 상관없이 세 환율 모두에 있어서 유의한 것으로 나타나고 있어 장기 환율의 설명에 있어 제외되어서는 안 될 중요한 역할을 하고 있음을 알 수 있었다. 또한 실질주가의 환율에 대한 장기 효과는 미국, 독일, 프랑스, 일본 등 모든 국가에서 대체효과가 자산효과보다 우세하게 나타남으로써, 자국의 실질주가 상승은 장기환율과 (+)의 관계를, 그리고 미국의 실질주가 상승은 (-)의 관계를 가진 것으로 나타났다. In order to investigate the long-run relationship between real stock prices and exchange rates, this paper reformulates the monetary model by including real stock prices into the home and foreign money demand functions. We, applying Johansen's multivariate cointegration techniques, tested the validity of our modified monetary model as a long-run equilibrium relationship for the Deutsch Mark, French Franc and Japanese Yen exchange rates against the U.S. dollar over the period January 1980 through December 1998. We found that the modified monetary model could not be rejected as a long-run equilibrium at the five percent significance level. And all the coefficients ate correctly signed in case that theoretical variables for the opportunity cost of holding money are proxied by short-term interest rates, while those on the long-run interest rates are incorrectly signed in case that the opportunity cost variables are proxied by long-run interest rates. Furthermore the empirical results indicate that real stock prices do play a significant role in the modified monetary model. Exclusion of real stock prices in the long-run relationship is rejected at the five percent significance level. All three exchange rates are positively related to the home real stock prices and negatively related to the foreign real stock prices, implying that the substitution effect of real stock prices is stronger than the wealth effect in the long-run.

실물이익조정이 차기 주가폭락위험에 미치는 영향

이상호(Sangho Lee),이창섭(Chang Seop Rhee),추재연(Jaeyon Chu) 한국경영학회 2017 經營學硏究 Vol.46 No.1

This paper examines the effect of real earnings management on firm-specific stock price crash risk. Managers have an incentive to hide firm-specific negative information using earnings management. When the accumulation of the negative information reaches the limit that the managers are willing to hide, the hidden information burst out as a bad news to the public at once leading to a stock price crash. Prior U.S. studies report that managers tend to use more real earnings management than accrual based earnings management(Bruns and Merchant, 1990; Graham, Harvey, and Rajgopal, 2005; Cohen, Dey, and Lys, 2008). In this circumstance, real earnings management can be a tool of managers to veil firm-specific negative information. We consider that real earnings management increases firm-specific stock price crash risk, and for that reason we attempt to investigate the link between managers’ real earnings management activities and subsequent stock price crash risk. We collect 12,991 firm-year observations listed on Korean market from 2002 to 2014, and we use the measures of real earnings management from Cohen and Zarowin(2010) and the measures of firm-specific stock price crash risk from Callen and Fang(2013 & 2015) to examine the association between managers’ real earnings management activities and subsequent stock price crash risk. From our empirical results, we find that firms have more possibility to experience a subsequent stock crash as their managers’ real earnings management activities increases. However the positive association between real earnings management and stock price crash risk is weakened when firm’s information environment level or corporate governance level is high. The result implies that good information environment and corporate governable can help to reduce subsequent stock price crash risk caused by managers’ real earnings management activities. This study will contributes to academic and disclosure-related practitioners by reporting real earnings management makes an influence to firm-specific stock price crash risk in Korean capital market. Additionally, we believe that the empirical results may shed some light on the understanding of the significance of information environment and corporate governance as a tool of monitoring managers’ opportunistic activities.

9․1 부동산 세제 개편방안이 채권시장과 주식시장에 미친 영향에 관한 연구

김태정 글로벌경영학회 2011 글로벌경영학회지 Vol.8 No.2

We examine on the influence of 9․1 real estate policies on return of the korea stock price index and bond market yield for 446 daily data from November 11, 2006 to September 1, 2008 before 9․1 real estate policies and 446 daily data from September 1, 2008 to June 13, 2010 after 9․1real estate policies. The analysis employs the vector-autoregression, impulse response function and variance decomposition using daily returns on bond market yield and stock market index. This research showed following main results. First, from basic statistic analysis, both bond market yield and korea stock price index return have unit roots. Second, there is at least one cointegration between them. In addition, we find that bond market yield has the comovement of korea stock price index return before 9․1 real estate policies. but bond market yield has the reverse movement of korea stock price index return after 9․1 real estate policies. So this paper investigates on the influence of 9․1 real estate policies on return of the bond market yield and korea stock price index. 이 연구는 9․1 부동산 세제 개편방안 시행 발표 전인 2006년 11월 11일부터 2008년 8월 31일까지446개의 자료와 9․1 부동산 세제 개편방안 시행 발표 후인 2008년 9월 1일부터 2010년 6월 13일까지446개의 한국종합주가지수와 3년 국채이자율 자료를 사용하여 9․1 부동산 세제 개편방안이 주식시장과 채권시장에 미친 영향에 관한 실증분석 연구이다. 9․1 부동산 세제 개편방안이 주식시장과 채권시장에 미친 영향에 관한 연구에 사용된 연구모형으로는 시계열의 안정성 검정을 위한 단위근 검정과 공적분(cointegration)검정을 하였다. 3년 국채이자율 시계열자료와 종합주가지수 시계열자료간 상호영향력 분석을 위한 VAR모형을 이용한 충격반응분석과 예측오차의 분산분해기법을 이용하였다. 9․1 부동산 세제 개편방안이 주식시장과 채권시장에 미친 영향에 관한 연구의 중요한 결과들로 3년국채이자율 시계열자료와 종합주가지수 시계열자료의 원시계열자료에 대한 안정성검정 결과 불안정적인것으로 나타났고, 3년 국채이자율 시계열자료와 종합주가지수 시계열자료의 1차 차분시계열자료에 안정성검정 결과는 모두 안정적임을 알 수 있었다. 또한 3년 국채이자율 시계열자료와 종합주가지수 시계열자료간에는 공적분관계가 존재하고, 9․1 부동산 세제 개편방안 발표 전후에 3년 국채이자율과 종합주가지수 간의 양(+)의 독립적인 관계에서 음(-) 상관관계로 변화된 것을 알 수 있다.

주가 및 부동산가격이 화폐수요에 미치는 부의 효과: 국가 간 비교분석

장병기 ( Byoung Ky Chang ) 국제지역학회 2011 국제지역연구 Vol.15 No.1

The main purpose of this study is to analyze the effects of stock price and real estate price on the money demand. We investigated the demand for money for 25 money units of 10 countries. To estimate the money demand functions, Johansen`s cointegration and ARDL-bounds test were employed. Additionally, Stock and Watson`s DOLS method was applied to estimate long-run cointegration vectors. According to the results of cointegration test, stock price and real estate price are crucial in the long-run equilibrium relationship. There were no cointegration relationships among money demand, real income, interest rate, and exchange rate in 12 money unit models. However, by including stock price and real estate price on the tested models, we could find strong cointegration relationships, using ARDL-bounds test. The results of DOLS confirm that stock price and real estate price are effective factors influencing on money demands. Especially, the coefficient of real estate price is statistically significant in the 19 out of 20 money unit models. However, the direction and magnitude of coefficients of asset prices are different across countries and money units.

주가와 지역별 부동산가격 변동 간의 관계성 분석

장세웅(Jang Se-Woong),이상효(Lee Sang-Hyo),김재준(Kim Jae-Jun) 대한건축학회 2010 대한건축학회논문집 Vol.26 No.3

Investment target such as a stock market may have influence on housing demand and housing price as it works as a motive for asset investment. A stock market and real estate market forms a relationship of either asset synchronization or asset replacement depending on a given circumstance. The amount of working capital may shift due to investment rate of return; or the two indicators may move in the same direction in response to overall market situation. In real estate market, investment demand may vary in different regions. Thus, a stock market and a local real estate market might show various and dynamic relationships. In this study, the dynamic relationship between stock index and local real estate value is examined using VECM(Vector Error Correction Model). For this purpose, stock index was analyzed to measure condition of a stock market. For indicator of local real estate market, the housing sales price index in Gangnam and Gangbuk area in Seoul was used. Concerning time-series analysis of each variable, monthly data from the National Statistical Office and Kookmin Bank was used. The analysis result demonstrated that the real estate value showed varying correlation with stock price in Gangnam and Gangbuk area.

건설주의 두 정부 사이에 구간별 변동성에 관한 분석

최정일(Choi, Jeong Il),이옥동(Lee, Ok Dong) 한국부동산학회 2014 不動産學報 Vol.56 No.-

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this study is to evaluate the Korea Stock Price Index, Construction Stock Price Indices and Real Estate Indices of Part icipatory Government and Pragmatic Government. (2) RESEARCH METHOD This study was focused on survey analysis. The data for this analysis were divided and those two trends. inflation rate and correlations were compared. It was analyzed that on which section of Stock Price Index recorded higher inflation rate of Construction Stock and Real Estate Indices. It was also compared to the real estate business at that time. (3) RESEARCH FINDINGS In the results of this survey, the average of the Korea Stock Price Index, Construction Stock Price Indices and Real Estate Indices continue upswing from Participatory Government and showed higher levels in Pragmatic Government. 2. RESULTS As it was appeared on correlation analysis, KOSPI and Construction Stocks or real estate index showed high mutual relations of 0.72 and 0.74 respectively. On the contrary, the correlation between Construction Stocks and Real Estate Index was 0.18.

서울아파트가격과 주요 경제지표와의 연관성 분석

최정일(Choi Jeong Il),이옥동(Lee Ok Dong) 한국부동산학회 2017 不動産學報 Vol.71 No.-

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this paper is to find the factors that affect the price of real estate. To this end, we selected Seoul apartment and interest rate, composite stock price index, and real estate mortgage loan. (2) RESEARCH METHOD The analysis period is 320 months from January 1991 to August 2017. Each monthly data was analyzed by using Excel, e-views and SPSS. As a result of the index analysis the growth rate of mortgage loans was 1,950%, the total stock price index 372%, Seoul apartment 300% and interest rate 8.54%. (3) RESEARCH FINDINGS The change rate was higher in the order of the composite stock price index, interest rate, Seoul apartment and mortgage loan. In the correlation analysis, Seoul apartment showed a positive(+) correlation with 0.393 for mortgage loan, 0.268 for KOSPI and 0.128 for interest rate. In the regression analysis, the dependent variable Seoul apartment was statistically significant, with a composite stock index of 0.0758 and mortgage loan of 0.5736. 2. RESULTS Therefore, it is analyzed that Seoul apartment price is affected more by mortgage loan relatively. In recent years, mortgage lending has risen sharply with risk levels and further increases are expected to affect Seoul apartments. It is necessary for the government to establish efficient real estate measures to stabilize Seoul apartment prices and make soft landings. 본 논문의 목적은 부동산가격에 영향을 주는 요인을 찾아보는 것으로 이를 위해 서울아파트와 금리, 종합주가지수, 부동산담보대출을 선정하여 다양하게 분석하였다. 분석기간은 지난 1991년 1월부터 2017년 8월까지 총 320개월이며 각 월간자료는 Excel, e-views, SPSS를 이용하여 지표분석과 모형분석을 실시하였다. 지표분석결과 상승률 동향에서 담보대출은 1,950%, 종합주가지수는 372%, 서울아파트는 300%, 금리는 8.54% 상승률을 보여주었고 변동률은 종합주가지수, 금리, 서울아파트, 담보대출 순으로 크게 나타났다. 상관분석에서 서울아파트는 담보대출과 0.393, 종합주가지수와 0.268, 금리와 0.128로 양(+)의 관계를 보여주었다. 회귀분석에서 종속변수 서울아파트는 종합주가 지수 0.0758, 담보대출 0.5736로 통계적으로 유의하게 산출되어 담보대출에 많은 영향을 받은 것으로 나타났다. 서울아파트가격은 상대적으로 담보대출에 의해 더 많은 영향을 받아온 것으로 분석되었다. 최근 담보대출이 위험수준을 보이며 급증하고 있어 향후 추가적인 증가 여부가 서울아파트에 영향을 미칠 것으로 예상된다. 정부차원에서 서울아파트 가격의 안정과 연착륙을 위해 효율적인 부동산대책 수립이 필요해 보인다.