상장 리츠시장의 효율성 점검

이태리 ( Taly I ),김계홍 ( Gye Hong Kim ),유승동 ( Seung Dong You ) 한국부동산분석학회 2016 不動産學硏究 Vol.22 No.2

We investigate market efficiency for Real Estate Investment Trusts (REITs) that are traded in the Korean stock market. The Korean REITs market has a history of more than 15 years; it is believed that the market has a big potential of growth and REITs can play role of an investment vehicle that induces investment capital into real estate markets. Market efficiency for REITs can be critical because in an efficient market, investors can achieve normal returns and they can not achieve more than above average-returns. Using daily market prices for four REITs stocks from 2012 and 2015, we test weak form of efficient market hypothesis. The methodologies for our empirical evidence include an ARIMA (Autoregressive Integrated Moving Average) model and both time-invariant and time-varying GARCH-M (Generalized AutoRegressive Conditional Heteroscedasticiy in Mean) Models. Our unique contribution to the literature is that with GARCH-M models our empirical evidence rejects the null hypothesis that Korean REIT stocks are efficient. We suggest that new REIT polices take account of the empirical evidence.

종합부동산세 변화가 주택가격과 민간소비에 미치는 영향

이태리(I, Taly),송인호(Song, In-Ho) 대한국토·도시계획학회 2021 國土計劃 Vol.56 No.2

오피스 임차인의 회전율

유승동 ( You Seung-dong ),이태리 ( I Taly ) 한국부동산분석학회 2020 不動産學硏究 Vol.26 No.3

본 논문은 상업용부동산 투자자들이 관심을 갖는 중요한 위험 요인 중 하나인 임차인 회전율의 결정요인을 연구하였다. 주택시장과는 달리 오피스 시장의 회전율은 부동산 관련 기존연구에서 관심을 갖지 못했었다. 이에 한국감정원의 지역별 오피스임대시장조사 자료를 이용하여 우리나라 주요 대도시의 상업용부동산 시장을 대상으로 연구를 진행하였다. 분석결과 지역별 경기와 거시경제 변화를 고려할 때, 임대료의 상승은 오피스 임차인의 전환가능성을 높임으로써 임대인의 위험을 증가시켰으며, 경제가 호의적인 경우 오피스 회전율은 하락하였다. This paper investigates the determinants of office tenant turnover, which is one of critical risk factors that investors in commercial real estate pay attention to. Unlike turnover in housing market, turnover in office market has received little attention in the real estate literature. Using a unique data set from the Korea Appraisal Board who releases rental market information on the national office market, this paper studies commercial office turnovers in major cities in Korea. Consistent with expectation, our empirical evidence suggests that with higher rents, office buildings are more likely to have new tenants and in more favorable local market conditions, office buildings are less likely to have new tenants.

금리의 주택가격 상승 기여도 추정

박진백(Jinbaek Park),이태리(Taly I),오민준(Minjoon Oh) 한국주택학회 2021 주택연구 Vol.29 No.4

본 연구는 금리가 주택가격변동률에 미치는 영향과 기여 수준을 추정하였다. 주요 분석결과는 다음과 같다. 첫째, 2011년 이후 금융시장 구조전환 존재 여부를 분석한 결과, 저금리 기조로 전환된 2019년 7월이 금융시장 구조전환 시기로 분석되었다. 금융시장 구조전환 전후 특징을 살펴보면, 주택담보대출 증가량은 문재인 정부가 시작된 2017년 5월부터 2019년 6월까지 증가량에 비해 금융시장 구조전환 이후 시기에 약 1.46배 증가하였고, 동시기 주택가격이 급격히 상승한 것이 확인된다. 둘째, 주택가격 변동률 영향요인에 대해 회귀분석한 결과 금리 인하는 주택가격 상승과 관계있으며, 이는 주택공급이나 주택수요에 의한 효과보다 더 강한 것으로 분석되었다. 셋째, 샤플리 분해를 통해 주택가격 변동 기여를 추정한 결과, 금융시장 구조전환 이후 금리에 의한 주택가격 변동 영향력이 34.3~44.5%로 다른 변수와 비교하여 기여율이 월등히 높은 것을 확인하였다. 넷째, 패널VAR에 기초한 예측오차분산분해 분석 결과, 금융시장 구조전환 시점 이전 향후 12~24개월 이내 금리가 주택가격 상승 원인으로 작동할 것이 전망되었다. 본 연구의 분석결과를 종합한 결과, 최근 주택가격 상승의 주요 원인은 금리 인하에 있었다고 판단된다. This study aims at estimating the effect of interest rates on change rate of housing price and level of contribution. Main findings are as follows. Firstly, as a result of the existence of structural break in financial market after 2011 using structural break test, we found that there was a structural break in financial market around July 2019 under the circumstances of low interest rates. Examining the characteristics of changes in financial market by comparing before with after, we verified the 1.46-fold increase in residential mortgage and the rapid increase in housing prices after the structural break(July 2019) comparing with the period between May 2017(inauguration of the current government) and June 2019. Secondly, according to the result of regression analysis, an increase in housing prices is closely related to a fall in interest rates. Particularly, the effect of interest rates on housing prices was stronger than that of housing supply factor and housing demand factor. Thirdly, another finding which is related to the analysis of the contribution on changes in housing prices with Shapley Decompotion is strong contribution of interest rates during the period of post financial structural break(34.3~44.5%) comparing with the contribution of other variables. Lastly, According to results on the basis of Variance Decomposition of Panel VAR estimation, it is analyzed that interest rate works as a main factor of an increase in housing prices within 12~24 months after structural break point. Thus, the main conclusion of this study is that a decrease in interest rates was one of the key factors of current increasing housing prices.

상업용부동산 정보의 중요도 평가 연구

방보람 ( Bang Bo-ram ),이태리 ( I Taly ),조정희 ( Cho Jung-hee ) 한국부동산분석학회 2017 不動産學硏究 Vol.23 No.3

This study aims at identifying factors that are important for information in Korean commercial real estate to provide the valuable information to investors and to proceed to advanced market by improving the transparency using the AHP method. In conclusion, important factors that should be considered in information for the Korean commercial real estate by priority are price and transaction information, rent price, income, and accessibilities. The suggestions of this study can help policy makers and market participants to utilize and to manage future information of commercial real estate. In addition, it is also expected that these results contribute to improve transparency of Korean commercial real estate market.

기업형 임대주택(뉴스테이) 공급 활성화를 위한 금융지원 방안 연구

신용상 ( Yong_sang Shyn ),이상영 ( Sangyoung Lee ),이수욱 ( Soowook Lee ),이태리 ( Taly I. ) 한국금융연구원 2017 기타보고서 Vol.2017 No.1

The purpose of this study is to identify financial support for boosting enterprise-led rental housing(New Stay). The recommen -dations include activating real estate indirect investment such as REITs and real estate fund. First, the indirect investment in Korea is dualized with REITs and real estate fund unlike major advanced countries where real estate indirect investment is uniformed with REITs based on contest. Investing in REITs is limited in Korea because investments from financial institutions are regulated because they are corporations, and investment management is highly restricted. To overcome these new certification structure is needed. Korean REITs has low flexibility because additional incorporation or selling portion is limited. Also its size is small which make it hard to achieve economy of scale. These lead to low profitability. Alternative is Hub-REITs (a mother REITs), however fundamental solution is to develop every REITs can have various business portfolios so that the individuals or institutions can invest freely. In order for this, new structures are needed such as sponsored REITs or stapled REITs, to attract financial investors(FI)` investment by contesting New Stay REITs and facilitating listing. Regulations should be relieved which limits REITs investments, also investors and asset management businesses should be nurtured. These can be achieved through facilitating public opening and listing, reducing tax for investors, and asset management businesses that operate New Stay needs to incorporate not only current REITs management company but also related corporations. REITs asset management company is formed with real estate trust company and independent REITs-concentrated asset management company. These REITsconcentrated asset management companies may not secure profit because it has independent business model. Therefore continuous supports are needed to improve their profitability. In addition, diversifying business entity is needed. In oder for smooth operation of New Stay REITs and expansion of investment, various business entities should be included as REITs and REF investors. Currently, construction companies are majority of those investors. However in the future, various investors should be included such as financial institutions, rental management companies, and pension and funds. Also the anchor of REITs or sponsors(corporations, construction companies, developers, rental management companies, and financial institutions) should be included in asset management. This study examined finance`s role for reducing regulations that limits flexibility of New Stay business. The role includes facilitating public opening of REITs which is a real estate indirect investment item, diversifying listing structure, and utilizing real estate fund. In order to facilitate New Stay, settlement methods, political respond when the long-term rental period is terminated, detailed regulations for nurturing private rental management businesses, and consideration on rent price which is over-calculated compared to political assistance. Also, protecting renter`s rights needs to be considered because selling and renting can be mixed in the case of linked maintenance business. Moreover researches on settlement after the termination of mandatory renting period are needed as well as maintaining infrastructure regarding housing rental management businesses other than finance.