통화정책과 거시건전성정책이 주택가격에 미치는 동적 효과 분석

다국어 초록 (Multilingual Abstract)

This study empirically examines the dynamic effects of monetary and macroprudential policy shocks on real housing price in Korea using a Bayesian structural VAR model with sign restrictions. The main findings are as follows. First, the tightening monetary and macroprudential policy shocks cause real housing price to increase while the loosening policy shocks cause it to decrease. Second, when monetary and macroprudential policies align, their combined impact amplifies changes in real housing prices; however, when they diverge, the overall effect diminishes. Third, real housing prices respond to monetary policy shocks with greater statistical significance, persistence, and magnitude compared to macroprudential policy shocks, regardless of the policy mix. Fourth, macroprudential policy shocks contribute more to variations in real housing prices compared to monetary policy shocks. Fifth, after the global financial crisis, as business and financial cycles become less synchronized, real housing prices respond similarly to both monetary and macroprudential policy shocks. Specifically, the magnitude of responses to monetary policy shocks increases, while responses to other shocks and their contribution to price variations decrease. This study implies that regardless of the business and financial cycles, the combination of tightening monetary policy and tightening macroprudential policy is the optimal policy alignment to achieve the stabilization of housing prices. Therefore, this suggests that policy makers need to consider the interactions of the two policies when they aim to stabilize housing prices.