평가기반 아파트가격지수에서의 비대칭 평활화 현상에 관한 연구 = Asymmetrical Smoothing in the Appraisal Based Apartment Price Index

국문 초록 (Abstract)

본 연구에서는 대표적인 평가기반 아파트가격지수인 국민은행 아파트가격지수의 평활화 현상(smoothing)을 국토해양부가 공표하고 있는 실거래가격으로 만든 반복매매지수(repeat sales index)를 사용하여 조사하였다.
실증분석결과를 요약하면 평가기반 아파트가격지수는 상승시장보다는 하락시장에서 평활화가 큰 것으로 나타났다. 상승시장에서는 평가기반 아파트가격지수는 실거래 아파트가격지수를 상대적으로 빨리 추적하고 하락시장에서는 상대적으로 천천히 추적하는 것으로 나타났다. 또한 평가기반 아파트가격지수의 변동성도 실거래 아파트가격지수의 변동성에 비해 상승시장보다는 하락시장에서 더욱 작은 것으로 분석되었다. 새로운 거래가격이 평가에 반영되는 정도는 하락시장에서는 20%, 상승시장에서는 45% 정도인 것으로 나타났다. 평가기반 아파트가격지수의 측정오차(measurement errors)모형의 분석결과 하락기에 확대되는 평가기반 아파트가격지수의 평활화 현상은 지속되는 경향이 강하다는 것을 확인하였다. 평가기반 아파트가격지수의 평활화현상이 아파트가격 상승기보다 하락기에 더 큰 것은 적은 거래량의 영향도 있지만 하락기 고유의 영향도 있음을 확인하였다. 본 연구의 결과를 전체적으로 요약한다면 평가기반 아파트가격지수는 상승시장보다는 하락시장에서 평활화 효과가 크게 나타나는 것으로 분석되었다.

다국어 초록 (Multilingual Abstract)

We investigate the smoothing phenomenon in the Kookmin Bank apartment price index, the most widely used appraisal based apartment price index in Korea using a repeat sales index based on the transaction data published by the Ministry of Land, Transport and Maritime Affairs.
In summary, we find that there is a greater degree of smoothing in the appraisal based apartment price index during the up market than the down market, that is, the appraisal based apartment price index tracks the sales price based index relatively slowly during the down market while it tracks the sales price based index relatively fast during the up market. The volatility in the sales price based index is far greater than the volatility in the appraisal based price index during the down market, but not during the up market. Only about one quarter of the new sale prices are priced in the appraisal during the down market while the new sale prices account for almost half of the appraisal based apartment price index during the up market.
We also show that during the down market the appraisal based apartment price index reduces the gap from the sales price based index in subsequent periods only limitedly so that the smoothing during the down market tends to be persistent. We find that the transaction volume, which is a measure of information in sale prices, has a negative influence on the gap between the appraisal based apartment price index and the sales price based index. However, even when we control for the volume effect, the down market effect is still present suggesting that the asymmetrical smoothing between the down market and the up market is caused not only by the information effect of volume but also by other factors present in the down market.
Our findings are generally consistent with the asymmetrical smoothing hypothesis where the smoothing in the appraisal based apartment price index is greater during the down market than during the up market.

목차 (Table of Contents)

• 〈Abstract〉
• Ⅰ. 서론
• Ⅱ. 선행연구 검토
• Ⅲ. 분석자료
• Ⅳ. 실증분석
• Ⅴ. 결론
• 참고문헌
• 부록 1. 반복거래 빈도수
• 국문요약

참고문헌 (Reference)

1 김명준, "주택가격지수 산정: 서울 아파트 실거래가격을 이용한 실증연구" 한국은행금융경제연구원 (348) : 2008

2 임재만, "부동산 지수의 측정오차에 관한 연구" 대한국토·도시계획학회 38 (38): 77-87, 2003

3 이창무, "반복매매모형을 활용한 아파트 매매가격지수" 한국부동산분석학회 8 (8): 1-19, 2002

4 이창무, "반복매매모형을 이용한 아파트 실거래지수 운영특성 분석" 한국부동산분석학회 13 (13): 21-40, 2007

5 이용만, "국민은행 주택가격지수의 평활화 현상에 관한 연구" 한국주택학회 16 (16): 27-47, 2008

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