시간변동계수모형을 이용한 주택가격의 기대상승률 추정 = Expected Growth Rate of Housing Price Estimated by Time-Varying Parameter Model in Korea

다국어 초록 (Multilingual Abstract)

The objective of this article is to estimate `expected growth rate of housing price` in Korea. Because it is rational to suppose that `expected growth rate of housing price` is varying as time goes by, this article estimates `expected growth rate` by Time-Varying Parameter Model. This article is using `Junsei price to housing price ratio` data and corporation bond rate from January 1986 to November 2002 as time series data. From the output, this article concludes as follows : First, `expected growth rate of housing price` has a property of random walk process. Second, `expected growth rate of housing price` has a downward drift from November 1991. Third, `expected growth rate of housing price` is about 2.5% ∼ 2.8% in November 2002.