자산가격 내의 버블추세 간 전이분석 = Dynamic Analyses of Asset Prices` Bubble Trends: Stock Price, Foreign Exchange Rate and Housing Price

다국어 초록 (Multilingual Abstract)

In this paper, we test and estimate of the stochastic bubble trends in Korean assets` market. For this, following Kim (2014), we exploit that the long-run equilibrium assets` price may be decomposed into fundamental and stochastic bubble trends by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which assets` prices converge to their long-run equilibrium, which reflects the stated stochastic bubble trend. We may test the existence of bubble trend via a standard t-test and conduct a dynamic analyses using assets` price, fundamental and bubble trends in a VAR model. The results of the analysis of monthly data after Asian financial crisis, indicate that fluctuations in assets` prices during that period can be explained mainly by the bubble trend, not by the stochastic fundamental trend. The ratios of bubble to the fundamental trends have the ranking in size as the stock price, housing price and Won/Dollar exchange rate. According to generalized impulse response analysis and variance decomposition, the dynamic effects of Won/Dollar exchange rate in bubble trends to those of other assets were influential.

참고문헌 (Reference)

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