주택은 인플레이션을 헷지 할 수 있는가? = Can Housing Hedge Against Inflation?

다국어 초록 (Multilingual Abstract)

This paper examines the inflation hedging capacity of Korea’s housing return from January 1987 to December 2022. The exponential generalized autoregressive conditiuonal heteroskedasticity(EGARCH) model and a dynamic ordinary least squares (DOLS) regression were employed to study the hedging capacity of Korea’s housing return against expected and unexpected inflation over the short run and long run. The results that could be obtained through this paper is as follows. First, The empirical results show a hedge effect on expected inflation only in housing return excluding gold over the short term, but not in unexpected inflation. Second, Over the long run, housing and gold returns provide a positive inflation hedge against expected inflation only. Third, it is found that the price volatility of housing and gold have both a positive asymmetric effect on news shocks. Over the long run, an increase in wages is found to increase housing prices by promoting housing demand, While no similar evidence is found in money supply.Therefore, there is a need to implement a stable wage policy to stabilize the housing market.

국문 초록 (Abstract)

본 연구에서는 EGARCH 모형과 DOLS 모형을 이용해 주택수익률의 장·단기 인플레이션 헷지 효과에 대해 1987년 1월부터 2022년 12월까지의 자료를 실증분석하였다. 분석결과는 다음과 같다. 첫째, 단기에 금을 제외한 주택에서만 기대인플레이션에 대해 헷지 효과가 존재하나 기대하지 못한 인플레이션에는 존재하지 않는 것으로 나타났다. 둘째, 장기에 주택과 금은 기대인플레이션에 대해서만 헷지 효과가 각각 존재하는 것으로 나타났다. 셋째, 주택과 금의 가격 변동성은 뉴스 충격에 대한 양(+) 비대칭 효과를 모두 가지는 것으로 나타났다.
장기적으로 임금의 증가는 주택수요를 촉진시켜 주택가격을 상승시키는 것으로 나타났으나, 통화량 증가는 그렇지 않은 것으로 나타났다. 따라서 주택시장 안정화를 위해 안정적인 임금 정책을 수행할 필요성이 있다.

참고문헌 (Reference)

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