주택가격과 전세가격: VECM 분석 = Housing Price and Chonsei Price: VECM Analysis

다국어 초록 (Multilingual Abstract)

This paper investigates the relation between housing price and chonsei price in Korea, using a vector error correction model(VECM). The model includes two endogenous variables of housing price and chonsei price and one exogenous variable of interest rate. Data covers two sub-periods; a period of Jan. 1987 to Dec. 1996 which is before the IMF crisis and a period of Jan. 1999 to Dec. 2009 which is after the IMF crisis. The empirical results are as follows: Firstly, the result of Johanson cointegration test shows that long-run equilibrium relation between housing price and chonsei price does not hold for the period before IMF crisis, but do hold for the period after IMF crisis. The long-run elasticity of chonsei price to the change of housing price is estimated at 0.575. Secondly, housing price has a error correcting power, when the long-run equilibrium breaks. But the speed of adjusting is very slow since the coefficient is as small as 0.024. Thirdly, Granger-causality test results show that there was no causality relation between housing price and chonsei price for the period before IMF crisis. For the period after IMF crisis, the test results support the evidence that chonsei price Granger-causes housing price under 5% significance level. These results might be related to the fact that chonsei price are based on the value of housing-service. As long as the value of housing-service remains same, it is no sense for the change of housing price to affect on the chonsei price.

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