아파트매매가격과 금리의 불확실성이 부동산가격에 미치는 영향 = The Influence of Uncertainty on real estate prices

다국어 초록 (Multilingual Abstract)

The purpose of this thesis is to examine the effect of uncertainty on real estate prices. More precisely, the thesis analyzes the impact of apartment housing price uncertainty on apartment jeonse price index in chapter 2, while we analyze empirically analyzes the impact of interest rate uncertainty on apartment housing prices in chapter 3. For this purpose, nonlinear models, LSTAR model and GARCH-in-mean VAR model, are used.
In Chapter 2, we adopt a logistic smooth transition autoregressive(LSTAR) model to examine the impact of apartment housing price uncertainty on the apartment jeonse price index. In addition, apartment housing price volatility, which are measured by an EGARCH(Exponential GARCH) model, is used as a transition variable. The sample period ranges from May 1995 to March 2022. The empirical results are as follows. First, the effect of apartment housing price uncertainty on the apartment jeonse price index depends on the state of uncertainty in apartment housing prices. More specifically, when uncertainty is very high. When uncertainty is very high, leasehold prices tend to rise, but when uncertainty is very low, the long-term average of apartment jeonse price has a negative value. Second, we include the changes in interest rate because the interest rate influences both the apartment housing price and jeonse prices. It is found that the effect of interest rate on the apartment jeonse prices are not significant while the previous literatures shows the negative impact. This implies that uncertainty of apartment housing prices has a greater influence on the psychology of investors and consumers.
In Chapter 3,this thesis analyzes the impact of COFIX rate and mortgage rate uncertainty on apartment housing prices. The sample period is from January 2010 to August 2023, using the mortgage rate, COFIX rate and apartment housing prices. these data obtained from the Bank of Korea and the Korea Real Estate Board. from the Bank of Korea's mortgage rate, the Bank of Korea's COFIX rate, and the Korea Real Estate Board's apartment housing price index. The findings of the analysis can be summarized as follows. First, the uncertainties in the COFIX rate and mortgage rate significantly impactthe changes change in apartment housing prices. The more volatile the COFIX rate, the higher changes in apartment housing prices. This can be interpreted by the fact that investors could expect higher interest rate in the future when they encounter the increasing uncertainty in the interest rate. In turns, this induces the desire to purchase real estate before the COFIX rate increases. The desire to purchase real estate before the COFIX rate, which is the basis for mortgage rates, rises. Second, as the volatility of mortgage rates increases, the changers in apartment housing prices decreases. This can be explained by uncertainty of mortgage rates, which causes investors to hold off on purchasing homes and wait and see. Third, we find that mortgage interest rate uncertainties do not influence changes in apartment housing prices when the 3-year government bond interest rate is incorporated in our model. This implies that the 3-year government bond rate may be a more important control variable than the volatility of mortgage rates and may reduce the influence of mortgage rates. Fourth, we find that apartment housing prices increase sharply in response to a decrease in the COFIX rate when the 3-year Treasury bill rate is taken into account. This can be interpreted as an asymmetric effect with the COFIX rate increase shock because the central bank is more cautious about raising interest rates than lowering them, and a reduction in the Central Bank leads to a reduction in market nominal interest rates, which leads to an increase in apartment housing prices.
We focus on uncertainty of apartment housing prices because people prefer to own their own homes for reasons such as housing security and wealth accumulation. Uncertainty in apartment housing prices can negatively impact their decision to purchase. We also examine the impact of interest rate uncertainty, as increased uncertainty in interest rates reduces investments in the economy overall. This, in turn, affects the decisions of investors and consumers, subsequently influencing future apartment housing prices.
The results of this paper provide important information for policy makers and investors to understand the relationship between uncertainty and real estate markets. Financial authorities need to implement financial policies to minimize uncertainty in the interest rate and real estate markets to improve the predictability of market participants, and they need to consider not only economic factors but also the psychology of consumers and investors when formulating real estate market policies. In addition, careful review and adjustment of interest rate policy is needed to take into account the asymmetric impact of interest rate fluctuations, and it is necessary to establish short- and long-term strategies for the impact of uncertainty on the real estate market.
However, there is a limitation that the real estate market can vary significantly depending on regional characteristics, and this paper does not fully consider regional differences. In addition, the time series data used in the paper is limited to a specific period (May 1995 to March 2022, January 2010 to August 2023), which may not reflect long-term trends due to the limited temporal scope.

목차 (Table of Contents)

• 제 1 장 서 론 1
• 제 2 장 비선형모형을 이용한 아파트매매가격 불확실성이 아파트전세가격에 미치는 영향 6
• 제 1 절 서 론 6
• 제 2 절 선행연구 10
• 제 3 절 실증분석 모형 13
• 1. 아파트매매가격 불확실성 추정 모형 13
• 2. LSTAR(logistic smooth transition autoregressive) 모형 14
• 제 4 절 자료 및 실증분석 결과 16
• 1. 자료 및 기초통계량 16
• 2. 실증분석 결과 19
• 3. 강건성 검정 결과 24
• 제 5 절 요 약 및 결 론 28
• 제 3 장 COFIX금리와 주택담보대출금리 불확실성이 아파트매매가격에 미치는 영향 29
• 제 1 절 서 론 29
• 제 2 절 선행연구 33
• 제 3 절 실증분석 모형 36
• 제 4 절 자료 및 실증분석 결과 40
• 1. 자료 및 기초통계량 40
• 2. GARCH-in-mean VAR 모형 검정 결과 44
• 3. 충격반응함수 분석 결과 49
• 4. 강건성 검정 결과 53
• 제 5 절 요 약 및 결 론 60
• 제 4 장 결 론 63
• <참고문헌> 65