우리나라 주택가격의 추세-순환 분해 및 평균회귀 현상 분석 = Trend-Cycle Decomposition and Mean Reversion of Korean Housing Prices

다국어 초록 (Multilingual Abstract)

This paper analyzes the movement of housing prices in Korea. We decompose housing pricesin to trend and cycle, using an unobserved component(UC) model, where the trend follows a random walk with drift and the cycle is characterized as ARMA(p,q) process. We also investigate whether housing prices shows a mean reversion in the long horizon. Data covers from Jan. of1986 to June of 2013. The cycle process best fits with ARMA(2,1) and explains 60.5% of the housing prices movement, based on the estimated parameters of the model. Predictable variation, due to the predictable cycle process, is estimated to be 31.4% of the housing prices movements. We find statistical evidence of mean aversion in the short horizon and mean reversion in the long horizon with Fama·French model. Other two models, Jegadeesh model and Poterba·Summers model, shows mean aversion both in the short and the long horizons. After the foreign exchange crisis in 1997, serial correlations and variance ratios have smaller values, implying the inefficiency of the housing market is diminished.

참고문헌 (Reference)

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