주택가격과 거시경제: 구조적 VEC모형 = House Price and Macro-Economy in Korea: Structural VECM Analysis

다국어 초록 (Multilingual Abstract)

We identifies the dynamic relations between house price and macroconomic variables based on a vector error-correction model of a small open economy developed by Garratt et al.(2006). The dynamics of the short run are constrained only by adjustment to the long run equilibrium within a structural vector error-correction model and the long run equilibrium relation is derived from an dynamic optimization model. Using macroeconomic data over the period 1999 Q1~2013 Q1 in the Korean economy, we identify the long-run structure of the Korean economy and study the dynamic interrelations using the generalized impulse response functions. A long-run positive relation among house price, interest rate and output is identified significantly. Usual short-run relation among several macroeconomic variables and house price were able to be confirmed. However, the variance decomposition of forecast errors signified dominant influence of foreign variables on house price fluctuations.

국문 초록 (Abstract)

본 논문은 공적분된 VEC모형을 중심으로 1999년 1분기~2013년 1분기에 걸친 한국경제의 거시경제 자료를 이용하여 주택시장과 거시경제 간의 상호관계를 분석하였다. 소규모 개방경제 모형을 구축하여 구매력 평가, 이자율평형, 피셔 인플레이션평형, 국가 간 산출 격차, 주택 산출 관계를 유도하였다. 이들은 구조적 VEC모형의 공적분 공간을 제약하는 관계로 활용되었다. 추정된 모형에 대해 일반화된 충격반응함수(generalized impulse response) 분석을 실시하였다. 실증분석 결과는 장기적으로 주택가격과 이자율 및 국내 산출 간에는 각각 장기적으로 음(-), 양(+)의 균형관계가 존재하며 단기적으로 거시경제 변수와 주택가격 간의 통상적인 관계를 다시 확인할 수 있었다. 그러나 주택가격의 예측오차 분산 분해는 주택가격 변화에 있어 국내 변수보다는 국외 변수가 지배적인 영향을 미치고 있음이 나타났다.

참고문헌 (Reference)

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