비대칭위험측정치를 활용한 부동산가격결정모형에 관한 연구

• 영문명: The Asymmetric Risk Measures in Modelling Real Estate Markets
• 발행기관: 한국지역개발학회
• 저자명: 임재만(Lim. Jae-Man)
• 간행물 정보: 『한국지역개발학회지』제19권 제1호, 11~26쪽, 전체 16쪽
• 주제분류: 사회과학 > 지역개발
• 파일형태: PDF
• 발행일자: 2007.03.30

영문 초록

Asymmetric risk measure have been used for modelling nonnorma1 returns distributions. Rea1 estate retums are known to the representative asymmetric nonnorma1 distribution. This paper investigates which model based on asymmetric risk measures explain the variability of returns better in Korean housing sa1es markets. The model is genera1 Asymmetric Response ModeHARM) nested with Lower Partia1 Moment(LPM) Model and CAPM. The results indicated that ARM is more value added than the other models for some housing in types, regions, and time periods. Presumably it is because Korea rea1 estate markets are more transparent than before 1997 foreign exchange crisis, and diffusion ratio of house in some regions is higher than others‘ So, continuing reviews for the various models are required to analyze precisely the type/region of housing markets.

키워드

비대칭위험측정치(Asymmetric llisk Measures) 부동산가격결정모형 비대칭 반응모형(Asymrnetric Response Model ARM) lower Partial Moment(LPM)