국내 아파트 시장의 지역별 변동성 전이효과 분석

• 발행기관: 한국지역개발학회
• 저자명: 최혜림 유정석
• 간행물 정보: 『한국지역개발학회 세미나 논문집』2012년 춘계학술대회 발표집, 215~237쪽, 전체 23쪽
• 주제분류: 사회과학 > 지역학
• 파일형태: PDF
• 발행일자: 2012.05.30

영문 초록

Accurately capturing volatility spillover effects among apartment housing markets is vital for both real estate investments and policy-making. Therefore, we estimate GARCH and EGARCH models to analyze time-varying volatility and volatility spillover effects within Korean apartment housing market, based on the monthly data sets that cover 9 local markets(Seoul, Seoul Metropolitan Area, and 6 Large cities) in KB apartment housing price indices from January 2000 to December 2011. After then, most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. The main empirical findings are as follows. Firstly, Korean apartment housing market shows the evidence of ARCH and GARCH effects in 9 local markets. The estimation results from EGARCH model reveal that, unlike apartment rental markets, asymmetric effects are applied to most apartment sales markets. Secondly, when we estimate volatility spillover effects based on EGARCH model, volatility spillover effects existed among 9 local markets within Korean apartment housing market.

목차

1. 서 론

2. 이론적 고찰

3. 분석 방법

4. 분석 결과

5. 결론 및 시사점

키워드

아파트매매가격(Apartment Sales Prices) 아파트전세가격(Apartment Rental Prices) 변동성(Volatility) 전이효과(Spillover Effect) GARCH