수도권 주택시장의 지역간 연계성 분석

• 영문명: A Study of the Relationship between Housing Markets
• 발행기관: 한국지역개발학회
• 저자명: 김지혜(Kim Jeehye)
• 간행물 정보: 『한국지역개발학회지』제30권 제4호, 161~177쪽, 전체 17쪽
• 주제분류: 사회과학 > 지역개발
• 파일형태: PDF
• 발행일자: 2018.11.30

영문 초록

This paper estimates the relationship between the housing sale prices in the housing markets using a multivariate GARCH and GJR-GARCH model. The data set includes monthly returns in apartments, detached houses, and townhouses from January 2004 to May 2018. The main results are as follows. First, in the analysis of apartment returns, asymmetric volatility is found in three regions: Seoul, Incheon, and Gyeonggi. The correlation coefficient between Seoul and Gyeonggi is higher than between Seoul and Incheon or Incheon and Gyeonggi. Second, in the analysis of detached house returns, the correlation coefficients are smaller than those of apartments, and the estimate of asymmetric volatility is not significant in Incheon. Third, the correlation coefficient between Seoul and Gyeonggi is highest in the townhouse market, whereas the correlation coefficient between Incheon and Gyeonggi is smallest in that market. This result implies that, regardless of the housing type, the correlation between Seoul and Gyeonggi is higher than others.

목차

Abstract

1. 서론

2. 선행연구 검토

3. 분석모형

4. 실증분석 결과

5. 결론

참고문헌

키워드

주택매매가격 주택유형 비대칭 다변량 GARCH 모형 조건부 상관관계 Sale Price of a Housing Housing Type Asymmetric Multivariate GARCH Model Conditional Correlation