Macroeconomic Determinants of Housing Price in Korea

• 발행기관: 한국자료분석학회
• 저자명: 조성원(Sungwon Cho)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.5, 2375~2382쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.10.30

영문 초록

This paper investigates the macroeconomic determinants of housing price in Korea. Housing price is specified as a function of gross national income, interest rate, stock price index, and a leading indicator of construction investment. Based on the observation that housing price and the macroeconomic variables are non-stationary time series, unit root and co-integration tests are performed on the variables. Unit root tests indicate that the variables are first order integrated, and co-integration test shows that the variables are co-integrated, which means that there exists a stable long run relationship between housing price and macroeconomic variables. Based on the co-integration test results, an error correction model is constructed to examine the determinants of housing price in Korea. Estimation result of the error correction model shows that income, stock price, and construction investment are significant factors that affect housing prices in Korea. Empirical result indicates that the housing market in Korea is positively correlated with the stock market, and housing price will rise when income and construction investment increase. Empirical result of this paper is consistent with the findings of previous studies that showed macroeconomic fundamentals play an important role in determining housing prices.

목차

1. Introduction

2. Model and Data

3. Time Series Regression Results

4. Conclusion

References

키워드

Housing price Macroeconomic determinants Time series analysis Error correction model