주택가격지수와 거래량간의 선행-후행 관계

• 영문명: The Lead-Lag Relationship between Housing Price Index and Trading Volume
• 발행기관: 한국부동산정책학회
• 저자명: 유한수(Yoo, Han-Soo)
• 간행물 정보: 『부동산정책연구』제16집 제1호, 1~13쪽, 전체 13쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2015.09.20

영문 초록

This paper provides empirical evidence of the linkage between housing price and trading volume. To investigate this point further, observed housing price index is decomposed into intrinsic value and transient value. This study employs the unobserved component model to estimate intrinsic value and transient value. The distinguishing feature of this study is the aspect which it scrutinizes the relationship between the intrinsic value and trading volume and the relationship between the transient value and trading volume. The findings of this empirical paper are as follows. Granger causality test is applied is to examine empirically the relationship between housing price and trading volume. First, there is one-way Granger causality from observed housing price index to trading volume. Second, in the case of intrinsic value, there is unilateral Granger causality from the intrinsic value to trading volume. Third, the transient value precedes trading volume. In each three cases, the impulse of housing price increases trading volume. These findings of this paper mean that housing price may affect trading volume, and this implication is useful for implementing investment strategies and housing market policy.

목차

Ⅰ. 서론

Ⅱ. 연구방법

Ⅲ. 기초 통계량 분석과 단위근 검정

Ⅳ. 실증분석 결과

Ⅴ. 요약 및 결론

참고문헌

키워드

apartment transaction-based sales price index trading volume intrinsic value unobserved component model