주택시장과 주식시장 간의 연관성

• 영문명: The Relationship between Housing Market and Stock Market
• 발행기관: 한국부동산정책학회
• 저자명: 유한수(Yoo, Han-Soo)
• 간행물 정보: 『부동산정책연구』제18집 제2호, 1~14쪽, 전체 14쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2017.09.20

영문 초록

This study investigates the lead-lag relationship between housing price index and stock price index. Houses and stocks are considered as investment alternatives. This study uses monthly data of FHFA Index and DJIA Index from January 2010 through October 2016. The contribution of this study is that it explores fundamental price component and transitory price component. They are estimated by unobserved component model. In the case of observed price index, the Granger causality tests show that observed FHFA Index Granger causes observed DJIA Index. This means observed FHFA Index precedes observed DJIA Index. In the case of fundamental value, the fundamental price component of FHFA Index Granger causes that of DJIA Index. In the case of transitory price component, the test result reports that the transitory price component of FHFA Index Granger causes that of DJIA Index. The impulse response functions show that FHFA Index impulse increases DJIA Index in all cases. The implication from this study is that analyzing housing price behavior is necessary for stock price index prediction and asset portfolio management.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 연구방법

Ⅳ. 실증분석

Ⅴ. 요약 및 결론

참고문헌

키워드

housing market stock market fundamental price component transitory price component