한국 주택시장의 권역별 비대칭 연계성 분석

• 영문명: Cross-Regional Asymmetric Volatility Connectedness in the Korean Housing Markets
• 발행기관: 한국주택학회
• 저자명: 이우석(Woo Suk Lee)
• 간행물 정보: 『주택연구』住宅硏究 第30卷 第1號, 5~41쪽, 전체 37쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.02.28

영문 초록

This paper investigates asymmetries in the volatility connectedness of the Korean housing market. For this purpose, we employ the asymmetric connectedness approach proposed by Baruink et al.(2017). While the analysis of Baruink et al.(2017) is based on low dimensional VAR model, we consider 16 regional markets, by using high dimensional LASSO-VAR model. The main results are as follows. First, the total CAM(connectedness asymmetric measure) is estimated at 27.08%, indicating a high asymmetry in the housing market. In particular, the impact of good volatility strictly dominates that of bad volatility. Second, the total CAM shows time-varying patterns, with a surge in December 2020. Third, the contribution of Seoul to the aggregate housing market had gradually decreased since 2010 but started to rise again in 2017. The findings of this study suggest that macroprudential policy instruments are necessary to stabilize the housing market in the face of the recent accumulation of financial imbalance risks.

목차

I. 서론

II. 선행연구

III. 표본자료 및 실증분석 모형

IV. 실증분석결과

V. 결론

참고문헌

키워드

주택시장 변동성 비대칭 연계성 라쏘-벡터자기회귀모형 분산분해 Housing Market Volatility Asymmetric Connectedness LASSO-VAR Variance Decomposition