구조적 벡터자기회귀(SVAR)를 이용한 서울지역 아파트 매매,전세가격의 상관관계

• 영문명: Analysis of the relationship between apartment sales price and rental price in Seoul
• 발행기관: 한일경상학회
• 저자명: 박동국(Dong Kuk Park) 천인호(In Ho Cheon)
• 간행물 정보: 『한일경상논집』제35권, 149~174쪽, 전체 26쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2006.10.31

영문 초록

Using Structure Vector Autoregression Model(SVAR), this paper aims to analyze a correlation between apartment sales price and rental price in Seoul. Also, this paper especially pays attention to a correlation between apartment sales and rental price of Gangnam and Gangbok in Seoul. Since unite roots exist in those of three time series, we use 1st difference variable. The major findings in this study are as following: First, we are not able to find a long-term balance relationship because cointegration do not exist in cointegration test. Second, we are able to find the following two results from Granger causality test. Rental price dose Granger cause sales price in the case of Seoul and Gangnam. On the other hand, Rental price and sales price are mutual Granger cause in Gangbok. Third, this study suggests following three results from Impulse responses test : ① When rental price goes up 1%, sales price of seoul decrease -0.205% after two months and sales price of Gangnam decrease -0.16% after two month and Sales price of Gangbok decrease -0.3% after one months. ② when sales price goes up 1%, rental price of Seoul rises 0.92% and that of Gangnam rises 0.91% after one months and rental price of Gangbok rise 0.85% after one months. ③ Therefore, impulse of rental price change is continued for one or three months and impulse of sales price change is continued for one or two months.

목차

Ⅰ. 서론

Ⅱ. 이론적 배경과 기존연구의 검토

Ⅲ. 자료의 선정 및 분석과정

Ⅳ. SVAR분석 및 결과

Ⅴ. 결론

참고문헌

키워드

apartment price rental price Granger causality SVAR