Are There Housing Bubbles in Seoul Metropolitan Areas?: Evidence from Right-Tailed Unit Root Test

• 영문명: Are There Housing Bubbles in Seoul Metropolitan Areas?: Evidence from Right-Tailed Unit Root Test
• 발행기관: 한국자료분석학회
• 저자명: Sunghoon Sim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.25 No.6, 2065~2077쪽, 전체 13쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2023.12.31

영문 초록

This study examines the explosive behaviors of house prices in Seoul and its metropolitan areas during 2008Q1~2023Q1. In order for the relationship between house prices and cash flows to reflect better the Korean housing market, this study adopts price-to-income ratio, real transaction-based house prices and personal income. Based on the generalized supremum ADF (GSADF) test, our empirical findings show that housing bubbles are identified in all three markets. According to the starting period, duration periods, and magnitude and prominent peaks among GSADF statistics, the bubbles in Seoul housing market appear to be most serious and further be transmitted to the housing markets of its metropolitan area, Incheon and Gyeonggi-do. Since the methodology used in this study provides policy-makers and investors with real-time information on bubbles, they could formulate a better early warning system to tackle the bubble problem. Specially, our empirical finding helps policy makers to prioritize Seoul over the other housing markets to cope with ongoing bubbles.

목차

1. Introduction

2. Methodology

3. Empirical Results

4. Conclusion

References

키워드

Price-to-income ratio House price bubble Present value model GSADF test