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@article{ART001861420},
author={장영길},
title={A Study on the Global Co-movement & Spillover Effect of Housing Price},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2014},
volume={24},
number={1},
pages={39-52}

TY - JOUR
AU - 장영길
TI - A Study on the Global Co-movement & Spillover Effect of Housing Price
JO - Korea Real Estate Review
PY - 2014
VL - 24
IS - 1
PB - korea real estate research institute
SP - 39
EP - 52
SN - 2092-5395
AB - This study examines the degree of global co-movement & spillover effect among the housing price of ten major countries of OECD including Korea, based on the 3 hypothesis. The data used in this study is quarterly house price index of OECD countries from 1975 to 2012. VAR model is used to analyze the co-movement, and Granger causality methodology is used for the analysis of Spillover Effect. It is found that entire period of study is that the global house prices showed the co-movement, but the coefficient was weak. Since 2008 global financial crisis, the co-movement increased significantly and the adjusted R-square of this model increased 78% compared to the entire period (1975-2012). In general, all hypotheses in this study were significant, and the common shock hypothesis were most significant. In case of Korea, the degree of co-movement was weak compared to the other countries and spillover effect was independent since 2008.
KW - house price;globalization;co-movement;spillover effect
DO -
UR -
ER -

장영길. (2014). A Study on the Global Co-movement & Spillover Effect of Housing Price. Korea Real Estate Review, 24(1), 39-52.

장영길. 2014, "A Study on the Global Co-movement & Spillover Effect of Housing Price", Korea Real Estate Review, vol.24, no.1 pp.39-52.

장영길 "A Study on the Global Co-movement & Spillover Effect of Housing Price" Korea Real Estate Review 24.1 pp.39-52 (2014) : 39.

장영길. A Study on the Global Co-movement & Spillover Effect of Housing Price. 2014; 24(1), 39-52.

장영길. "A Study on the Global Co-movement & Spillover Effect of Housing Price" Korea Real Estate Review 24, no.1 (2014) : 39-52.

장영길. A Study on the Global Co-movement & Spillover Effect of Housing Price. Korea Real Estate Review, 24(1), 39-52.

장영길. A Study on the Global Co-movement & Spillover Effect of Housing Price. Korea Real Estate Review. 2014; 24(1) 39-52.

장영길. A Study on the Global Co-movement & Spillover Effect of Housing Price. 2014; 24(1), 39-52.

장영길. "A Study on the Global Co-movement & Spillover Effect of Housing Price" Korea Real Estate Review 24, no.1 (2014) : 39-52.