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An Analysis of Cycle Variation of Housing Price Index andthe Effect of Macroeconomic Variables

  • Korea Real Estate Review
  • 2015, 25(3), pp.7-25
  • Publisher : korea real estate research institute
  • Research Area : Social Science > Law > Law of Special Parts > Law of Real Estate

Kim Moon Sung 1 Bae, Hyung 1

1동국대학교

Accredited

ABSTRACT

This study examined the characteristics of the cycle variation of the national housing price index since 1986 and analyzed the effects of macroeconomic variables on housing price index cycle variation for the period after 1990. Firstly, analyzed trend and cycle variation of housing price index, housing purchase price index was in the expansion phase of sixth cycle, housing jeonse price index was in the contraction phase of fifth cycle. However, reference point March 2005, these price indices showed that contraction phase was longer than the period of the expansion phase. Accordingly this result, this study separated periods by March 2005 and examined the effect of macroeconomic variables with respect to housing price index cycle variation by Bayesian VAR Model. The impulse response analysis showed that these price indices showed a generally negative reaction to the interest rate in two periods. However, impulse response function of these housing price indices were shown a change in reaction degree and direction to the other macroeconomic variables. In addition, as a result of variance decomposition, the effect of macroeconomic variables to housing purchase price index was significantly reduced. But the effect of macroeconomic variables to housing jeonse price index was increased and showed the changes in the variables that affect. Considering these results, it may take a different policy approaches with respect to the housing market.

Citation status

* References for papers published after 2023 are currently being built.