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A Study of the The Effect of Monetary Policy on Volatility of Real Estate Prices

  • Korea Real Estate Review
  • 2015, 25(4), pp.7-19
  • Publisher : korea real estate research institute
  • Research Area : Social Science > Law > Law of Special Parts > Law of Real Estate

최영상 1,  Koh Sung Soo 1

1건국대학교

Accredited

ABSTRACT

This study focuses on the effect of key monetary policy variables and mortgage credit policy indicator, liquidity-related variables on the real estate price volatility dynamics in korea. For this purpose, the independent variables and the dependent variables were converted to a volatility–related variables. Based on monthly data from January 1998 to August 2013, it demonstrates underlying relation between the real estate market and monetary policy. Empirical result shows that both expansionary monetary policy (declining interest rates, faster money supply growth) and non-mortgage credit policy tends to accelerate the subsequent home price growth rate. however, restrictive monetary policy (rising interest rates, slower money supply growth) and the introduction of mortgage credit policy tends to decelerate the subsequent home price growth rate. Through the results, This study finds that monetary policy factors are the important driving forces behind the change of real estate price growth rate. Furthermore, a bullish stock market related to accelerate subsequent home price growth rate. Finally, hot money flow not have statistically significant effects on the home price growth rate.

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