@article{ART002061528},
author={Han-Soo Yoo and Chung, Jae Ho},
title={The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2015},
volume={25},
number={4},
pages={49-61}
TY - JOUR
AU - Han-Soo Yoo
AU - Chung, Jae Ho
TI - The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index
JO - Korea Real Estate Review
PY - 2015
VL - 25
IS - 4
PB - korea real estate research institute
SP - 49
EP - 61
SN - 2092-5395
AB - This paper investigates empirically the lead-lag relationship between Housing Purchase Price Composite Index(hereafter HPPCI) and Consumer Sentiment Index(hereafter CSI). Business survey information reveals expectations of economic agents. Previous studies in this field examine the relationship between the observed housing purchase price index and consumer sentiment index. The distinguishing feature of this study is that it investigates the relationship between the fundamental value of HPPCI and CSI, and the relationship between the transitory value of HPPCI and CSI. The fundamental value and transitory value of HPPCI are estimated by the unobserved component model in this paper. The first step of this study is to decompose observed HPPCI into fundamental value and transitory value by using unobserved component model. The second step is to test for the unit root of each variable by using ADF test. The third step is to investigate the lead-lag relationship between HPPCI and CSI by using Granger causality test. The results show that there are feedback Granger causalities between observed HPPCI and CSI, and between the fundamental value of HPPCI and CSI. On the contrary, there exists unidirectional Granger causality from CSI to the transitory value of HPPCI. Fourth, the impulse response function analysis shows that the shock of observed HPPCI, fundamental value and transitory value generally increases the magnitude of CSI. In sum, the evidence of this study suggests that the movement of HPPCI helps to estimate consumer sentiment of housing market. Therefore, analyzing the housing price is crucial for investment strategy and policy making of housing market.
KW - housing purchase price index;consumer sentiment index;unobserved component model;fundamental value;transitory value
DO -
UR -
ER -
Han-Soo Yoo and Chung, Jae Ho. (2015). The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index. Korea Real Estate Review, 25(4), 49-61.
Han-Soo Yoo and Chung, Jae Ho. 2015, "The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index", Korea Real Estate Review, vol.25, no.4 pp.49-61.
Han-Soo Yoo, Chung, Jae Ho "The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index" Korea Real Estate Review 25.4 pp.49-61 (2015) : 49.
Han-Soo Yoo, Chung, Jae Ho. The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index. 2015; 25(4), 49-61.
Han-Soo Yoo and Chung, Jae Ho. "The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index" Korea Real Estate Review 25, no.4 (2015) : 49-61.
Han-Soo Yoo; Chung, Jae Ho. The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index. Korea Real Estate Review, 25(4), 49-61.
Han-Soo Yoo; Chung, Jae Ho. The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index. Korea Real Estate Review. 2015; 25(4) 49-61.
Han-Soo Yoo, Chung, Jae Ho. The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index. 2015; 25(4), 49-61.
Han-Soo Yoo and Chung, Jae Ho. "The Lead-Lag Relationship between Housing PurchasePrice Index and Consumer Sentiment Index" Korea Real Estate Review 25, no.4 (2015) : 49-61.
