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@article{ART002147738},
author={장문덕 and PARK CHEOL-HYUNG},
title={The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2016},
volume={26},
number={3},
pages={83-96}

TY - JOUR
AU - 장문덕
AU - PARK CHEOL-HYUNG
TI - The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets
JO - Korea Real Estate Review
PY - 2016
VL - 26
IS - 3
PB - korea real estate research institute
SP - 83
EP - 96
SN - 2092-5395
AB - This study is to investigate the interaction of price information and volatility between the rate of returns on housing markets and the auction price ratios in auction markets by estimating the VAR and Off-Diagonal-BEKK-TGARCH models using maximum likelihood estimation. The Granger-casuality test results showed the housing market Granger-cause auction market without any feedback in Kangnam. On the other hand, there were feedback from the auction markets in Kangbook. The impulse-response functions showed that there was almost no response of the rate of returns on housing market to the shocks from the auction price ratios and the response lasted shorter in Kangnam comparing to Kangbook. The variance decomposition of forecasting error on the part of the rate of returns was due to entirely its own variance in Kangnam while 7% of it is explained by the auction price ratios in Kangbook. The conditional variance and covariance equation had a statistically significant effect of ARCH and GARCH confirming the transition of volatility between housing markets and auction markets. The volatility of the rates of returns turned out to be unstable while the auction price ratio and their covariance are confirmed to be stable by the point estimates of volatility persistency. The volatility of the auction price ratios returned to its steady state variance faster than Kangbook. The statistically significant leverage effect indeed existed at the auction markets in Kangnam confirmed by the assessment of the TARCH term in the model.
KW - VAR;Mutivariate-GARCH;impulse-response function;leverage effect
DO -
UR -
ER -

장문덕 and PARK CHEOL-HYUNG. (2016). The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets. Korea Real Estate Review, 26(3), 83-96.

장문덕 and PARK CHEOL-HYUNG. 2016, "The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets", Korea Real Estate Review, vol.26, no.3 pp.83-96.

장문덕, PARK CHEOL-HYUNG "The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets" Korea Real Estate Review 26.3 pp.83-96 (2016) : 83.

장문덕, PARK CHEOL-HYUNG. The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets. 2016; 26(3), 83-96.

장문덕 and PARK CHEOL-HYUNG. "The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets" Korea Real Estate Review 26, no.3 (2016) : 83-96.

장문덕; PARK CHEOL-HYUNG. The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets. Korea Real Estate Review, 26(3), 83-96.

장문덕; PARK CHEOL-HYUNG. The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets. Korea Real Estate Review. 2016; 26(3) 83-96.

장문덕, PARK CHEOL-HYUNG. The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets. 2016; 26(3), 83-96.

장문덕 and PARK CHEOL-HYUNG. "The Dynamic Analysis of the Price and Volatility Interaction between Housing Markets and Auction Markets" Korea Real Estate Review 26, no.3 (2016) : 83-96.