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Dynamic Effects of Macroeconomic Variables on Successful Bid Prices for Appraised Value of National Property

  • Korea Real Estate Review
  • 2024, 34(2), pp.41-55
  • DOI : 10.35136/krer.34.2.3
  • Publisher : korea real estate research institute
  • Research Area : Social Science > Law > Law of Special Parts > Law of Real Estate
  • Received : February 20, 2024
  • Accepted : June 21, 2024
  • Published : June 30, 2024

Park, Gunn Do 1 LEE JANG WOO 1

1부산대학교

Accredited

ABSTRACT

This study analyzes the dynamic effects of macroeconomic variables on successful bid prices for the appraised value (PTV) of national property. The analysis uses the following macroeconomic variables: interest rates (COFIX), money supply (M2), stock index (KOSPI), consumer price index (CPI), and economic sentiment index (ESI). Monthly data of 151 months from January 2011 to July 2023 are used. The VEC model is fitted to capture the dynamic effects of macroeconomic variables on PTV. The analysis yielded the following results. First, when estimating the long-term relationship between variables and successful bid prices, we find that M2 and ESI have positive effects on PTV, whereas COFIX, KOSPI, and CPI have negative effects. Second, in the impulse response analysis, PTV exhibits positive responses to shocks in M2 and ESI but negative responses to shocks in COFIX, KOSPI, and CPI. Third, the forecast error variance decomposition analysis reveals that 24 months after the exogenous shocks affect the variables, the forecast error variance of PTV can be explained by shocks to KOSPI, M2, CPI, and COFIX, accounting for 17.1%, 8.4%, 7.2%, and 6%, respectively. ESI has minimal explanation power.

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