@article{ART001806890},
author={Lee, Sangjun and Changha Jin},
title={The Study on the Relationship between Investor Sentiment and Home Prices},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2013},
volume={78},
pages={53-69},
doi={10.15793/kspr.2013.78..004}
TY - JOUR
AU - Lee, Sangjun
AU - Changha Jin
TI - The Study on the Relationship between Investor Sentiment and Home Prices
JO - The Korea Spatial Planning Review
PY - 2013
VL - 78
IS - null
PB - 국토연구원
SP - 53
EP - 69
SN - 1229-8638
AB - We examine the relationship between consumer sentiment and residential housing price. Using Vector Autoregressive (VAR) model, we derive a determinant model on sentiment index with macro economics variables. Results indicate that the sentiment index is affected by price of Cheonsei, consumer price index, housing construction and exchange rate. After decomposing sentiment index into rational (explained by macro economic variables) and irrational (unexplained residual) component, we find that both rational and irrational component has influenced housing price index. We adopt the BDS test to reduce a possible bias from omitted variables in which we strengthen the robustness on decomposing rational and irrational component. Additionally, impulse response test suggests that change in rational and irrational sentiment has asymmetric effect on residential housing market.
KW - Investment Sentiment;Rational Expectations;VAR Model
DO - 10.15793/kspr.2013.78..004
ER -
Lee, Sangjun and Changha Jin. (2013). The Study on the Relationship between Investor Sentiment and Home Prices. The Korea Spatial Planning Review, 78, 53-69.
Lee, Sangjun and Changha Jin. 2013, "The Study on the Relationship between Investor Sentiment and Home Prices", The Korea Spatial Planning Review, vol.78, pp.53-69. Available from: doi:10.15793/kspr.2013.78..004
Lee, Sangjun, Changha Jin "The Study on the Relationship between Investor Sentiment and Home Prices" The Korea Spatial Planning Review 78 pp.53-69 (2013) : 53.
Lee, Sangjun, Changha Jin. The Study on the Relationship between Investor Sentiment and Home Prices. 2013; 78 53-69. Available from: doi:10.15793/kspr.2013.78..004
Lee, Sangjun and Changha Jin. "The Study on the Relationship between Investor Sentiment and Home Prices" The Korea Spatial Planning Review 78(2013) : 53-69.doi: 10.15793/kspr.2013.78..004
Lee, Sangjun; Changha Jin. The Study on the Relationship between Investor Sentiment and Home Prices. The Korea Spatial Planning Review, 78, 53-69. doi: 10.15793/kspr.2013.78..004
Lee, Sangjun; Changha Jin. The Study on the Relationship between Investor Sentiment and Home Prices. The Korea Spatial Planning Review. 2013; 78 53-69. doi: 10.15793/kspr.2013.78..004
Lee, Sangjun, Changha Jin. The Study on the Relationship between Investor Sentiment and Home Prices. 2013; 78 53-69. Available from: doi:10.15793/kspr.2013.78..004
Lee, Sangjun and Changha Jin. "The Study on the Relationship between Investor Sentiment and Home Prices" The Korea Spatial Planning Review 78(2013) : 53-69.doi: 10.15793/kspr.2013.78..004
