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@article{ART001836430},
author={Heegab Choi},
title={House Price and Macro-Economy in Korea: Structural VECM Analysis},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2013},
volume={79},
pages={91-109},
doi={10.15793/kspr.2013.79..007}

TY - JOUR
AU - Heegab Choi
TI - House Price and Macro-Economy in Korea: Structural VECM Analysis
JO - The Korea Spatial Planning Review
PY - 2013
VL - 79
IS - null
PB - 국토연구원
SP - 91
EP - 109
SN - 1229-8638
AB - We identifies the dynamic relations between house price and macroconomic variables based on a vector error-correction model of a small open economy developed by Garratt et al.(2006). The dynamics of the short run are constrained only by adjustment to the long run equilibrium within a structural vector error-correction model and the long run equilibrium relation is derived from an dynamic optimization model. Using macroeconomic data over the period 1999 Q1~2013 Q1 in the Korean economy, we identify the long-run structure of the Korean economy and study the dynamic interrelations using the generalized impulse response functions. A long-run positive relation among house price, interest rate and output is identified significantly. Usual short-run relation among several macroeconomic variables and house price were able to be confirmed. However, the variance decomposition of forecast errors signified dominant influence of foreign variables on house price fluctuations.
KW - House Price;Structural Vector Error Correction Model;General Impulse Response Functions;Variance Decomposition of Forecast Error
DO - 10.15793/kspr.2013.79..007
ER -

Heegab Choi. (2013). House Price and Macro-Economy in Korea: Structural VECM Analysis. The Korea Spatial Planning Review, 79, 91-109.

Heegab Choi. 2013, "House Price and Macro-Economy in Korea: Structural VECM Analysis", The Korea Spatial Planning Review, vol.79, pp.91-109. Available from: doi:10.15793/kspr.2013.79..007

Heegab Choi "House Price and Macro-Economy in Korea: Structural VECM Analysis" The Korea Spatial Planning Review 79 pp.91-109 (2013) : 91.

Heegab Choi. House Price and Macro-Economy in Korea: Structural VECM Analysis. 2013; 79 91-109. Available from: doi:10.15793/kspr.2013.79..007

Heegab Choi. "House Price and Macro-Economy in Korea: Structural VECM Analysis" The Korea Spatial Planning Review 79(2013) : 91-109.doi: 10.15793/kspr.2013.79..007

Heegab Choi. House Price and Macro-Economy in Korea: Structural VECM Analysis. The Korea Spatial Planning Review, 79, 91-109. doi: 10.15793/kspr.2013.79..007

Heegab Choi. House Price and Macro-Economy in Korea: Structural VECM Analysis. The Korea Spatial Planning Review. 2013; 79 91-109. doi: 10.15793/kspr.2013.79..007

Heegab Choi. House Price and Macro-Economy in Korea: Structural VECM Analysis. 2013; 79 91-109. Available from: doi:10.15793/kspr.2013.79..007

Heegab Choi. "House Price and Macro-Economy in Korea: Structural VECM Analysis" The Korea Spatial Planning Review 79(2013) : 91-109.doi: 10.15793/kspr.2013.79..007