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@article{ART002299719},
author={Sangbae Kim},
title={On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2017},
volume={95},
pages={41-55},
doi={10.15793/kspr.2017.95..003}

TY - JOUR
AU - Sangbae Kim
TI - On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices
JO - The Korea Spatial Planning Review
PY - 2017
VL - 95
IS - null
PB - 국토연구원
SP - 41
EP - 55
SN - 1229-8638
AB - The purpose of this study is to examine the nonlinear relationship between exchange rate uncertainty and apartment prices in Korea. To do so, we adopt the logistic smooth transition autoregressive(LSTAR) model by using exchange rate uncertainty as the transition variable. The empirical result reveals that nonlinear models are likely to capture the time series dynamics of the changes in apartment prices better than linear models. The estimation result of the LSTAR model shows that when exchange rate uncertainty is low the long-run mean of the changes in apartment prices is positive, while that of the changes in apartment prices is negative when uncertainty is high. In addition, we found from the impulse response analysis that the effect of exchange rate uncertainty shock highly depends on the state of the economy. Finally, when we include the changes in interest rate in the LSTAR model, we found that the changes in interest rate have larger effects on the apartment prices when exchange rate uncertainty is high.
KW - Apartment Price;Exchange Rate Uncertainty;Nonlinearity;LSTAR Model;Impulse Response
DO - 10.15793/kspr.2017.95..003
ER -

Sangbae Kim. (2017). On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices. The Korea Spatial Planning Review, 95, 41-55.

Sangbae Kim. 2017, "On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices", The Korea Spatial Planning Review, vol.95, pp.41-55. Available from: doi:10.15793/kspr.2017.95..003

Sangbae Kim "On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices" The Korea Spatial Planning Review 95 pp.41-55 (2017) : 41.

Sangbae Kim. On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices. 2017; 95 41-55. Available from: doi:10.15793/kspr.2017.95..003

Sangbae Kim. "On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices" The Korea Spatial Planning Review 95(2017) : 41-55.doi: 10.15793/kspr.2017.95..003

Sangbae Kim. On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices. The Korea Spatial Planning Review, 95, 41-55. doi: 10.15793/kspr.2017.95..003

Sangbae Kim. On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices. The Korea Spatial Planning Review. 2017; 95 41-55. doi: 10.15793/kspr.2017.95..003

Sangbae Kim. On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices. 2017; 95 41-55. Available from: doi:10.15793/kspr.2017.95..003

Sangbae Kim. "On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices" The Korea Spatial Planning Review 95(2017) : 41-55.doi: 10.15793/kspr.2017.95..003