본문 바로가기
  • Home

On the Nonlinear Relationship between Exchange Rate Uncertainty and Apartment Prices

Sangbae Kim 1

1경북대학교

Accredited

ABSTRACT

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.

Citation status

* References for papers published after 2022 are currently being built.