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Analysis of the Dynamic Relationship in the Korean Real Estate Market

KIM GWANG YONG 1,  Lee HyunTak 2,  Jang Bong-Gyu 1

1포항공과대학교
2가천대학교

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ABSTRACT

This study investigates the internal mechanisms of the Korean housing market, which exhibits complex dynamics due to its unique jeonse system. While prior research has largely focused on partial relationships such as sales-jeonse linkages, this study extends the Campbell-Shiller present value framework to decompose the price-to-rent ratio into four fundamental components: expected returns, the rent-jeonse conversion rate, jeonse prices, and monthly rent deposits. Moving beyond the conventional statistical assumptions of SVAR, the study introduces a novel methodology that imposes theoretical identities directly on the VAR system, thereby isolating the “pure” shocks to each component and tracing their dynamic propagation paths through the market. Empirical results show that shocks to expected returns generate a “decoupling” between sales and jeonse markets; shocks to the conversion rate reflect landlords' “strategic pricing”; shocks to jeonse prices capture system-wide “deleveraging”; and shocks to monthly rent deposits serve as an ‘early warning indicator’ of fractures in the jeonse system. Each type of shock thus triggers qualitatively distinct transmission channels. By providing a new analytical framework that visualizes these dynamic interrelationships, the study highlights the importance for policymakers to monitor changes in relationships rather than in isolated prices.

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