인플레이션 발생 원인에 대한 서울 아파트 자산 헤지 효과에 관한 연구

Abstract

Given the rising inflation at home and abroad, this study analyzes the effects of inflation hedges based on Seoul apartment assets to represent domestic economic entities. Unlike previous literature, the present study particularly carries out an empirical analysis by using the SVAR model with five variables, assuming that the inflation hedge effects of real estate assets may vary depending on the causes of inflation. The demand-pull inflation analysis shows that prices and Seoul apartment prices move in the same direction for the rising interest rates, and that Seoul apartment assets have effects of inflation hedges. However, cost-push inflation shows that prices and Seoul apartment prices move in opposite directions, and Seoul apartment assets have no effects of inflation hedges. These findings result from the causes of inflation because, in terms of cost-push inflation, prices may show downward rigidity or even increase if the structural problem of aggregate supply is not resolved, apart from the aggregate demand policy following the base rate hike. This scenario is regarded to reduce the effects of an inflation hedge on real estate assets.