통화정책 불확실성이 토지가격에 미치는 영향에 관한 연구

Abstract

This study empirically analyzed whether the impact of MPU(Monetary Policy Uncertainty) Index have a significant effect on Land prices using the MRSAR(Markov Regime Switching Autoregressive) model. The result of the study is as follows. We find that the impact of MPU index significantly affect on the land market in each regime. First, it is found that the impact of uncertainty could be spillover internationally. Second, it is found that MPU index in Korea and Japan affect the land market in a similar way. However, the MPU index in the U.S. is found to affect the land market only during the first half of the financial crisis. Third, it is found that the expected duration of MPU shocks in Korea, the United States, and Japan lasted about seven times more during the recession than during the boom. This provides a surprising insight that the impact of uncertainty can be spillover internationally. Therefore, in order to improve the effectiveness and predictive power of real estate policies, the need for model development including MPU indicators is required.