한미일 주택가격 결정요인 분석에 관한 연구

Abstract

This paper empirically examines the determinants of housing sales prices in Korea, the United States, and Japan using the Markov regime switching model. Independent variables are set as stock price index and CD interest rate, the uncertainty index of moneytary policy, Which is an uncertainty indicator of economics policy. The analysis period is from June 1993 to December 2021 in consideration of data acquisition. The results of Markov regime switching model are as follows. First, it is significantly found that state 2(contraction period) is longer than state 1(expansion period) in the housing market in Korea, the United States, and Japan. Second, in state 1(boom period) in Korea, the United States, Japan, it was revealed that interest rates influence on housing price with a positive effect. This means that interest rates cannot be an effective policy tool to stabilize the housing market during the expansion period when housing prices rise. Third, the unemployment rate is found to have a negative effect on housing prices in Korea and the United States, but Japan is found to have no significance. We find that the effects of macroeconmic factors on the housing price volatility are different depending on the volatility regimes and act asymmetrically depending on the business state of the each country. Therefore, there is a need to implement a policy to stabilize the housing market appropriate for the each country and the business cycle.