이자율 및 주택담보대출이 주택가격에 미치는 영향*

Abstract

This study analyzes how the dynamic impacts of interest rate and mortgage shocks on housing prices varies under different regimes of the housing market, using the MS-VAR model with three regimes. The study suggests the two-staged analysis; the housing market regimes are identified through the MS-AR model for housing prices, and the identification results are used to estimate the MS-VAR model. Variables considered for the model are Indices for Apartment Housing Index, interest rates and total amount of mortgage lended. Data covers a period ranging January 2006 to September 2021. The results of the empirical analysis are as follows, First, regime classification in the housing market has a higher statistical validity in the 3-regime model than in the 2-regime model. Second, the volatility of housing prices is high in the boom and bust stage while low in the normal stage. Third, the dynamic impact of financial shocks on housing prices is large in the high volatility regime. Fourth, the impact of interest rate shock is greater in the bust regime, whereas the impact of mortgage shock is greater in the boom regime.