아파트가격 지역 간 전이효과 분석

Abstract

We estimated the spillover effect of the regional apartment prices using the methodology proposed by Dibold and Yilmaz (2009). We analyzed the transition effects of the seven regions for the period from January 1986 to July 2020, and we also estimated those of the 16 regions from July 2003 to July 2020. As a result of analyzing apartment price returns by seven regions, we found the transfer effect, that each region has a mutual influence. The return on apartment prices in Seoul was most affected by themselves and has a great influence on the Incheon apartment price return. When we consider the period of the economic crisis, the effect of apartment prices in Seoul is large on other regions, but it appears that they gradually decrease after the period of the foreign exchange crisis and the financial crisis. Finally, we find that more than 50% of apartment price returns and volatility in 16 regions were explained by the spillover effect. So, we conclude that apartment prices by region in Korea have a lot of influence on each other.