한국 주택가격의 동태적 변화 연구

Abstract

Housing is one of the essential goods that determine the conditions of life. However, housing prices fluctuate widely depending on macroeconomic conditions, making it an important research topic. This study analyzes the dynamic changes in quarterly housing prices from 2006 to 2023, using GARCH model, Granger causality test, and vector error correction model(VECM). The main finding are as follows. First, there are inertial feedback effects in house price changes. Second, there is clustering and long-run persistence in the dynamics of house price volatility. Third, we find significant effects of housing loans on the demand side and housing construction permits and unsold housing units on the supply side on house prices. Housing loans have a positive effect in the short run, while housing supply variables such as housing construction permits and the number of unsold housing units have a negative effect in the long run. These results of our analysis suggest that the housing market follows the market principle that the role of housing supply and demand works well, and that housing prices have inertial characteristics with spikes and crashes depending on the economic environment. Housing policy-makers need to take these findings into account when formulating housing policies.