아파트 가격의 파급효과 분석 - VECM을 중심으로

Abstract

This paper investigates the spillover effects of apartment prices. The transaction price index was used to estimate the connectedness among the five major regions of Seoul and among Seoul and six major metropolitan cities. In particular, considering the cointegration relationship between housing price indices, we apply the VECM model and estimate the connectedness by focusing on the southeast region of Seoul, which is generally accepted to play an important role in the domestic housing market. The sample period is from January 2006 to September 2022. The main findings are as follows. First, a cointegration relationship exists among regions in Seoul and among Seoul and the six metropolitan cities. In particular, we found that the spillover effects among housing markets are underestimated when using the first differenced-VAR model instead of VECM in situations where cointegration exists. Second, the southeast region of Seoul has been the most influential market in Korea. Third, the rolling sample analysis revealed increased interdependence among housing markets after the outbreak of the COVID-19 pandemic.