이자율 변동과 주택시장: Markov-switching vector autoregressive 분석

Abstract

This paper analyzes the dynamic effect of interest rate change on the housing market, using Markov regime switching VAR model. Three variables, real housing prices, housing trade volume, and mortgage rate, are considered in the model. Data covers the period from January 2006 to March 2020. The results of empirical analysis are as follows: First, the MS-VAR model shows two regimes in terms of the volatility and the high-volatility regime lasts longer than the lower-volatility regime on average. Second, during the high-volatility regimes, the average housing price increasing rates and the average falling of interest rates are bigger. The housing trade volume does not show the significant difference between two regimes. Third, the dynamic impact of interest rate change on the housing market is absolutely larger in the periods of high-volatility regime.