주성분점수를 이용한 주택시장 종합지수 개발 연구

Abstract

Using aggregate data, this study developed a composite index for the housing market and applied it to the analysis of the housing market’s cycle and crisis stages. A total of 40 variables were used to create the index, including 24 variables from Korea's Real Estate Market Early Warning System (EWS). After converting each individual variable into a level or rate of change in consideration of each characteristic, we controlled for seasonal and irregular factors using the X-12 method and standardized using mean and standard deviation. Subsequently, the first and second factors were extracted using principal component analysis, and the composite index was calculated by applying the eigenvalue for each factor to the component score as a weight. Results reveal that the first factor that preceded the housing market and a strong tendency to show the financial market’s situation, such as liquidity and interest rates, and the land market. The second factor was closely related to the lease market and was accompanied by housing prices and housing transactions. Finally, the index calculated in this study was used to analyze the national housing market's cyclical phase and crisis stages. Hence, when compared to the case of using a single variable such as housing prices and housing transactions, the index of this study had the advantage of clearly identifying the cycle and crisis stages. The housing market composite index created in this study using many variables can be a useful tool for monitoring the housing market by supplementing the existing EWS.