주택시장과 거시경제변수들 간의 장기적 균형관계 연구

Abstract

This paper was empirically conducted to compare the explanatory power of the Vector Error Correction Model (VECM) and Vector Autoregressive Model (VAR Model) in predicting the long-term equilibrium relationship between housing prices and macroeconomic variables. The analysis period spans from January 1987 to July 2023. The analysis results are as follows. First, it is found that there exists one cointegration relationship among housing prices, stock prices, liquidity, 5-year yield of government housing bonds, and income. Therefore, the VECM model can be applied to analyze the long- and short-term equilibrium relationship. Secondly, the estimation results of the VECM model revealed the presence of the following long-term relationships: a negative (-) relationship between housing prices and stock prices, a positive (+) relationship with liquidity, a negative (-) relationship with the 5-year yield of government housing bonds, and a positive (+) relationship with income. This aligns with the expected theoretical signs. Thirdly, the Root Mean Square Error (RMSE) and Theil's Inequality Coefficient, which indicate the predictive and explanatory power of the VECM and VAR models, respectively, showed that the VECM model outperformed the VAR model with smaller values for both metrics. Therefore, when a cointegration relationship exists between housing prices and macroeconomic variables, it is necessary to apply the VECM model rather than the VAR model for analysis.