글로벌 과잉유동성이 신흥시장국 부동산가격에 미치는 영향

Abstract

This paper analyzes the impact of global excess liquidity, which is caused by unconventional monetary policies of major advanced economies (AE), on the house prices of emerging market economies (EME). The founding says that global excess liquidity, real GDP growth rate, CPI inflation, inter-bank interest rate and base money growth rate mainly affect the house prices of EME during the entire period. But non-linearity, in which the impact of each independent variable on the dependent variable is different between the non-crisis and crisis period, is not clear. Hence, we divide the entire period into two periods, one being “before global financial crisis (GFC)” and the other “after GFC”, to find out whether the behavior of major explanatory variables changes or not. The results say that before GFC, global excess liquidity, real GDP growth rate, CPI inflation, and base money growth rate affected house prices. But after GFC, only real GDP growth rate and base money growth rate affected it while global excess liquidity did not. We put additional variables, “synchronization of monetary policies between AE and EME” and “shares of cross-border claims of international banks”, into our econometric models in order to find out causes of the results above. We found that synchronization of monetary policies between AE and EME affected (it) but shares of cross-border claims of international banks did not.