No abstract

This paper empirically examines the impact of different regimes of monetary policy uncertainty(MPU) index on housing sales and jeonse price volatility covering the period from January 1990 to December 2021 with adopting Markov regime switching. The anaysis result can be summarized as following. First, During the sample analysis period, it is found that the higher the MPU index, the more negatively the housing sales price at the high volatility regime 2(expansion period). Second, it is found that the higher the MPU index, regardless of regimes, is to affect a negative effect on the housing sales price during the post-global financial crisis period. Third, It ia found that the MPU index reacted asymmetrically to housing prices or jeonse prices. Therefore, in order to stabilize the economy, it is necessary to simultaneously consider not only traditional real economy stabilization policies such as interest rate policies but also market psychological factors such as the MPU index as policy goal management indicators.

This paper examines the inflation hedging capacity of Korea’s housing return from January 1987 to December 2022. The exponential generalized autoregressive conditiuonal heteroskedasticity(EGARCH) model and a dynamic ordinary least squares (DOLS) regression were employed to study the hedging capacity of Korea’s housing return against expected and unexpected inflation over the short run and long run. The results that could be obtained through this paper is as follows. First, The empirical results show a hedge effect on expected inflation only in housing return excluding gold over the short term, but not in unexpected inflation. Second, Over the long run, housing and gold returns provide a positive inflation hedge against expected inflation only. Third, it is found that the price volatility of housing and gold have both a positive asymmetric effect on news shocks. Over the long run, an increase in wages is found to increase housing prices by promoting housing demand, While no similar evidence is found in money supply.Therefore, there is a need to implement a stable wage policy to stabilize the housing market.

No abstract

The purpose of this paper is to examine whether or not housing price volatility is asymmetric to the type of information in the housing markets of Korea, the United States, and Japan using the GJR-GARCH model. The data used in the analysis are the housing price indices of each country from June 1993 to December 2021. The results of the study revealed the following; first, the existence of timevarying clustering effects in the housing market in Korea and the United States excluding Japan is observed by the GARCH model. Second, as a method of analyzing the asymmetrical response of housing price volatility to unexpected shocks, the GJR-GARCH model is found to be more valid than the GARCH model. Third, it is found that the volatility of housing prices in Korea, the U.S. and Japan showed an asymmetrical response to the unexpected impact. In the Korean housing market, an unexpected positive shock was found to increase housing price volatility more than an unexpected negative shock. This means the existence of a downward rigidity of housing prices in the Korean housing market. In the U.S. housing market, unexpected negative shocks were found to increase housing price volatility more than unexpected positive shocks. This means that leverage effects exist in the U.S. housing market. In order to stabilize the housing market, there is a need to strengthen the price monitoring system by establishing a prediction model that can reflect information well.