An Empirical Study on the Asymmetric Effect of News on Housing Price Volatility in Korea, the USA, and Japan

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.