Inefficiency of Korean Apartment and Jeonse Market : Focused on Jeonse-to-price Ratio

• 발행기관: 한국자료분석학회
• 저자명: 조재호(Jae Ho Cho)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.21 No.4, 1721~1732쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2019.08.31

영문 초록

According to a well-known arbitrage equation between house price and Jeonse (key money lump-sum deposit on a rental) price in Korea, when a house price is expected to rise or interest rate falls, the Jeonse-to-price ratio falls. However, in the actual housing market, when prices rise or interest rate falls, the ratio rises for a while. This study examined this process with TARCH and Markov switching analysis. The analysis shows that the growth and disappearance of expected excess returns could well explain the process of the ratio. In particular, the effect of changes in the expected apartment price appreciation rate and the mortgage rates on the ratio might differ in the low volatility and high volatility regimes of expected excess returns. Based on these results, if the housing market stabilizes, the expected excess returns accumulated in the apartment Jeonse market will gradually decrease. In addition, if the current ultra-low interest rates are resolved, the process will be strengthened. It would enhance the efficiency of the housing market, and the Jeonse market would look for relative stability.

목차

1. Introduction

2. Previous studies

3. Methodology

4. Empirical results

5. Conclusion

References

키워드

inefficiency of the housing market Jeonse-to-price ratio TARCH Markov switching