통화정책 불확실성이 토지가격에 미치는 영향에 관한 연구: 마코프 국면전환모형을 이용한

• 영문명: An Empirical Study on the Effect of Monetary Policy Uncertainty Impact on Volatility of Land Price Using a Regime Switching Regression Model
• 발행기관: 한국부동산정책학회
• 저자명: 최차순(Choi, Cha Soon)
• 간행물 정보: 『부동산정책연구』제23집 제3호, 25~39쪽, 전체 15쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2022.11.30

영문 초록

This study empirically analyzed whether the impact of MPU(Monetary Policy Uncertainty) Index have a significant effect on Land prices using the MRSAR(Markov Regime Switching Autoregressive) model. The result of the study is as follows. We find that the impact of MPU index significantly affect on the land market in each regime. First, it is found that the impact of uncertainty could be spillover internationally. Second, it is found that MPU index in Korea and Japan affect the land market in a similar way. However, the MPU index in the U.S. is found to affect the land market only during the first half of the financial crisis. Third, it is found that the expected duration of MPU shocks in Korea, the United States, and Japan lasted about seven times more during the recession than during the boom. This provides a surprising insight that the impact of uncertainty can be spillover internationally. Therefore, in order to improve the effectiveness and predictive power of real estate policies, the need for model development including MPU indicators is required.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 분석모형

Ⅳ. 분석결과

Ⅴ. 결론

키워드

Land Price Monetary Policy Uncertainty Regime Switching Model Spillover Regime