Asset Price Spillover: Fundamental vs. Bubbles in Korean Housing Market

• 영문명: Asset Price Spillover: Fundamental vs. Bubbles in Korean Housing Market
• 발행기관: 서울대학교 경제연구소
• 저자명: 김장열(Jan R. Kim) 조성진(Sungjin Cho)
• 간행물 정보: 『경제논집』62권 2호, 41~70쪽, 전체 30쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2023.12.31

영문 초록

This paper investigates price diffusion within the housing market of Korea, focusing on two geographically adjacent regions of Seoul, i.e., Gangbuk (to the north of the river) and Gangnam (to the south of the river). Contributing to the literature on the ripple effect in housing markets, the study examines the interdependence of the submarkets with respect to the fundamental and bubble components of house price separately. For that aim, the presence of speculative bubbles in either submarket is checked, and the actual prices are decomposed into the fundamental and bubble components following a present-value approach. We then examine the presence and directions of house price spillovers across the two submarkets using the Granger-type causality test. A few key features emerge. First, long-run relationships are evident between the two submarkets for both the fundamental and bubble component alike, according to the unit root test for price ratio and the cointegration test. Second, the causality test also highlights that price diffusion does occur over the short-run from Gangnam to Gangbuk. Third, the above price diffusion between the two submarkets is not observed for the fundamental prices but the bubble components, supporting the presence of a unidirectional bubble contagion in the short-run from Gangnam to Gangbuk region.

목차

1. Introduction

2. Housing Submarkets in Seoul

3. Decomposition of House Prices: Fundamental vs Bubble

4. Housing Price Spillover between Submarkets

5. Conclusion

키워드

House Prices Regional Housing Market Fundamentals Bubble Present-value Model Spillovers Ripple Effects Bubble Contagion