금리 변동이 주택가격 순환변동에 미치는 영향

초록

Since the 2008 global financial crisis, there have been changes in research on the relation between interest rates and house prices. Studies published before the financial crisis show a negative correlation between interest rates and house prices, but studies published after the financial crisis a non-negative or independent on. However, recent studies whice use HP filter and include the US federal fund rates in the empirical model show the results that interest rates still have a negative impact on house prices. This study includes the US federal fund rate in the Structural Vector Auto Regression(SVAR) model, and then applies the HP filter to empirically analyze the effect of interest rate changes on house price cycles. The study period covers from January 2000 to December 2020, and the empirical analysis is conducted on the three different periods the entire period, before the financial crisis, and after the financial crisis. The variables used in the empirical model include the US federal fund rate, CD rate, money supply M1, industrial production index, consumer price index, and house price index (Seoul, 6 metropolitan cities). The main findings are as follows. First, the CD rate has no negative impacts or limited impacts on house price cycles. Second, the US federal fund rate has no negative impacts or limited impacts on house price cycles. Third, the impacts of interest rate changes on house price cycles depends on time(i.e., before and after the financial crisis) and region(i.e., Seoul and 6 Metropolitan cities). Fourth, the variance decomposition results of house price cycles suggest that house price cycles themselves has the highest explanatory power, and the US federal fund rate and money supply M1 also has high explanatory power.

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