글로벌 금리 및 유동성 변동이 주택가격 순환변동에 미치는 영향 - 미국 기준금리 변동이 주요국에 미치는 영향을 중심으로 -

초록

As housing prices recently hit new highs, the Bank of Korea raises interest rates and the US Federal Reserve announced an interest rate hike, attention is focused on the possibility of a fall in housing prices. Therefore, this study empirically analyzed the influences of interest rate and liquidity changes on housing price cycles by dividing the entire period and the period before and after the financial crisis for 10 major global countries including Korea. After applying the hypothesis that ‘the influence of interest rates and liquidity changes on the housing prices cycles appear differently depending on the period when comprehensively analyzed’, the results of empirical analysis through the impulse response function and variance decomposition are as follows. As a result of the empirical analysis, before the financial crisis, interest rate changes had a large influence on housing prices cycles and had different influences by country. However, after the financial crisis, the influence of liquidity changes on housing price cycle due to changes in the Federal Fund Rate expanded, and most of the countries analyzed showed similar results. After the financial crisis, as the impact of interest rates decreased and the effect of liquidity expanded, it was found that even if the interest rate shifts from a downtrend to an uptrend, housing prices do not fall if the increase in the money supply, which has a greater impact, continues. Through this result, we empirically analyzed the reason why interest rate fluctuations after the financial crisis did not have a negative(-) effect on housing price cycles among previous studies. Therefore, even if the Bank of Korea further raises interest rates and the US Federal Reserve raises interest rates in the future, it is predicted that house price cycle will not decrease as long as the money balance does not decrease according to the conditions of the analysis period.

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