한국 주택 가격의 경기 순환: 특징 및 함의

Abstract

This paper examines the cyclical characteristics of monthly Korean housing prices using a variety of detrending/filtering methods that take into account several issues in identifying and estimating trend/cycle decomposition. Specifically, the methods we employ include first differences, linear detrending, Hodrick-Prescott filter, band pass filter, Beveridge-Nelson decomposition, and unobserved component models. While the estimated cyclical components exhibit varying behavior across methods (with reasonable interpretation), the author found largely similar patterns for cyclical behavior of housing prices. The overall findings based on estimation results are as follows. First, approximately five cycles of housing prices during the period of 1986-2014 were identified as were additional tentative peaks and trough dates. Second, changing behavior in housing price cycles was identified. Cyclic persistence and volatility tended to decrease over time (in particular, after the Asian financial crisis of 1997). Third, the author provides some evidence that housing market cycles are asynchronous with overall macro cycles. The estimated turning points in housing market cycles do not seem to correspond to official reference cycle dates and the movements of housing prices tend to have lower correlation with aggregate real variables such as the industrial production index and composite cyclical indices. These features are more pronounced during housing market booms.