경기변동과 주택형태별 수익률에 관한 실증적 연구 (The Cross-Sectional Dispersion of Housing and Business Cycle)

서지정보

· 발행기관 : 한국기업경영학회
· 수록지 정보 : 기업경영연구 / 17권 / 1호 / 125 ~ 141페이지
· 저자명 : 김종권

초록

1992년부터 2007년까지의 실증분석 결과에 따른 우리나라 부동산시장 가격과 관련된 시사점으로서는 첫째, 미국과 달리 경기 침체시나 경기 회복 시에 뚜렷한 차이점을 발견할 수는 없었다는 점이다. 둘째, 전국아파트 매매가격이 상승할 경우 통화당국에서 인플레이션율 목표관리에서 참고하여야 할 것임을 나타내고 있다. 참고로 1986년부터 2002년까지 미국 대도시지역의 아파트와 상가, 사무실의 순가격상승율을 패널데이타로 추정한 자료에 따르면, 이들은 거시경제변수와 단기이자율, 이자율간의 스프레드 차이, 인플레이션 등에 영향을 받는 것으로 나타났다. 이들 자산가격상승률은 경기상황과 반비례관계를 갖는 것으로 나타났는데, 이는 대부분 대출 및 신용과 관련되어 있기 때문이다. 그리고 이는 부동산시장에서 자산 간 수익률 격차를 크게 넓힐 수 있음을 지적하고 있다

영어초록

Assuming investors rationality and costless arbitrage, asset prices in public securities markets are not affected by capital flows or trading activities. The current securities market value of an asset is simply the present value of the expected future cash flows in Korea. However, in recent years a growing behavioral finance literature has been important of the assumptions of investor rationality and costless arbitrage implied by the efficient market hypothesis in Korea. Those many theoretical models have been developed that assume limited arbitrage(supply inelasticity) and/or heterogeneous investor beliefs(noise traders). In these models, investor sentiment and capital flows can have a role in the determinations of asset prices.
The importance of capital flows in asset pricing of Korea has received significant attention in public securities and bonds markets. However, a serious analysis of the dynamics of capital flows and returns in private real markets of Korea has not yet been undertaken. This paper examines the short-run and long-run dynamics among capital flows and returns in private real estate markets in Korea.
I include other exogenous variables such as changes in employment and money supply in attempt to purge the capital flow and return equations of any relationship that may exist because of their mutual relation to these exogenous variables and risk factors.
According to the returns of housing and business cycle of Korea over the period 1992 to 2007, it is related to the financial market volatility. First, it isn't a distinct difference from business cycle contrary to U.S. Second, the rise of purchase price in total apartments moves up the consumer price index. According to the cross-sectional dispersion of returns and growth in net operating income (NOI) of apartments, industrial, retail and office properties using panel data for U.S. metropolitan areas over the period 1986 to 2002, it is a measure of the total volatility faced by investors in commercial real estate. To the extent that most of that volatility is difficult to diversify, cross-sectional dispersion may be an appropriate measure of risk.

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