주택가격변동이 민간소비에 미치는 영향: 경기순환을 고려하여 (Housing Price's Effect on Consumption in Korea: Considering the Business Cycle)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 22권 / 1호 / 27 ~ 51페이지
· 저자명 : 김세완

초록

본 논문에서는 우리나라의 주택가격 변화가 민간소비에 미치는 영향을 경기순환을 고려하여 살펴본다. 주택가격 변동이 소비에 비치는 부의 효과에 대한 기존의 연구가 경기순환을 고려하지 않았던 데 반하여, 경기변동에 따른 주택자산의 부의 효과변화를 정량적으로 이해하는 데 본 연구의 의미가 있다고 할 수 있다. 또한 기존의 마코프스위칭 모형을 통한 경기순환 모형의 단점을 극복하기 위하여, 본 연구에서는 경기순환 더미변수가 포함된 벡터오차수정 (Vector Error Correction：VEC) 모형을 이용한다. 추정결과에 따르면, 경기의 상태에 따라 상이한 주택자산 부의효과가 추정되었다. 경기확장기에서는 주택가격증가율이 1% 상승할 때 소비증가율은 약 0.0370% 증가하였고, 즉 경기수축기에서 소비증가율은 1% 주택가격증가율 상승에 약 0.0171% 감소하는 것으로 추정되었다. 이는 주택자산 부의효과가 주택가격 자체의 변화 뿐 아니라, 소비자의 경기에 대한 인식에 의하여도 유의적인 영향을 받는 근거로 해석 될 수 있을 것이다.

영어초록

The rapid growth of housing price growth in Korea after 2000 has increased households’ wealth relatively large amount. For example the apartment price index increases from 64 to 120 over the period of January, 2000 and December 2006.
Considering the housing price stickiness to downward, the housing price change would affect the permanent income of households and according to the ‘permanent income hypothesis’, it naturally affects households’ consumption expenditure. On the other side, however, the consumption expenditure does not show particular increases after 2000 and even worse it decreases in 2003 in its growth rate.
This study investigates Korean housing price change’s effect on consumption along with the business cycle changes. Unlike previous researches in the field, this work quantitatively analyzes house wealth’s effect on consumption in different phases of business cycles. Recently there have been many empirical studies on the relationship between housing wealth and consumption, however, these studies do not incorporate the business cycle changes in dynamic relationship of housing wealth and consumption.
Even though the business cycle is determined by several factors of economy, household is likely to change their consumption decision depending on their perception of economic state.
To get over some shortcomings of Markov switching model, this study employs Vector Error Correction Model (or VECM) with boom-recession dummy variable. The estimation result shows differentiated housing wealth effect over different states of economy.
In more detail, the estimation equations from the VECM are specified as the following equation (1). [ ]

(1)[ ]


where [ ]
: real apartment price growth rate, [ ] : real consumption expenditure growth rate, [ ] : real income growth rate

In the above specifications, the dummy variable (d) is defined as

d = 1 (expansion or boom period) 0 (contraction or recession period) (2)

The above VECM equations with the boom-recession dummy variable (d) specify differentiated effect of housing wealth on consumption over boom and recession periods. In the boom period, the independent variables’ effect on the dependent variable is estimated as while in the recession periods.
According to our estimation of VECM with boom-recession dummy, consumption growth rate increases by 0.0370% for 1% increase of housing wealth in the boom period. In the recession periods, for the same housing price increase of 1%, the consumption growth rate decreases by 0.017%. Over all our result significantly indicates that the housing wealth effect is affected by not only housing price changes itself, but also consumers’ expectations on business cycles.
In the future research, this study should be extended to including the effect of interest rate on housing market and therefore consumption since the households’ decision on consumption is significantly affected by interest rates for relatively high portion of housing loan as a source of financing house purchase.

참고자료

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