주택가격변동이 민간소비에 미치는 영향: 경기순환을 고려하여

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.