부동산가격에 있어 장기균형과 충격반응분석 - 강남구, 성남시, 안양시, 용인시를 중심으로

In this paper, we use monthly housing price indices from July 2003 to May 2008 of some "Buble Seven" areas in Korea. We select Kangnam Gu in Seoul, Bundang Gu in Seongnam City, Dongan Gu in Anyang City, and Yongin City of our interest. The purpose of this paper is three folds. First, we use Granger causality test to identify which area does Grenger cause to other areas. Second, we test whether there exist some long-run relations among housing prices of the selected areas. Finally, we estimate impulse responses of structural shocks from one area to other areas as well as it own area. We find monthly regional housing price indices to be nonstationary. However, by using VAR model with four housing price indices, there exist a long-run relation and three stochastic trends in the model. Incorporating a long-run relation into a vector error correction model, we calculate impulse responses and forecast error decompositions. Our findings imply that some impacts of major public policies in real estate markets and a new-town development work in local housing markets, especially in terms of long-run equlibrium and dynamic adjustment.