국내 부동산시장과 주요 거시경제지표들간의 선-후행성 연구

This study investigates the information transmission mechanism among the returns of KOSPI, FX market, real estate market, call, CD and national housing bond market("NHB") markets using monthly data covering from March, 1991 to July, 2008. For this purpose we employs the vector-auto regressive model, Granger causality, impulse response function and variance decomposition. The major empirical results are as follows: First, according to the Granger causality test, the real estate market influenced from foreign exchange and short-term interest market but not the KOSPI and long-term interest rate market. The real estate market also has an impact on the short-term interest rates such as call and CD. There is a bilateral information transmission between stock and foreign exchange marks. These kind of results are more strengthened with much more statistical robustness after the IMF financial crisis. Second, according to the variance decomposition analysis, short-term interest and foreign exchange markets have more influence on real estate market than those of stock market and long-term interest rate. We also find a similar empirical result from the impulse response analysis.