공적분검정을 통한 서울지역 아파트가격 거품 검정

This paper analyzes the long－run and short－run dynamic properties of apartment prices in Seoul and tests whether there have been sustainable apartment price bubbles or not. In order to analyze the long－run dynamic characteristics of apartment prices, market equilibrium prices are estimated by using a reduced－form equation arising from the equilibrium condition of demand and supply. For analyzing the short－run dynamic features of apartment prices, a price adjustment model is built and estimated on the standpoints of serial correlation and mean reversion. Those parts of prices that cannot be explained by the long－run and short－run models are treated as price bubbles, and the existence of price bubbles is tested by cointegration tests. The breakdown analysis quantifies the cyclical and bubble components of apartment price deviation from their fundamental values. In Seoul, the gap between actual and fundamental values was 0.98%, and mainly driven by the cyclical component due to intrinsic housing market frictions. The null hypothesis that there is no cointegration relationship between the actual prices and estimated prices obtained by the price adjustment model was rejected. Which means that during the sample period in Seoul, the movements of apartment price can be largely explained by the long－run and short－run models, and there have been no sustainable apartment price bubbles. This result is consistent with the one of the breakdown analysis.