주택가격과 은행대출의 상관관계에 관한 연구

Most households fund house purchases using mortgage loans from banks or other financial institutions since residential properties tend to be costly. This leads to an interaction between bank loans, more specifically,residential mortgage loans and house prices. While there have been numerous studies which examine the relationship between bank lending and house prices, there is no consensus on the direction of causality between the two variables. In spite of the close relationship between the housing market and the banking soundness there has been little study on the causality between bank lending and house prices in Korea. This paper aims to shed light on the relationship between bank lending and house prices and derive policy implications on housing finance. The study periods are 1986Q1～2010Q4, which we break into the real estate cycle 1 (January 1986～December 1998) and the real estate cycle 2(January 1999～December 2010), the latter of which we break up in turn into up market in cycle 2 (January 1999～December 2006) and down market in cycle 2 (January 2007～December 2010) while the markets examined are Korea as a whole as well as Seoul and three regional markets (Daegu,Gwangju, and Busan). We examine the long run relationship using the co-integration tests and the causality using the dynamic response models,namely, VECM. We measure house prices using the Kookmim Bank apartment price index while we measure bank credit using the total bank lending as well as residential mortgage loans. Since the house price dynamics and the characteristics of banking tend to be different between Seoul and regional markets, we divide the Korean residential market into Seoul and three re-gional markets. In addition, we also consider other factors that can influence house prices such as household income, money supply, interest rate, the number of new housing units permitted and housing construction costs. The empirical findings are as follows. Cointegration tests show that long run relationship exists between house prices and bank lending in Korea. As for the causality between house prices and bank lending based on dynamic response models we find that for the study periods bank lending causes house prices and vice versa in all markets. However, housing demand side factors such as GDP, M2 and interest rates and housing supply side factors such as housing permits and housing construction costs do not have a consistent effect on either house prices or bank lending across various markets. Furthermore, we find that if imbalance occurs between house prices and bank lending it is reduced over time so as to maintain the long run equilibrium between house prices and bank lending. Unlike the hypothesis that the causality relationship between bank lending and house prices for Seoul would be different from that for regional markets, we find positive relationship between bank lending and house prices consistently for Seoul and regional markets. This result suggests that as the Korean residential mortgage markets mature there is a gradual convergence of the housing financing markets between Seoul and the regional markets. Our findings suggest that, since bank lending causes house prices, sudden rise (fall) causes sudden rise (fall) in bank lending leading to banking instability. They also suggest that, since house prices cause bank lending, ability-to-repay tests such as DTI serve as an effective house price stabilizer.