성수기 국내주택시장의 정보비대칭성에 관한 연구

The paper analyzes symmetric information spillover effects between Korean housing sales and rental housing(Jeonse) markets in particular the booming periods, December, January, February, and August. 365 monthly data for the whole periods and 122 monthly data for the booming periods are employed covering from January, 1986 to May, 2016. To verify the hypotheses, the GARCH(1,1) model and modified GARCH(1,1) model adjusted for booming effects are introduced. The main findings are as follows; First, the changes and volatilities of the rental housing price index tends to effect those of the housing sales price index through the whole sample periods. However, the changes and volatilities of the housing sales price index don't effect those of the rental housing price index through the whole sample periods. Second, the information spillover effects from the changes and volatilities of the rental housing price index to those of the housing sales price index are keeping consistent circumstances including the dummy testing the booming effects. The implications of the tests are that the real buyers of houses should choose the right timing and renters must be careful on the cases which the rent prices are higher than the selling prices.