아파트매매가격의 인과관계 분석: 순천, 여수, 광양을 중심으로

This paper aims to discover the relationship among the apartment prices of Sunchon, Yeosu and Gwangyang Cities. Using monthly data of apartment prices for the period of thirty-six years from 1986 to 2021. Granger-causality test reveals that a bi-directional granger causality between Yeosu and Gwangyang, and a unidirectional granger causality from Sunchon to Gwangyang, from Sunchon to Yeosu at the 5% level of significance. This paper finds that there are no causalities between Yeosu and Gwangju, between Gwangyang and Gwangju and between Gwangyang and Seoul. The variance decomposition exhibits that the forecast error variance of Sunchon is perfectly explained by itself. However, In the twelfth period, 30% and 34% of the forecast error variance of Yeosu and Gwangyang is explained by Sunchon, respectively. This paper shows that the variance decomposition of the apartment price implies that Sunchon has relative importance over Yeosu and Gwangyang in explaining the forecast error variance of the chane of apartment price. This paper indicates that the responses of Yeosu to a unit standard deviation of Sunchon and Gwangyang result in a positive trend after witnessing a declining trend. For the shock provided by Yeosu and Sunchon, the response of Gwangyang is similar. The biggest response is a response of Gwangyang to a shock to Sunchon while the smallest response is a response of Sunchon to a shock to Yeosu.