금리변동성에 대한 국면별 부동산경매낙찰가의 비대칭적 반응 연구
본 연구는 금리변동성에 대한 국면별 부동산경매낙찰가율의 변동성 충격을 실증분석 하였다. 분석결과는 다음과 같다. 첫째, 부동산경매낙찰가율은 유사한 규모의 변동성이 지속되는 변동성 군집현상(volatility clustering) 및 각 국면별 GARCH효과가 존재하는 것으로 확인하였다. 둘째, 부동산경매시장은 안정기가 유지될 확률보다는 불안정기가 유지될 확률이 더욱 큰 것으로 분석되었다. 셋째, 본 분석모형의 주요 변수인 주택담보대출금리와 가계연체율은 국면에 따라 다른 모습을 보이고 있다. 국면 1(안정기)에는 가계연체율이 증가하더...
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| Published in | 대한부동산학회지 no. 49; pp. 339 - 356 |
|---|---|
| Main Author | |
| Format | Journal Article |
| Language | Korean |
| Published |
대한부동산학회
30.09.2018
Korea Real Estate Society |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1225-1054 2713-6981 |
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| Abstract | 본 연구는 금리변동성에 대한 국면별 부동산경매낙찰가율의 변동성 충격을 실증분석 하였다. 분석결과는 다음과 같다. 첫째, 부동산경매낙찰가율은 유사한 규모의 변동성이 지속되는 변동성 군집현상(volatility clustering) 및 각 국면별 GARCH효과가 존재하는 것으로 확인하였다. 둘째, 부동산경매시장은 안정기가 유지될 확률보다는 불안정기가 유지될 확률이 더욱 큰 것으로 분석되었다. 셋째, 본 분석모형의 주요 변수인 주택담보대출금리와 가계연체율은 국면에 따라 다른 모습을 보이고 있다. 국면 1(안정기)에는 가계연체율이 증가하더라도 부동산경매낙찰가율이 상승하나, 국면 2(불안정기)에는 가계연체율 증가는 부동산경매낙찰가율을 감소시키는 역할을 한다. 또한 주택담보대출금리의 상승은 부동산경매낙찰가율을 하락하게 하는 요인이지만, 국면 2(불안정기)에는 영향의 정도가 큰 것으로 나타났다. This study analyzed the impact of interest rate volatility on a winning bid rate of the regime switching real estate auction market in an empirical manner. The findings are as followed. Firstly, it is confirmed that a winning bid rate of the real estate auction market is influenced by volatility clustering in which similar magnitude of volatility continues and regime changing Garch effect. Secondly, it is analyzed that the probability of maintaining the stable period in the real estate auction market is high, compared to the instable period. Thirdly, the interest rate of mortgage loan and the household loan arrears rate, which are main variables of this analysis model, show different figures, depending on the stage. In Stage 1 (the stable period), a winning bid rate of real estate auction increases even if a household loan arrears rate increases. In Stage 2 (the instable period), increase of household loan arrears rate is likely to decrease a winning bid rate of real estate auction. In addition, increased interest rate of mortgage loan plays roles of elements that decrease a winning bid rate of real estate auction. In this case, the impact of increased interest rate is more serious in Stage 2 (the instable period) than Stage 1. KCI Citation Count: 0 |
|---|---|
| AbstractList | 본 연구는 금리변동성에 대한 국면별 부동산경매낙찰가율의 변동성 충격을 실증분석 하였다. 분석결과는 다음과 같다. 첫째, 부동산경매낙찰가율은 유사한 규모의 변동성이 지속되는 변동성 군집현상(volatility clustering) 및 각 국면별 GARCH효과가 존재하는 것으로 확인하였다. 둘째, 부동산경매시장은 안정기가 유지될 확률보다는 불안정기가 유지될 확률이 더욱 큰 것으로 분석되었다. 셋째, 본 분석모형의 주요 변수인 주택담보대출금리와 가계연체율은 국면에 따라 다른 모습을 보이고 있다. 국면 1(안정기)에는 가계연체율이 증가하더라도 부동산경매낙찰가율이 상승하나, 국면 2(불안정기)에는 가계연체율 증가는 부동산경매낙찰가율을 감소시키는 역할을 한다. 또한 주택담보대출금리의 상승은 부동산경매낙찰가율을 하락하게 하는 요인이지만, 국면 2(불안정기)에는 영향의 정도가 큰 것으로 나타났다. This study analyzed the impact of interest rate volatility on a winning bid rate of the regime switching real estate auction market in an empirical manner. The findings are as followed. Firstly, it is confirmed that a winning bid rate of the real estate auction market is influenced by volatility clustering in which similar magnitude of volatility continues and regime changing Garch effect. Secondly, it is analyzed that the probability of maintaining the stable period in the real estate auction market is high, compared to the instable period. Thirdly, the interest rate of mortgage loan and the household loan arrears rate, which are main variables of this analysis model, show different figures, depending on the stage. In Stage 1 (the stable period), a winning bid rate of real estate auction increases even if a household loan arrears rate increases. In Stage 2 (the instable period), increase of household loan arrears rate is likely to decrease a winning bid rate of real estate auction. In addition, increased interest rate of mortgage loan plays roles of elements that decrease a winning bid rate of real estate auction. In this case, the impact of increased interest rate is more serious in Stage 2 (the instable period) than Stage 1. KCI Citation Count: 0 |
| Author | 김종하(Kim, Jong Ha) |
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| Keywords | Real Estate Auction Asymmetric Response 국면전환 Transfer Effect 전이효과 금리변동성 Interest Rate Volatility Volatility Structure Regime Switching 변동성 구조 비대칭적 반응 부동산경매 |
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| PublicationTitle | 대한부동산학회지 |
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| Publisher | 대한부동산학회 Korea Real Estate Society |
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| Snippet | 본 연구는 금리변동성에 대한 국면별 부동산경매낙찰가율의 변동성 충격을 실증분석 하였다. 분석결과는 다음과 같다. 첫째, 부동산경매낙찰가율은 유사한 규모의... |
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| StartPage | 339 |
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| TableOfContents | 서론 Ⅱ. 선행연구 고찰 Ⅲ. 분석방법론 1. 분석자료 2. 분석모형 Ⅳ. 실증분석 1. 기초통계 2. 추정결과 Ⅴ. 결론 |
| Title | 금리변동성에 대한 국면별 부동산경매낙찰가의 비대칭적 반응 연구 |
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