Dynamic Relationship between Housing Values and Interest Rates in the Korean Housing Market |
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Authors: | Deokho Cho Seungryul Ma |
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Affiliation: | (1) Department of Public Administration, Daegu University, Jinrang, Gyeongsan, Gyeongsan, Republic of Korea, 712–714 |
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Abstract: | The goal of this study is to identify the long-term relationship between housing values and interest rates in the Korean housing market, using the cointegration test and spectral analysis. The result shows a long-term negative (–) equilibrium relationship between housing values and interest rates. Moreover, the Granger causality test for confirming the short-term dynamic relationship between these variables shows one-way causality from interest rate to the growth rate of housing values, while the transfer function model demonstrates concretely the causal structure of this relationship. These findings suggest that the interest rate adjustment policy in the Korean housing market can work very effectively and will contribute to forecasting the growth rate of future housing values. This study was supported from the 2003 Daegu University Research Fund |
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Keywords: | Dynamic relationship Housing value Interest rate Cointegration and spectral analysis Transfer function model Long term equilibrium |
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