부동산경영, Vol.24 (2021)
pp.51~80
- 금융시장 변동성과 주택시장 연계성에 관한 연구 -
본 연구에서는 금융시장간의 변동성과 금융시장의 변동성과 주택시장 변동성간의 상 호 연계성을 VAR 모형을 이용해 실증적으로 비교분석한다. 분석결과, 첫째로 환율변동 성이 금융시장의 변동성 중에서 가장 큰 것으로 나타났고, 주가와 이자율 변동성 순으로 나타났다. IMF 외환위기 전후 금융시장의 변동성은 외환위기 이전보다 이후기간에 더 크게 나타났다. 둘째로 금융시장 변동성간 상관관계는 주가와 환율변동성 간의 상관관계 가 가장 높은 것으로 나타났고, 금융시장 변동성과 주택시장 간의 상관관계는 이자율변 동성과 주택시장 변동성간의 높은 상관관계를 보였다. 금융시장 변동성과 주택시장의 변 동성간의 연계성은 IMF 외환위기 이전보다 이후기간에 통계적 유의성을 보였다. 셋째 로 금융시장간 상호연계성이 높은 것으로 보였고, 금융시장 변동성 중 환율변동성 충격 이 주가변동성 확대에 가장 크게 영향을 미치는 것으로 나타났다. 이자율변동성 증대는 외환위기 이후 주택시장의 불확실성을 높이는 것으로 나타났다. 따라서 주택시장의 안정 화를 위해 이자율변동성을 중점 지표로 관리할 필요성이 있다.
An Empirical Analysis on the Relationship Between Financila Market Volatility and Housing Market
Using the VAR model, this paper analyzes empirically relationship among financial mrket - using interest rate, stock price, and exchange rate – volatility. Also this study investigates the relationship among financial market volatility, housing market volatility, and price volatility. To achieve this research purpose, interest rate volatility, stock price volatility and exchange rate volatility were used as variables of financial market volatility. The results of analysis are as follows. Firstly, exchange rate volatility was found to be the largest among in the financial market, followed by stock price, and interest rate. The volatility of the financial market before and after the IMF foreign exchange crisis was greater in the post period than in the pre-IMF foreign exchange crisis period. The volatility of the financial market are found to be rather greater in post period than in the pre-IMF foreign exchange crisis period. Secondly, the correlation among financial market volatilities was found to have the highest correlation between stock price volatility and exchange rate volatility. It is found to be strong the correlation between interest rate volatility and housing market volatility. The relationship between financial market volatility and housing market volatility was found to be statistically significant in the post-IMF foreign exchange crisis period. Third, the relationship among financial markets is revealed to be high, and among financial market volatilities, the impact of exchange rate volatility was found to have the greatest effect on the increase of stock price volatility. Increasing interest rate volatility was found to increase uncertainty in the housing market after the IMF foreign exchange crisis period. Therefore, it is necessary to manage interest rate volatility as a key indicator to stabilize the housing market.