A Study of Dynamic Relationship between Housing Values and Interest Rate in the Korean Housing Market

Deokho Cho () and Seungryu Ma ()

ERSA conference papers from European Regional Science Association

Abstract: The goal of this study is to identify the long-term relationship between housing value and interest rate in the Korean housing market, using the Cointegration Test and Spectral Analysis. The result shows the long-term negative (-) equilibrium relationship between housing values and interest rate. Moreover, the Granger Causality Test for confirming the short-term dynamic relationship between these variables notes the one-way causality from interest rate to the change rate of housing and the transfer function model certifies concretely the causal structure of this relationship. The result of this study suggests that the interest rate adjustment policy in the Korean housing market can work very effectively and it will contribute to forecast the change of future housing values hereafter. Keywords: Dynamic relationship; Housing value; Interest rate; Cointegration and spectral analysis; Long term equilibrium

Date: 2004-08
New Economics Papers: this item is included in nep-geo, nep-ifn, nep-mon, nep-sea and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwrsa:ersa04p323

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