서울 아파트 시장 모형 분석: 시차 가변 계수 공적분 모형과 내생적 국면전환을 반영한 오차수정모형의 적용

초록

This study enhances long-term and short-term time series models of housing price fluctuations to analyze the dynamics of the Korean housing market. Utilizing a time-varying coefficient cointegration model and an error correction model with endogenous regime switching, it examines the movements in the Seoul apartment market from June 2009 to June 2024. The analysis identifies a nonlinear cointegration relationship between the rent-to-price ratio and the user cost of housing. Furthermore, the endogenous regime-switching model demonstrates superior explanatory power compared to the Markov regime-switching model in describing housing market dynamics. The Seoul apartment market is characterized by two distinct regimes: a strong momentum regime (55% of the total period) and a weak momentum regime (45% of the total period). In the strong momentum regime, housing prices exhibit high persistence and slow reversion to the long-run equilibrium price, whereas the opposite is observed in the weak momentum regime.

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