A Study on the Volatility of Housing Price in Seoul
AUTHORS
Cha-Soon Choi,Associate Professor 31020 Dept. of Real Estate Studies, Namseoul University, 91 Daehakro, Seonghwan-eup, Seobuk-gu, Sheonan-si, Chungnam, Seoul, Korea
ABSTRACT
This study is empirical analysis on the volatility of housing price and the spillover effect, which was conducted using the EGARCH model for the time series data of key money deposit amount and the sale price of houses in Gangnam and Gangbuk of Seoul from January 2003 to April 2019. First, the result of the analysis showed that for the key money deposit and sale price model for Gangnam areas, EGARCH (1,1) model that examines the asymmetric effect was more appropriate than the GARCH (1,1) model. Second, it was found that there is the spillover effect from the key money deposit price in Gangnam to the sale price in Gangnam. However, there was no spillover effect on the sale price in Gangbuk and Seoul. A 1% increase in the key money deposit price in Gangnam led to a 0.158% increase in the sale price in Gangnam. Third, the volatility in house price in Gangnam and Gangbuk was affected more by the volatility from the previous month rather than the spillover effect of the fluctuation in the key money deposit price in Gangnam. It is necessary for the government to establish multiple demand and supply policies and dynamically control the market in order to stabilize the fluctuating housing market.
KEYWORDS
Housing Price, Volatility, Spillover Effect, EGARCH Model, Housing Rental Price.
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