한국, 일본, 대만의 주요도시들의 주택매매가격지수 간 공적분관계 비교

초록

This paper compares the cointegration relationship between the housing indices of major cities in three countries such as Korea, Japan, and Taiwan. The findings are as follows. First, if the Vector Error Correction Model is estimated by Johansen’s(1987, 1991) method, the error correction process for the long run equilibrium stands out most in Japan’s three cities compared to Taiwan’s six cities and Korea’s five cities. Second, using Engle and Granger’s(1987) cointegration test method, the housing price indices of major cities in Taiwan are closely cointegrated, but Korea and Japan are not. Third, using the Granger causality test proposed by Toda and Yamamoto(1995), which can be used irrespective of the existence of unit root in the variables, there was no significant difference between Taiwan, Korea and Japan in the mutual predictability of housing indices in major cities. From the first and second results, the closeness of the cointegration relationship between the housing index of major cities in Korea is lower than that of Taiwan and Japan. It is worth noting that the dynamics among the housing price indices of major cities in Korea, unlike Japan and Taiwan, are not perfectly explained with Vector Error Correction Model or Vector Autoregression Model. The implication of this paper is that the level of balanced regional development in Korean economy seems to be lower than that of the Taiwan and Japan.

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