An Empirical Study on the Effect of Monetary Policy Uncertainty Impact on Volatility of Land Price Using a Regime Switching Regression Model

Chasoon Choi
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Abstract

This study empirically analyzed whether the impact of MPU(Monetary Policy Uncertainty) Index have a significant effect on Land prices using the MRSAR(Markov Regime Switching Autoregressive) model. The result of the study is as follows. We find that the impact of MPU index significantly affect on the land market in each regime. First, it is found that the impact of uncertainty could be spillover internationally. Second, it is found that MPU index in Korea and Japan affect the land market in a similar way. However, the MPU index in the U.S. is found to affect the land market only during the first half of the financial crisis. Third, it is found that the expected duration of MPU shocks in Korea, the United States, and Japan lasted about seven times more during the recession than during the boom. This provides a surprising insight that the impact of uncertainty can be spillover internationally. Therefore, in order to improve the effectiveness and predictive power of real estate policies, the need for model development including MPU indicators is required.
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基于制度转换回归模型的货币政策不确定性对土地价格波动影响的实证研究
本文运用马尔可夫制度转换自回归模型实证分析了货币政策不确定性指数对土地价格的影响是否显著。研究结果如下:研究发现,各制度下MPU指数对土地市场的影响均显著。首先,研究发现不确定性的影响具有国际外溢性。其次,发现韩国和日本的MPU指数对土地市场的影响方式相似。但是,美国的MPU指数只在金融危机的前半段对土地市场产生影响。第三,我们发现,韩国、美国和日本的MPU冲击的预期持续时间在经济衰退期间比在繁荣时期长约7倍。这提供了一个令人惊讶的见解,即不确定性的影响可能在国际上溢出。因此,为了提高房地产政策的有效性和预测能力,需要开发包括MPU指标在内的模型。
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