Analysis of the Relationship Between Apartment Sale Price, Jeonse Price, Monthly Rent Price Volatility Determinants: Focusing on the Loan Interest Rate

Abstract

In this study, the financial time series trend is predicted using Hamilton's Markov regime-switching model to observe the factors of apartment sales, jeonse, and monthly rent prices that change from time to time from a Markov perspective. Inflation since the coronavirus pandemic has pushed the United States interest rate higher, and South Korea is also raising its benchmark interest rate to stabilize the economy. Due to the impact of this increase in the base rate, the mortgage interest rate has also risen, which has a chain effect on the sale price of apartments, the price of jeonse, and the price of monthly rent. Changes in the trend over the long term can be interpreted as exogenous shocks, economic measures, or structural changes. As a result of the Markov model analysis, apartment sales prices, jeonse prices, and monthly rent prices all showed a higher probability of maintaining a recession period, and among them, the recession period for apartment sales price, and jeonse prices was relatively more likely to last longer. In the case of the expected duration period, the duration of the depression phase of apartment sales prices and jeonse prices was similar, while the duration of the depression phase of apartment monthly rent prices was short and highly volatile. As a cause of volatility, loan interest rates were found to be a determinant.