Pub Date : 2023-08-31DOI: 10.54091/krepa.2023.24.2.14
Jae-Hun Jung, J. Jun
This study conducted an empirical analysis by applying a VAR(Vector Auto Regressive) model to analyze the factors affecting land sale risk. As a result of the analysis, the variables that affect the successful bid price rate are identified as housing construction permit records, the real estate sentiment index, the current status of unsold homes, and interest rates. Specifically, in the case of housing construction permits, it initially has a negative(-) effect on the successful bid price rate, and then shows a positive(+) effect after a 3-month lag. The real estate sentiment index initially has a negative(-) effect on the successful bid price rate, and then has a positive(+) effect. As a result of the impact response function analysis, the influence is the largest in the negative(-) direction in the second period, the influence is in the opposite direction from the third period, and the influence converges to zero after the ninth period. In the case of unsold housing, it has a negative(-) effect on the successful bid price rate. As the number of unsold pre-sale houses increased, the successful bid price rate decreases, and the risk of land sale increases. Lastly, in the case of interest rates, it has a negative(-) effect on the successful bid price rate. What is unusual is that the effect of the loan interest rate on the successful bid price rate is greatest in the 5th period, and the direction is consistently confirmed as a negative(-) effect. It is interpreted that the impact of interest rates on the sale risk of land is consistently large.
{"title":"Study on Factors Influencing Public Land Sales Risk: Focused on the Ratio of supply to announcement in the public land development project","authors":"Jae-Hun Jung, J. Jun","doi":"10.54091/krepa.2023.24.2.14","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.2.14","url":null,"abstract":"This study conducted an empirical analysis by applying a VAR(Vector Auto Regressive) model to analyze the factors affecting land sale risk. As a result of the analysis, the variables that affect the successful bid price rate are identified as housing construction permit records, the real estate sentiment index, the current status of unsold homes, and interest rates. Specifically, in the case of housing construction permits, it initially has a negative(-) effect on the successful bid price rate, and then shows a positive(+) effect after a 3-month lag. The real estate sentiment index initially has a negative(-) effect on the successful bid price rate, and then has a positive(+) effect. As a result of the impact response function analysis, the influence is the largest in the negative(-) direction in the second period, the influence is in the opposite direction from the third period, and the influence converges to zero after the ninth period. In the case of unsold housing, it has a negative(-) effect on the successful bid price rate. As the number of unsold pre-sale houses increased, the successful bid price rate decreases, and the risk of land sale increases. Lastly, in the case of interest rates, it has a negative(-) effect on the successful bid price rate. What is unusual is that the effect of the loan interest rate on the successful bid price rate is greatest in the 5th period, and the direction is consistently confirmed as a negative(-) effect. It is interpreted that the impact of interest rates on the sale risk of land is consistently large.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133996598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-31DOI: 10.54091/krepa.2023.24.2.1
S. You
This paper discusses risk management in construction loan guarantee. Developers tend to finance their construction cost with loans and most lenders in Korea ask developers to provide them with a guarantee letter. The guarantee provider needs to implement and enhance skills of risk management associated with development projects. This paper classifies risks associated with development cost from the perspective of guarantee provider and the paper examines strategies of risk management associated in particular with construction cost.
{"title":"Construction Loan Guarantee and Construction Cost Risk Management","authors":"S. You","doi":"10.54091/krepa.2023.24.2.1","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.2.1","url":null,"abstract":"This paper discusses risk management in construction loan guarantee. Developers tend to finance their construction cost with loans and most lenders in Korea ask developers to provide them with a guarantee letter. The guarantee provider needs to implement and enhance skills of risk management associated with development projects. This paper classifies risks associated with development cost from the perspective of guarantee provider and the paper examines strategies of risk management associated in particular with construction cost.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130313098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-31DOI: 10.54091/krepa.2023.24.2.54
Chunil Kim, K. Ji, Jin-soo Ko
As the government’s public rental housing policy has mainly focused on supply, performance measures for public housing policies has also been limited to the supply side. In particular, while different housing types integrated into a single, united system, the use of existing stock is still unsatisfactory. Currently, performance indicators related to public housing show some limitations in conducting a balanced performance analysis for the integrated public housing system. Given the need for quantitative and qualitative improvements, it is imperative to advance the performance analysis standards via an accurate diagnosis of the current situation. Accordingly, the purpose of this study is twofold: (1) to establish systematic and comprehensive performance analysis standards; and (2) to derive performance evaluation indicators through an extensive literature review. New performance indicators were developed for the planning sector, new supply sector, and management sector with suggesting the corresponding measurement data.
{"title":"Establishing Performance Measures for Public Housing Policies: Developing The Performance Indicators","authors":"Chunil Kim, K. Ji, Jin-soo Ko","doi":"10.54091/krepa.2023.24.2.54","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.2.54","url":null,"abstract":"As the government’s public rental housing policy has mainly focused on supply, performance measures for public housing policies has also been limited to the supply side. In particular, while different housing types integrated into a single, united system, the use of existing stock is still unsatisfactory. Currently, performance indicators related to public housing show some limitations in conducting a balanced performance analysis for the integrated public housing system. Given the need for quantitative and qualitative improvements, it is imperative to advance the performance analysis standards via an accurate diagnosis of the current situation. Accordingly, the purpose of this study is twofold: (1) to establish systematic and comprehensive performance analysis standards; and (2) to derive performance evaluation indicators through an extensive literature review. New performance indicators were developed for the planning sector, new supply sector, and management sector with suggesting the corresponding measurement data.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133112243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.108
Jae-eul Jung, Youngmin Lee
{"title":"A Study on the Analysis and Utilization Strategies of Residential Conversion Business: Focusing on Residential Conversion of Office Building in Seoul","authors":"Jae-eul Jung, Youngmin Lee","doi":"10.54091/krepa.2023.24.1.108","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.108","url":null,"abstract":"<jats:p />","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130438001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.86
Myeong-Hwan Cho, Dong-Ha Park, J. Jun
This paper shows a appraising model based on real option theory with CMOs, Multi-Layered MBS, that involves prepayment risk when housing prices fluctuate with uncertainty, analyzes and considers the results, and proposes related implications. And, the result is as follows. 1) As the strike price(the sale price of the house) of an prepayment option increases, the occurrence of the prepayment delays and the value of the prepayment risk reduces. 2) As the volatility of housing prices increase, the prepayment period advances, and the value of the prepayment risk increases. 3) The lower the loan interest rate, the lower the prepayment risk, because this paper assumes that prepayment is caused by housing prices’ uncertainty. Finally, the issuer of MBS needs to set up a strategy to reasonably respond to the prepayment risk within the level tolerated by the capital market by adjusting the CMOs’ price based on changes in housing prices and market interest rates.
{"title":"Appraisal of Multi-Layered MBS with Real Option Analysis: Focused on Prepayment Risk","authors":"Myeong-Hwan Cho, Dong-Ha Park, J. Jun","doi":"10.54091/krepa.2023.24.1.86","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.86","url":null,"abstract":"This paper shows a appraising model based on real option theory with CMOs, Multi-Layered MBS, that involves prepayment risk when housing prices fluctuate with uncertainty, analyzes and considers the results, and proposes related implications. And, the result is as follows. 1) As the strike price(the sale price of the house) of an prepayment option increases, the occurrence of the prepayment delays and the value of the prepayment risk reduces. 2) As the volatility of housing prices increase, the prepayment period advances, and the value of the prepayment risk increases. 3) The lower the loan interest rate, the lower the prepayment risk, because this paper assumes that prepayment is caused by housing prices’ uncertainty. Finally, the issuer of MBS needs to set up a strategy to reasonably respond to the prepayment risk within the level tolerated by the capital market by adjusting the CMOs’ price based on changes in housing prices and market interest rates.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116716120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.68
Hyeonjeong Kang, Choongik Choi
This paper aims to analyze key issues and characteristics of environmental policy over time through big data-based analysis on climate change and natural disasters. To achieve this, articles from 1900 to August 2022 are extracted and text mining analysis is conducted. Methodologically, text mining is a tool for extracting useful information from electronic (Documents Text Data) such as web pages, and is used in various ways such as extracting major (Keywords Word Cloud), network analysis, and topic analysis. In this study, it is analyzed through word cloud analysis and simultaneous network analysis through simple frequency analysis. The results show that the frequency of natural disasters caused by climate change has been highly increasing, and the damages are caused mainly by localized torrential rains. It implies that natural disaster damage caused by climate change are diversifying, so that countermeasures should be prepared to reduce future damages related to climate change.
{"title":"The Big Data-Based Analysis on Climate Change and Natural Disaster and Its Implications","authors":"Hyeonjeong Kang, Choongik Choi","doi":"10.54091/krepa.2023.24.1.68","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.68","url":null,"abstract":"This paper aims to analyze key issues and characteristics of environmental policy over time through big data-based analysis on climate change and natural disasters. To achieve this, articles from 1900 to August 2022 are extracted and text mining analysis is conducted. Methodologically, text mining is a tool for extracting useful information from electronic (Documents Text Data) such as web pages, and is used in various ways such as extracting major (Keywords Word Cloud), network analysis, and topic analysis. In this study, it is analyzed through word cloud analysis and simultaneous network analysis through simple frequency analysis. The results show that the frequency of natural disasters caused by climate change has been highly increasing, and the damages are caused mainly by localized torrential rains. It implies that natural disaster damage caused by climate change are diversifying, so that countermeasures should be prepared to reduce future damages related to climate change.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131020831","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.44
Mansik Yoon, J. Won, Sang Jin Kim
This study examines the theoretical assumptions and previous studies on the factors affecting the conversion rate for Jeonse to Monthly Payment and conducts an empirical analysis of the determinants of the conversion rate for Jeonse to Monthly Payment. The study covers three regions in Seoul of Gangnam (Seocho-gu, Gangnam-gu, and Songpa-gu) and three regions in Seoul (Gangdong-gu, Yangcheon-gu, and Nowon-gu), which are the most active areas for apartment sales, rental, and leasing transactions. In order to empirically analyze the determinants of the conversion rate for Jeonse to Monthly Payment, this study uses the SVAR model based on theoretical constraints between variables, a methodology developed by Lee (2008). The main influencing factors of the conversion rate for Jeonse to Monthly Payment are the 3-year government bond yield, the conversion rate for Jeonse to Monthly Paymentby region, real estate market consumer sentiment index, and mortgage loan amount. The variables except for the real estate market sentiment index had an impact on the sublease conversion rate. By region, the effect was different, with the conversion rate for Jeonse to Monthly Payment in 3 regions (Gangdong-gu, Yangcheon-gu, and Nowon-gu) responding more strongly than in 3 regions (Gangnam (Seocho-gu, Gangnam-gu, and Songpa-gu).
{"title":"Analyzing Factors Affecting the Conversion Rate for Jeonse to Monthly Payment based on the actual price of Apartments: Focusing on Gangnam 3 districts and 3 non-Gangnam districts","authors":"Mansik Yoon, J. Won, Sang Jin Kim","doi":"10.54091/krepa.2023.24.1.44","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.44","url":null,"abstract":"This study examines the theoretical assumptions and previous studies on the factors affecting the conversion rate for Jeonse to Monthly Payment and conducts an empirical analysis of the determinants of the conversion rate for Jeonse to Monthly Payment. The study covers three regions in Seoul of Gangnam (Seocho-gu, Gangnam-gu, and Songpa-gu) and three regions in Seoul (Gangdong-gu, Yangcheon-gu, and Nowon-gu), which are the most active areas for apartment sales, rental, and leasing transactions. In order to empirically analyze the determinants of the conversion rate for Jeonse to Monthly Payment, this study uses the SVAR model based on theoretical constraints between variables, a methodology developed by Lee (2008). The main influencing factors of the conversion rate for Jeonse to Monthly Payment are the 3-year government bond yield, the conversion rate for Jeonse to Monthly Paymentby region, real estate market consumer sentiment index, and mortgage loan amount. The variables except for the real estate market sentiment index had an impact on the sublease conversion rate. By region, the effect was different, with the conversion rate for Jeonse to Monthly Payment in 3 regions (Gangdong-gu, Yangcheon-gu, and Nowon-gu) responding more strongly than in 3 regions (Gangnam (Seocho-gu, Gangnam-gu, and Songpa-gu).","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125954944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.1
Jong-Soo Lee, Sun-Duck Kim
The problem of increasing vacant houses in Korea is more and more severe every year. In order to solve the problem of increasing vacant houses, the Korean government is carrying forward various projects. However, it is difficult due to various reasons to expect that such projects would be effective. For an vacant house improvement project, huge public funds and administrative efforts should be used. Hence, it is important to select the vacant houses for improvement in consideration of the fitness in public purpose and effects of the project. Nevertheless, it is still to see the guidelines for selection of the vacant houses for improvement as well as the relevant researches. Thus, this study used the Fuzzy-ANP to select the indicatives that should be examined first for selection of the houses for improvement and thereby, determined their relative importance, and thereupon, suggested some guidelines for selection of the vacant houses for improvement. As a result, it was found necessary to select the vacant houses for improvement in consideration of the fitness in public purpose, the risk of being collapsed or outbreak of fire, and the easy improvement not opposed by the owners. Summing up the results of the study, the following policy suggestions are put forward. First, central and local administrations should check the safety of the vacant houses periodically. Secondly, a P.R program should be operated continuously for the owners of the vacant houses regarding the risks and relevant support projects. Lastly, the government and the people should join efforts for a periodic monitoring or managing & checking of the vacant houses, beginning from the local communities featuring their members’ stronger attachment.
{"title":"A Study on the Criteria for Selection of the Vacant Houses for Improvement Using the Fuzzy-ANP","authors":"Jong-Soo Lee, Sun-Duck Kim","doi":"10.54091/krepa.2023.24.1.1","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.1","url":null,"abstract":"The problem of increasing vacant houses in Korea is more and more severe every year. In order to solve the problem of increasing vacant houses, the Korean government is carrying forward various projects. However, it is difficult due to various reasons to expect that such projects would be effective. For an vacant house improvement project, huge public funds and administrative efforts should be used. Hence, it is important to select the vacant houses for improvement in consideration of the fitness in public purpose and effects of the project. Nevertheless, it is still to see the guidelines for selection of the vacant houses for improvement as well as the relevant researches. Thus, this study used the Fuzzy-ANP to select the indicatives that should be examined first for selection of the houses for improvement and thereby, determined their relative importance, and thereupon, suggested some guidelines for selection of the vacant houses for improvement. As a result, it was found necessary to select the vacant houses for improvement in consideration of the fitness in public purpose, the risk of being collapsed or outbreak of fire, and the easy improvement not opposed by the owners. Summing up the results of the study, the following policy suggestions are put forward. First, central and local administrations should check the safety of the vacant houses periodically. Secondly, a P.R program should be operated continuously for the owners of the vacant houses regarding the risks and relevant support projects. Lastly, the government and the people should join efforts for a periodic monitoring or managing & checking of the vacant houses, beginning from the local communities featuring their members’ stronger attachment.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133414085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-30DOI: 10.54091/krepa.2023.24.1.22
K. Lee, Jae-Hun Jung, J. Jun
In this paper, the excess ROI(Return on Investment) and SCL(Security Characteristic Line) ofthe Seoul office market by region are driven based on the ROI of the Seoul office market and CD(91days) rate of return(quarterly), then with this, idiosyncratic risk is extracted, and the idiosyncraticrisk-excess rate of return on investment relationship in the office market by district is analyzed. Finally,the results driven from this study is as follows; 1) Regarding the idiosyncratic risk-excess ROIrelationship by district in Seoul, the CBD shows a low risk-low return tendency, and the YBD showsa high risk-high return. Moreover, in the case of total risk-return, the risk of the ETC is higher thanthat of the GBD, but the idiosyncratic risk is lower than that of the GBD, showing different risk-returncharacteristics depending on the type of risk. 2) As to the idiosyncratic risk-excess investment returnrelationship by district in Seoul, although all districts are markets affected by idiosyncratic risk, thegrowth rate in excess return compared to idiosyncratic risk are different. 3) The excess return oninvestment/idiosyncratic risk by district differs according to the growth rate in office buildings’ salesprice, and no change in the excess return on investment per idiosyncratic risk due to the increase inNOI could be confirmed in all district but YBD. Finally, this paper is meaningful in that it verifies theexistence of idiosyncratic risk in the Seoul office market and the statistical significance betweenidiosyncratic risk-return on investment, and derives related implications through a comprehensiveanalysis relevant to the market situation.
{"title":"Relationship between Idiosyncratic Risk and Total Rate of Return: Focused on Seoul Office Market","authors":"K. Lee, Jae-Hun Jung, J. Jun","doi":"10.54091/krepa.2023.24.1.22","DOIUrl":"https://doi.org/10.54091/krepa.2023.24.1.22","url":null,"abstract":"In this paper, the excess ROI(Return on Investment) and SCL(Security Characteristic Line) ofthe Seoul office market by region are driven based on the ROI of the Seoul office market and CD(91days) rate of return(quarterly), then with this, idiosyncratic risk is extracted, and the idiosyncraticrisk-excess rate of return on investment relationship in the office market by district is analyzed. Finally,the results driven from this study is as follows; 1) Regarding the idiosyncratic risk-excess ROIrelationship by district in Seoul, the CBD shows a low risk-low return tendency, and the YBD showsa high risk-high return. Moreover, in the case of total risk-return, the risk of the ETC is higher thanthat of the GBD, but the idiosyncratic risk is lower than that of the GBD, showing different risk-returncharacteristics depending on the type of risk. 2) As to the idiosyncratic risk-excess investment returnrelationship by district in Seoul, although all districts are markets affected by idiosyncratic risk, thegrowth rate in excess return compared to idiosyncratic risk are different. 3) The excess return oninvestment/idiosyncratic risk by district differs according to the growth rate in office buildings’ salesprice, and no change in the excess return on investment per idiosyncratic risk due to the increase inNOI could be confirmed in all district but YBD. Finally, this paper is meaningful in that it verifies theexistence of idiosyncratic risk in the Seoul office market and the statistical significance betweenidiosyncratic risk-return on investment, and derives related implications through a comprehensiveanalysis relevant to the market situation.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133907116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-11-30DOI: 10.54091/krepa.2022.23.3.2
Chasoon Choi
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.
{"title":"An Empirical Study on the Effect of Monetary Policy Uncertainty Impact on Volatility of Land Price Using a Regime Switching Regression Model","authors":"Chasoon Choi","doi":"10.54091/krepa.2022.23.3.2","DOIUrl":"https://doi.org/10.54091/krepa.2022.23.3.2","url":null,"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.","PeriodicalId":193300,"journal":{"name":"Korea Real Estate Policy Association","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132981101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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