토지가격의 변동성에 관한 연구

This study empirically analyzed time-varying volatility and volatility spillover effects among region(Gangnam, Seocho, Songpa, Gangdong, Kangbuk, Yongsan-gu) using the monthly land price index of Gangnam, Seocho, Songpa, Gangdong, Kangbuk, Yongsan-gu from January 2003 to April 2019. The empirical results are as follows; Firstly, we found that EGARCH model is superior to GARCH model in Gangnam. Secondly, Price spillover effect from Gangnam-gu to Seocho, Songpa, Gangbuk, and Yongsan-gu was found to be below 10% significance level. Third, when we estimate volatility spillover effects by using EGARCH model, volatility spillover effects existed from Gangnam to Seocho, Songpa, Gangdong, Kangbuk, Yongsan within Korean land sales market. Also, all regions except Gangbuk-gu showed the asymmetric effect and leverage effect at 1% significance level. In order to stabilize the land market, government is nessary to establish various policy to continuously monitor the volatility of the land market in Gangnam area.