전세가격에 포함된 주택가격 변동 정보에 대한 연구

This study investigates the relation between volatility of housing and Chonsei prices. According to option pricing theory, Chonsei prices should be inversely related to the volatility of housing prices. Therefore, it is conjectured that future housing prices should be more volatile when Chonsei prices are low, assuming an efficient market. To test the hypothesis, time series data for housing and Chonsei prices in Seoul and other metropolises were analyzed. The results are as follows. First, an inverse relation between Chonsei prices and the volatility of future housing prices was observed for Seoul during the 2007-2008, global financial crisis. However, this inverse relationship was not observed in other metropolises. Second, the implied volatility from Chonsei prices doesn’t predict the future volatility of housing prices. Third, according to cross-sectional analysis, the volatility of future housing prices is inversely related to Chonsei prices.