ABSTRACT

Purpose – We investigate the relationship between economic policy uncertainty (EPU) of the US and China and housing distribution economy in Korea using EPU indexes of two countries and the economic indicators in Korea. Research design, data, and methodology – We use the data such as the Korean housing price stability index (HPSI), housing purchase price index (HPPI), housing lease price index (HLPI), banking stock index (BSI), and consumer price index (CPI) with EPU indexes from January 1999 to December 2017. As an empirical methodology, we select the vector error correction model (VECM) due to the existence of cointegration. Result – As results of the impulse response function, the impact of the US EPU index has initially a negative response on the Korean HPSI, HPPI, and HLPI referring the housing distribution market including the economic variables, BSI, and CPI. Likewise, the impact of index in China has initially a negative response on economic indicators except the BSI in Korea. Conclusions – This study shows that the EPU index of the US has significantly negative relationships on all economic indicators in Korea. In this study, we reveal EPU of the US and China has dynamic impact on housing distribution economy returns in Korea.

KEYWORD

Economy Policy Uncertainty Index, Housing Stability, Housing Distribution Market.

REFERENCES(22)open

  1. [jounal] Alesina, A. / 1994 / Distributive politics and economic growth / Quarterly Journal of Economics 109 (2) : 465 ~ 490

  2. [book] Andre, C. / 2017 / Economic policy uncertainty, U.S. real housing returns and their Volatility: A nonparametric approach

  3. [jounal] Bachmann, R. / 2013 / Uncertainty and economic activity: Evidence from business survey data / American Economic Journal:Macroeconomics 5 (2) : 217 ~ 249

  4. [jounal] Baker, S. R. / 2016 / Measuring economic policy uncertainty / Quarterly Journal of Economics 131 (4) : 1593 ~ 1636

  5. [jounal] Bekaert, G. / 2013 / Risk, uncertainty and monetary policy / Journal of Monetary Economics 60 (7) : 771 ~ 788

  6. [jounal] Born, B. / 2014 / Policy risk and the business cycle / Journal of Monetary Economics 68 (1) : 68 ~ 85

  7. [jounal] Brunnermeier, A. K. / 2008 / Money illusion and housing frenzies / Review of Financial Studies 21 (1) : 135 ~ 180

  8. [jounal] Caldara, D. / 2016 / The macroeconomic impact of financial and uncertainty shocks / European Economic Review 88 (1) : 185 ~ 207

  9. [jounal] Case, K. E. / 2005 / Comparing wealth effects: The stock market versus the Housing market / Journal of Macroeconomics 5 (1) : 1 ~ 32

  10. [jounal] 최차순 / 2015 / 주택유통산업에서의 주택가격과 기대주택가격간의 관계분석 / 유통과학연구 13 (11) : 39 ~ 46

  11. [jounal] Colombo, V. / 2013 / Economic policy uncertainty in the US: Does it matter for the Euro area? / Economics Letters 121 (1) : 39 ~ 42

  12. [jounal] Friedman, M. / 1968 / The role of monetary policy / American Economic Review 58 (1) : 1 ~ 17

  13. [jounal] Granger, C. W. J. / 1980 / Testing for causality: A personal viewpoint / Journal of Economic Dynamics and Control 2 (4) : 329 ~ 352

  14. [jounal] Greenspan, A. / 2004 / Risk and uncertainty in monetary policy / American Economic Review 94 (2) : 33 ~ 40

  15. [jounal] 전지홍 / 2018 / The Impact of Asian Economic Policy Uncertainty : Evidence from Korean Housing Market / The Journal of Asian Finance, Economics and Business 5 (2) : 43 ~ 51

  16. [jounal] Kim, K. / 2004 / Housing and the Korean economy / Journal of Housing Economics 13 (4) : 321 ~ 341

  17. [jounal] 이근영 / 2010 / 국제금융시장 충격이 국내금융시장 변동성에 미치는 영향 / 금융연구 24 (4) : 49 ~ 85

  18. [jounal] Lee, S. / 2018 / Economic Policy Uncertainty in the US:Does It Matter for Korea? / East Asian Economic Review 21 (1) : 29 ~ 54

  19. [jounal] Ngene, G. M. / 2017 / Time-Varying and Spatial Herding Behavior in the US Housing Market: Evidence from Direct Housing Prices / Journal of Real Estate Finance and Economics 54 (4) : 482 ~ 514

  20. [jounal] Rebi, E. / 2014 / Mortgage lending and house prices in Albania-a co-integrated analysis based on VECM / Eastern Journal of European Studies 5 (1) : 79 ~ 98

  21. [jounal] Ping Wang / 2014 / The Value of Reverse Mortgage Loans: Case Study of the Chinese Market / The Journal of Asian Finance, Economics and Business 1 (4) : 5 ~ 13

  22. [jounal] Yu, H. / 2010 / Government housing policies and housing market instability in Korea / Habitat International 34 (2) : 145 ~ 153