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This paper compares the wealth effects of housing prices and stock prices in Korea, using vector error correction model(VECM). The model is comprised of production, consumption, interest rates, and asset prices. Housing and equity prices, respectively, are used as asset prices in the model. Data covers the period of Mar. 1991 to Dec. 2008. The findings are as follows: Firstly, both asset prices shocks have positive wealth effects. Secondly, housing shocks have a much greater impact than equity shocks. Thirdly, wealth effects get smaller when the period of the foreign exchange crisis and the financial crisis are excluded from the data.


This paper compares the wealth effects of housing prices and stock prices in Korea, using vector error correction model(VECM). The model is comprised of production, consumption, interest rates, and asset prices. Housing and equity prices, respectively, are used as asset prices in the model. Data covers the period of Mar. 1991 to Dec. 2008. The findings are as follows: Firstly, both asset prices shocks have positive wealth effects. Secondly, housing shocks have a much greater impact than equity shocks. Thirdly, wealth effects get smaller when the period of the foreign exchange crisis and the financial crisis are excluded from the data.