Special Edition

.

.

, ,

. . (2012)
, ,
, .

.

. . ,

.
. , < 1> .

< 1>

GDP

* (2012) .

04 Real Estate Focus

 1 |

< 2>

Muellbauer(2007)
. (LTV)
, .
.


.
.
.


. < 2> 1.
.
,
. DSGE
(Parameter)
.
1). DSGE CES (Constant Elasticity
Substitution)
DSGE2) .
. ,
, GDP . .

1) IacovielloNeri(2010) DSGE . ,
.
2) (DSGE ) . , LTV , ,
.

2013 September Vol.64 05


Special Edition

< 3>

< 3> 70%

.
, , 50% 1%
0.03% .
. 70% 1%
0.2%
.
.

2.
2) ,
DSGE
LTV
, LTV
50%, 60%, 70% .
.

,
LTV . < 5>
.
()
(Financial Accelerator)
.

< 5> , LTV
. < 4>
1%
.
.
LTV 50% 1%
1) 1.84% . LTV 70%
50% 1% 2.6% .

06 Real Estate Focus

 1 |

< 4>

L T V

< 5>
Cumulative Aggregate Consumption Loss Facing Tightening Monetary Policy
-1.5
-1.84
-2 -2.04
-2.5 -2.6
Bold Circled Lines : Ltv = 0.5
-3 Dotted Lines : Ltv = 0.6
Bold squred Lines : Ltv = 0.7
-3.5
-4
-4.25
-4.5 -4.49

-5
-5.39
-5.5
-6
0 1 2 3 4 5 6 7 8

Aggregate Consumption Response

3. (VAR Model) .

.
. , (Granger Causality)
(VAR Model) .
< 1> .
, , GDP . VAR < 1>

. .
, , GDP

2013 September Vol.64 07


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< 1>
: 1991 Q1 ~ 2011 Q1 (lag : 4)
Obs F-Statistic Prob.
* 77 3.04563 0.0227
* 3.56024 0.0107
76 1.50332 0.2112
* 4.63774 0.0023
GDP * 77 8.75878 9.E-06
GDP 1.16642 0.3334
76 2.33778 0.0641
* 3.32451 0.0152
GDP * 77 4.28424 0.0038
GDP 1.50149 0.2115
* 5%

.
(reduced form) . VAR
.
, VAR .

. . ,
, , , GDP GDP
. . 1
1.25%p ,
1) VAR : 0.07% GDP 0.42% . <
6> .
VAR VAR

< 6>
GDP
2 3 1.5

2 1
1
0.5
1
0 0
0
-0.5
-1
-1 -1

-2 -2 -1.5
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

08 Real Estate Focus

 1 |

, GDP ,
. GDP
1 .
1.16%p .
. GDP
. < 7> . < 8>
. .

< 7> GDP

GDP
1.5 3 2

1 2
1
0.5
1
0 0
0
-0.5
-1
-1 -1

-1.5 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

< 8> 3)
Response to User Specified Innovations ?2 S.E.

Response of CALL to Shock1 Response of Q to Shock1

1.0 2

1
0.5

0
0.0
-1

-0.5
-2

-1.0 -3
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
Response of INF to Shock1 Response of GAP_Y to Shock1
.3 1.2

.2 0.8
.1
0.4
.0
0.0
-.1

-.2 -0.4

-.3 -0.8
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

3) Call, Q, INF, GAP_Y , , . 11 , 12 , 21

22 GDP .

2013 September Vol.64 09


Special Edition

2) , < 3> GDP

. GDP

. .

< 2>

, 16.6%

. GDP

2.2% , GDP .

7 . < 4>

. .

< 2>
GDP
1 1.043165 0.524682 99.47532 0 0
2 1.929257 7.756368 89.31882 0.243036 2.681775
3 2.675688 13.727150 83.63931 0.222025 2.411508
4 3.202098 15.876360 81.54997 0.445411 2.128260
5 3.497139 16.228500 81.21009 0.599089 1.962316
6 3.634653 16.343050 80.99996 0.701399 1.955595
7 3.683559 16.610340 80.58538 0.757732 2.046548
8 3.693403 16.802030 80.26944 0.776526 2.152008
9 3.698483 16.781530 80.23091 0.775396 2.212169
10 3.715836 16.651380 80.36101 0.771425 2.216190

< 3> GDP

Period S.E. CALL Q INF GAP_Y
1 1.300070 10.72058 8.265707 0.875169 80.13854
2 1.911616 20.48220 9.820726 1.272960 68.42411
3 2.233620 23.50086 11.001260 2.221416 63.27647
4 2.335898 24.00215 11.742250 2.810380 61.44522
5 2.345762 24.07754 11.801660 2.802170 61.31863
6 2.352069 23.95012 12.136170 2.818374 61.09533
7 2.394171 23.39062 14.204100 2.740343 59.66493
8 2.469013 22.85437 17.558000 2.586003 57.00162
9 2.546050 22.58459 20.745840 2.437566 54.23200
10 2.601626 22.39432 23.001770 2.334594 52.26932

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< 4>
GDP
1 1.256395 100 0 0 0
2 1.949676 89.85277 2.409714 1.242768 6.494752
3 2.313827 68.87070 5.502775 3.692468 21.934060
4 2.647790 52.60691 8.377580 5.419032 33.596480
5 2.926901 43.07707 11.2335600 5.988259 39.701110
6 3.159655 37.64049 13.6414300 6.059340 42.658740
7 3.340778 34.35792 14.8407600 6.191551 44.609770
8 3.464931 32.32800 14.9286600 6.474155 46.269190
9 3.550864 31.28468 14.4789000 6.726919 47.509500
10 3.623210 31.02243 13.9126500 6.888066 48.176860

< 4> , ,
GDP . . ,
.
. LTV

.
.
LTV
.
LTV LTV (LTV )
. LTV (Housing Affordability)
, ,
, .
.
DSGE LTV
, .
. LTV
LTV
. LTV 50% .
1% LTV
1.84% 2.8% . .
LTV 70% 1% < 9> LTV DTI
2.6% . LTV .

2013 September Vol.64 11


Special Edition

< 9> DTI LTV

30

25 LTV DTI
20

15

10

-5

-10
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
,
: KDI, (2012),

LTV DTI
2012
. LTV . LTV DTI
, DTI
2007 . DTI
LTV .
. DTI LTV
. LTV
DTI .
. .
LTV
. ,
.

1. LTV DTI
2. LTV
.


. .
, LTV
. LTV
, LTV ,
. . LTV
LTV 50%, DTI 25% , LTV

12 Real Estate Focus

 1 |

. LTV
.

<>

,
, , Vol 13-2,
, 2012. 12.
,
, 2012-01, .
2012. 12.

, 2012.
, (2012 2/4
), 1 2, 2012.
IIacoviello, M. and Neri, House prices, borrowing
constraints and monetary policy in the business
cycle, American Economic Review, 2010.
Muellbauer, John, Housing, Credit and Consumer
Expenditure, working paper, Oxford University, 2007.

2013 September Vol.64 13