IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v57y2021i2p591-609.html
   My bibliography  Save this article

Analyzing Dynamic Connectedness in Korean Housing Markets

Author

Listed:
  • So Jung Hwang
  • Hyunduk Suh

Abstract

This study investigates regional housing market connectedness among the 16 first-tier administrative divisions in Korea and 25 districts in Seoul, the capital city. Time-varying parameter vector autoregressive model is used to capture time-varying nature of Diebold and Yilmaz (2014) connectedness network. Rapid increases in connectedness during the sample period are mostly associated with housing booms rather than downturns. The connectedness cycles for the whole country and for Seoul seem to diverge after the global financial crisis. During the 2006 and 2018 connectedness surge episodes, when housing booms were driven by the Seoul metropolitan area, Seoul and the surrounding Gyeonggi province had a strong influence on the whole country network. However, their impact was much weaker in 2010–2011 when the housing boom arose outside Seoul. The influence of Gangnam-3 districts in Seoul’s connectedness network is low overall, but tends to lead the total connectedness index by a few months.

Suggested Citation

  • So Jung Hwang & Hyunduk Suh, 2021. "Analyzing Dynamic Connectedness in Korean Housing Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(2), pages 591-609, January.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:2:p:591-609
    DOI: 10.1080/1540496X.2019.1649653
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1649653
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1649653?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    2. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    3. Kim, Jinwon, 2013. "Financial repression and housing investment: An analysis of the Korean chonsei," Journal of Housing Economics, Elsevier, vol. 22(4), pages 338-358.
    4. Nikolaos Antonakakis & Ioannis Chatziantoniou & Christos Floros & David Gabauer, 2018. "The dynamic connectedness of UK regional property returns," Urban Studies, Urban Studies Journal Limited, vol. 55(14), pages 3110-3134, November.
    5. Canova, Fabio, 1993. "Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 233-261.
    6. Bing Zhu & Roland Füss & Nico B. Rottke, 2013. "Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(1), pages 29-64, March.
    7. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
    8. Kim, Kyung-Hwan, 2004. "Housing and the Korean economy," Journal of Housing Economics, Elsevier, vol. 13(4), pages 321-341, December.
    9. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    10. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
    11. Ms. Deniz O Igan & Mr. Heedon Kang, 2011. "Do Loan-To-Value and Debt-To-Income Limits Work? Evidence From Korea," IMF Working Papers 2011/297, International Monetary Fund.
    12. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    13. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    14. Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    15. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
    16. Koop, Gary & Korobilis, Dimitris, 2013. "Large time-varying parameter VARs," Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
    17. Hong Miao & Sanjay Ramchander & Marc W. Simpson, 2011. "Return and Volatility Transmission in U.S. Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(4), pages 701-741, December.
    18. Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
    19. Hahn Shik Lee & Woo Suk Lee, 2018. "Housing market volatility connectedness among G7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 25(3), pages 146-151, February.
    20. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
    21. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
    22. Shiller, Robert J., 1998. "Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks," OUP Catalogue, Oxford University Press, number 9780198294184, Decembrie.
    23. Kilian,Lutz & Lütkepohl,Helmut, 2018. "Structural Vector Autoregressive Analysis," Cambridge Books, Cambridge University Press, number 9781107196575.
    24. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aviral Kumar Tiwari & Christophe André & Rangan Gupta, 2020. "Spillovers between US real estate and financial assets in time and frequency domains," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 38(6), pages 525-537, April.
    2. Lu, Yunzhi & Li, Jie & Yang, Haisheng, 2021. "Time-varying inter-urban housing price spillovers in China: Causes and consequences," Journal of Asian Economics, Elsevier, vol. 77(C).
    3. Lee, Hahn Shik & Lee, Woo Suk, 2019. "Cross-regional connectedness in the Korean housing market," Journal of Housing Economics, Elsevier, vol. 46(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lee, Hahn Shik & Lee, Woo Suk, 2019. "Cross-regional connectedness in the Korean housing market," Journal of Housing Economics, Elsevier, vol. 46(C).
    2. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
    3. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.
    4. Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).
    5. Kanazawa, Nobuyuki, 2020. "Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks," Journal of Macroeconomics, Elsevier, vol. 64(C).
    6. Mahdi Ghaemi Asl & Oluwasegun B. Adekoya & Muhammad Mahdi Rashidi, 2023. "Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms," Annals of Operations Research, Springer, vol. 327(1), pages 435-464, August.
    7. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    8. Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018. "Estimating global bank network connectedness," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
    9. Tsai, I-Chun, 2022. "Changes in social behavior and impacts of the COVID-19 pandemic on regional housing markets: Independence and risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
    10. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    11. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    12. Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
    13. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    14. Chatziantoniou, Ioannis & Gabauer, David, 2021. "EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 1-14.
    15. I-Chun Tsai & Che-Chun Lin, 2019. "Variations and Influences of Connectedness among US Housing Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 27-58.
    16. repec:ire:issued:v:22:n:01:2019:p:27-59 is not listed on IDEAS
    17. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    18. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    19. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    20. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
    21. Feng, Huiqun & Zhang, Jun & Guo, Na, 2023. "Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors," International Review of Financial Analysis, Elsevier, vol. 89(C).

    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:57:y:2021:i:2:p:591-609. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.