글로벌 부동산 버블 위험 진단 및 영향 분석(A Diagnosis of Bubble Risk in the Global Real Estate Sector and Prospective Impacts on Financial Crises)

Real estate prices, which plummeted shortly after the global financial crisis in 2008, have risen sharply to exceed pre-crisis levels, raising concerns about global real estate bubbles. In response, this study diagnoses the bubble risk in the global real estate market and analyzes the impact of real estate bubbles on financial crises and the real economy. In addition, we examine previous bubble-oriented financial crises in the real estate sector and compare them against recent global situations. This study first examines whether a real estate bubble exists in major global economies, based on two criteria. The first is general indicators such as price to rent ratio (PRR), price to income ratio (PIR), and household credit growth rates, and the other is cointegration tests between real estate prices and fundamentals, and time series analyses like the generalized sup ADF (GSADF) method used by Phillips, Wu, and Yu (2011), and Phillips, Shi, and Yu (2015). The results of the empirical analysis indicate that among the countries where housing prices rose by more than 6.6% in 2016, or those in which housing prices continuously rose by more than 3.6% in the three years from 2014 to 2016, countries with high probability of bubbles forming in their real estate markets are China, Colombia, Hungary, Latvia, Turkey and Slovakia.