The paper analyzes how the changes of macro-economic variables including
interest rate, price level, stock price, industrial production and foreign
exchange rate dynamically affect to the Korean housing price/housing lease
price changes. For this, we considered the leverage effect of housing lease
during the purchasing of housing. Then we conducted the empirical analyses
for the four separate periods; before the Asian financial crisis, after Asian
financial crisis, after global financial crisis and after Asian financial crisis until
2011. According to the OLS and TSLS estimation results for the housing price
return, the interest rate showed negative effect during before and after Asian
financial crisis; however the OLS and TSLS estimation results showed the
positive effect for the housing lease price change during the same period.
Further inflation showed the statistical significance for housing price and
housing lease price after global financial crisis, which probably reflects global
quantitative easiness of monetary policy. Finally, in a VAR model, we analyzed
the dynamic impulse effects of macroeconomic variables to the co-integration
disequilibrium error of housing price/housing lease price. According to the
impulse-response analyses, these disequilibrium errors were significantly
affected by the inflation, foreign exchange rate and stock price.