{"title":"Analysis on the Spillover Effect in the Korean Housing Market: With\u0000 Quantile Spillover Index","authors":"Hee-un Ko, S. Kang","doi":"10.52344/hfr.2023.7.1.131","DOIUrl":"https://doi.org/10.52344/hfr.2023.7.1.131","url":null,"abstract":"This paper investigates the regional spillover effect in the Korean housing market, using the spillover Index approach base on the quantile VAR Framework. In order to analyze the spillover effect by economic conditions, the quantile spillover Index was set by dividing the housing market into three categories ; a normal period(quantile q=0.5), a boom period(quantile q=0.95), and a bust period(quantile q=0.05). The results of the empirical analysis are as follows; first, the total spillover effect is greater during a boom period than a bust period, as the effect is amplified by speculative demands in a heated market. Second, Gangnam region acts as a representative ‘spillover transmitter’ in the Korean regional housing market and its price spillover effect is intensified during a boom period, indicating the Gangnam region leads the housing price changes in the country. In addition, this study maps a spillover effect network to analyze a price change path and propose measures to contain the risk of spillover effect.","PeriodicalId":199853,"journal":{"name":"Housing Finance Research","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114597520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}