1. () 2012-01 2012 () korea development institute ISBN 978-89-8063-666-2 ISBN 978-89-8063-665-5() _, ()_ 2012-01.indd 1 2012.10.4 11:29:38 AM

2. () _, ()_ 2012-01.indd 2 2012.10.4 11:29:38 AM 3. () 2012-01 4. , . 1990 2000 , , , , . (benign neglect) , . , . , , . , , 5. . , KDI 1 . 16 6 , . (1) . (2~5) , , , , . 1990 , , . (6~9) 2000 . , , , , , LTVDTI . (10 ~12) , PF , . (13~15) . , , 6. . VI(16) , . , . . . KDI (KDI ) KDI , , KDI , , Gabriel Lee Regensburg . KDI , KDI , Tyler Yang IFE Group , Hans Joachim Dbel Finpolconsult.de . , Min Hwang George Washington , Chin-Oh Chang National Chengchi . , , . . 7. , , , , . , , , , . , . . 2012 6 8. 1 () 3 1 3 2 11 1. 11 2. 16 3 20 1. 20 2. 22 3. 25 4. 26 5. 28 30 9. 2 () 35 1 35 2 37 1. 37 2. 39 3. 40 4. 43 3 51 1. 51 2. 54 3. 55 4 61 1. 61 2. 63 3. 69 4. 69 5 71 75 [] 84 3 : () 89 1 89 10. 2 91 3 93 4 : 96 5 GDP : 98 1. GDP 98 2. GDP 101 3. GDP 104 4. GDP : 108 5. GDP 111 6 112 7 : 115 117 4 () 120 1 120 2 - 122 3 126 4 132 1. 133 2. 141 5 147 1. 147 2. ( ) 151 3. Credit Condition Index 155 11. 4. 160 6 162 165 5 : , () (Victor DorofeenkoGabriel S. Lee Kevin D. Salyer) 166 1 166 2 : 171 1. 171 2. 171 3. 173 4. LTV 175 3 : , 175 1. : 176 2. 180 3. 185 4. 185 4 186 1. 186 2. (Dynamics) 193 5 199 201 12. 6 : () 207 1 207 2 211 1. 211 2. 215 3 220 1. 220 2. 222 3. 224 4. 227 5. 230 6. : 233 4 233 1. 233 2. CCI 237 3. 241 5 243 249 [] 254 7 () 258 1 258 13. 1. 259 2. 261 3. VAR 264 4. 268 2 268 1. 270 2. 271 3. 273 4. 274 5. 275 6. 275 7. 276 3 279 1. 279 2. 280 3. (LTV) 282 4 : 286 1. 286 2. 287 290 [] 293 8 : (Tyler T. Yang Jessie Y. Zhang) 298 1 298 14. 2 300 1. 300 2. 304 3. : 306 3 307 1. 307 2. 315 4 319 1. 319 2. (QRM) 320 3. 327 4. 334 5 337 340 9 : , (Hans-Joachim Dbel) 342 1 342 1. , 342 2. 344 3. 344 2 , 346 1. 346 2. 353 3. 359 4. 361 15. 5. 372 3 377 1. 377 2. 384 3. 385 4 390 393 10 () 3 1 3 2 PF 5 1. PF 5 2. PF 6 3. PF 13 4. PF : AHP 18 3 23 1. 23 2. 25 3. 26 16. 4. 32 4 48 50 [] 52 11 : 2000 (Min Hwang) 54 1 54 2 56 3 1980 59 1. 59 2. 61 4 63 5 64 1. 65 2. 68 6 69 1. 71 2. 72 7 75 1. 75 2. 78 3. 82 8 92 1. 93 2. ( ) 94 17. 9 95 97 12 : (Chin-Oh Chang Ming-Chi Chen) 100 1 100 2 103 1. (1972~74) 103 2. (1978~80) 104 3. (1987~89) 105 4. (2004~11) 105 3 106 1. 106 2. 108 3. 113 4. 113 4 116 1. 116 2. 117 3. 121 5 122 6 128 1. 129 2. 129 7 130 18. 1. 130 2. 132 3. 133 4. 133 8 136 139 13 () 145 1 145 2 147 1. 147 2. 151 3 158 1. 158 2. 159 4 167 1. 167 2. 171 5 179 183 14 : () 186 19. 1 186 2 189 1. 189 2. 191 3 200 1. 200 2. 203 4 229 1. 229 2. 232 5 235 1. 235 2. 239 3. 241 243 15 : () 246 1 246 2 248 1. 248 2. 3 251 3. 253 4. 258 5. 260 3 264 20. 1. 264 2. 271 4 279 1. 279 2. 281 3. 283 5 285 1. 286 2. 290 6 295 1. 295 2. 296 300 16 () 305 1 305 2 307 3 308 1. 308 2. 320 4 329 1. 329 2. 335 21. 5 346 1. 346 2. 348 3. 350 4. 351 5. 353 6. 354 356 ABSTRACT 358 22. () < 1- 1> 12 < 1- 2> (, ) 12 < 1- 3> : 14 < 2- 1> 53 < 2- 2> 58 < 2- 3> 60 < 2- 4> 62 < 2- 5> 63 < 2- 6> (RMSE) 69 < 2- 7> 10% 70 < 3- 1> GDP, , (1986Q1~2011Q2) 94 < 3- 2> 96 < 3- 3> GDP 98 < 3- 4> GDP 112 < 4- 1> 134 < 4- 2> 135 < 4- 3> : 136 < 4- 4> : 139 < 4- 5> 139 23. < 4- 6> 140 < 4- 7> 141 < 4- 8> 141 < 4- 9> 142 < 4-10> CCI 143 < 4-11> 145 < 4-12> 146 < 4-13> 148 < 4-14> 148 < 4-15> 149 < 4-16> 149 < 4-17> // : 150 < 4-18> // : 30 150 < 4-19> : 1 152 < 4-20> : 2 153 < 4-21> : 1 153 < 4-22> : 2 153 < 4-23> : 1 154 < 4-24> : 2 155 < 4-25> : 1 157 < 4-26> : 2 157 < 4-27> : 1 157 < 4-28> : 2 157 < 4-29> : 1 159 < 4-30> : 2 159 < 4-31> : 1 160 24. < 4-32> : 2 160 < 4-33> 161 < 5- 1> 187 < 5- 2> 188 < 5- 3> 199 < 6- 1> 212 < 6- 2> MBS CB 229 < 6- 3> 234 < 6- 4> 1 : CCI ( ) 239 < 6- 5> 2 : CCI ( ) 240 < 6- 6> Panel VAR 241 < 6- 7> DTILTVCB (24 ) 245 < 6-1> 254 < 6-2> (Odd ratio) 256 < 6-3> 257 < 7- 1> 265 < 7- 2> 277 < 7- 3> 278 < 7- 4> 278 < 7- 5> 289 < 8- 1> 308 < 8- 2> 318 25. < 8- 3> 329 < 8- 4> 333 < 9- 1> 352 < 9- 2> 373 < 9- 3> (): 374 < 9- 4> : , 378 26. () [ 1- 1] - 5 [ 1- 2] GDP , , 13 [ 1- 3] GDP (1994~95, 2008) 15 [ 1- 4] PF 17 [ 2- 1] 52 [ 2- 2] () 53 [ 2- 3] () 53 [ 2- 4] 55 [ 2- 5] 56 [ 2- 6] (1991~2000) 57 [ 2- 7] (2001~11) 57 [ 2- 8] 59 [ 2- 9] 64 [ 3- 1] 90 [ 3- 2] 92 [ 3- 3] GDP, , (HPfiltered cycles) 94 [ 3- 4] : 96 [ 3- 5] GDP 97 [ 3- 6] GDP 99 [ 3- 7] GDP (, , ) 100 27. [ 3- 8] GDP 100 [ 3- 9] GDP 102 [ 3-10] GDP GDP 102 [ 3-11] GDP GDP 104 [ 3-12] GDP 105 [ 3-13] GDP 106 [ 3-14] GDP ( 2000 ) 108 [ 3-15] GDP ( 2000 ) 109 [ 3-16] GDP ( 2000 ) 110 [ 3-17] (2000 ) 113 [ 3-18] 114 [ 3-19] GDP (+) 114 [ 4- 1] FDW - 123 [ 4- 2] 133 [ 4- 3] CCI 144 [ 4- 4] CCI 144 [ 4- 5] CCI 145 [ 5- 1] : 1997 1~2011 2 167 [ 5- 2] : 1997~2011 172 28. [ 5- 3] : 172 [ 5- 4] (5 ) 173 [ 5- 5] 174 [ 5- 6] : HP-filtering 192 [ 5- 7] , , : , , , 194 [ 5- 8] Markup House Price, , : , , , 196 [ 5- 9] , , : , , , 197 [ 6- 1] 213 [ 6- 2] 213 [ 6- 3] GDP (1994~95, 2008) 213 [ 6- 4] Band-Pass 218 [ 6- 5] DTILTV 220 [ 6- 6] 221 [ 6- 7] 223 [ 6- 8] 228 [ 6- 9] DTI, LTV, CB Odd Ratio 244 [ 7- 1] GDP 262 [ 7- 2] 262 [ 7- 3] (2011) 262 29. [ 7- 4] LTV 263 [ 7- 5] VAR ( ) 266 [ 7- 6] 267 [ 7- 7] , GDP: 267 [ 7- 8] 269 [ 7- 9] 273 [ 7-10] 280 [ 7-11] 281 [ 7-12] LTV 283 [ 7-13] 284 [ 7-14] , , LTV 285 [ 8- 1] FHA 302 [ 8- 2] QRM 322 [ 8- 3] QRM ()QRM 323 [ 8- 4] QRM 324 [ 8- 5] 330 [ 8- 6] 335 [ 9- 1] , 345 [ 9- 2] vs. 349 [ 9- 3] : 355 [ 9- 4] : 358 [ 9- 5] ( vs. ) 363 30. [ 9- 6] ARM vs. FRM 366 [ 9- 7] ARM : vs. 370 [ 9- 8] 376 [ 9- 9] 380 [ 9-10] (1990 vs. 2007) 383 [ 9-11] 386 31. 32. 1 3 1 (KDI ) () 1 1960 , . 1980~90 , , . 1990 LTVDTI . , , . (benign neglect) . 2007~09 (Global Financial Crisis: GFC) 33. 4 , . 1990 , 2000 , , , , , . GFC , , . GFC , ( KDI) 1 . 15 5 : (), (), (), (), (). , , . , , , , , ( GDP) ,1 ( 1-1 ). 1 Muellbauer(2011) . 34. 1 5 [ 1-1] - , . , . , . (, , ) GDP . . , 35. 6 . 1990 , , FTA . 15 (regime shift) , 40 , . , . . (2~4). Catte et al.(2004) OECD () 0.06~0.15(0.04~0.26) , (2010) . (Case et al.[2005, 2011]), (Slakalec [2006]; Aaron and Muellbauer[2006]; Lustig and Van Nieuwerburgh [2008]). Leamer(2007) 2 10 8 36. 1 7 . 2~4 . () , ? (wealth effect) (collateral effect)2 ? Leamer ? ? , , , ( vs. vs. ) ? , ? , , ? 2000 . , GFC . (pro-cyclical) . , LTV, , , 2 , . 37. 8 . , (Fostel and Geanakoplos[2008]; Geanakoplos[2010]). (Gorton[2009]; Mian and Sufi[2009]; Pavlov and Wachter[2011]; Crowe et al.[2011]). 5~8 . 2000 ? , ? , , , , ? LTVDTI ? LTV , ? . . , . 38. 1 9 , 2000 (Ellis[2008]).3 9~11 . PF , (, , ) ? , , ? , ? , PF ? . (Gramlich [2007]); Dbel[2012]). , . 12~14 . , , ? 3 (: ), . 39. 10 ? , , ? , ? VI(15) , . . , ? ? ? 2000 KDI . (2004) , , , . (2008) , . (2008) , , , , . 40. 1 11 , , . 2 1. 30 ( 1-1 ). 1980~ 2010 532 1,388 2.6 , 74% 113% , . . , , , . 1970~99 (4080%), 2000 81% . 2000~10 2.2% , . . , 2000~10 52.4% , (28.221.7%) (10.718.2%). 12 , 75 1 , 41. 12 2000 2005 2010 45,985,289 47,041,434 47,990,761 11,404,090 (24.8) 12,858,686 (27.3) 13,828,088 (28.8) 24,727,227 (53.8) 24,420,202 (51.9) 24,531,191 (51.1) 9,853,972 (21.4) 9,762,546 (20.8) 9,631,482 (20.1) 1960 1970 1980 1985 1990 1995 2000 2005 2010 4,375 4,359 5,318 6,104 7,160 9,204 10,959 12,494 13,884 - 47.9 68.4 72.6 80.8 80.7 81.7 83.7 - 1 - 6.8 10.1 11.3 13.8 17.2 20.2 22.9 25.0 1 - 35.9 45.8 46.4 51 58.6 63.1 66 67.4 1 - - 2.1 1.9 1.5 1.1 0.9 0.8 0.7 1 % 27.9 - - 32.6 25.8 12.3 7.9 6.5 7.6 % - - 9.9 19.9 34.1 74.8 87.4 95.8 98 % 0.21 - 18.3 33.1 51.3 75.1 87 94 97 % - 78.2 74.4 69.8 72.4 86.0 96.2 105.9 112.9 - 141.2 142.1 150.9 169.5 214.5 248.7 279.7 302 < 1-1> : (, , ) . 2009 , 1 , 1 . . 2010 112.9 101.9 . : , , ; , 2011 , 2003 ; LH , 2011 ; (2011) . < 1-2> (, ) (: , %) : 1) ( ) . 2) , . : . , . 1970 . 42. -20 -15 -10 -5 0 5 10 15 20 25 30 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 1Q '68 '76 '84 '87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '12 GD P 1 13 [ 1-2] GDP , , (: , %) : 1968~86 3 . : ; ; . GDP , 1997~99 GDP ( 1-2 ). 2000 GDP , ([2008]; Kim and Cho[2010]). , . ( 1-4 ). 1990 -1.3% , 9.2 . 2000 , , , , . , 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 4Q 1Q 1968 1976 1984 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2012 30 25 20 15 10 5 0 -5 -10 -15 -20 43. 14 19901) 20002) CV CV -1.3 9.2 -6.9 -24.5 18.5 2.5 6.3 2.5 -8.3 16.4 -1.2 5.2 -4.5 -10.5 8.2 2.2 11.2 5.1 -22.4 17.0 2.9 9.6 3.3 -7.1 22.8 1.7 4.3 2.6 -7.6 9.4 3.4 2.7 0.8 -1.7 10.5 4.5 3.6 0.8 -1.8 11.0 6.1 5.2 0.9 -7.2 14.9 3.0 9.1 3.0 -16.4 23.1 2.2 3.4 1.5 -2.4 7.3 6.1 5.9 1.0 -9.1 13.6 2.7 3.6 1.3 -4.3 9.3 2.1 6.5 3.1 -15.0 13.7 9.5 10.3 1.1 -3.3 32.4 2.5 10.5 4.3 -19.7 15.0 10.4 2.7 0.3 7.4 16.8 2.4 5.2 2.2 -6.1 17.5 7.1 5.0 0.7 -7.6 15.5 5.5 6.2 1.1 -10.2 17.6 0.9 4.3 4.7 -6.0 9.5 -0.2 2.3 -12.6 -3.9 5.5 2.0 3.4 1.7 -3.1 6.9 4.5 7.8 1.7 -8.4 15.8 -0.2 8.1 -36.4 -19.1 12.2 6.0 4.1 0.7 -4.4 12.6 -4.7 3.3 -0.7 -11.0 1.6 2.0 2.0 1.03 -2.3 6.4 -0.2 7.0 -34.7 -9.9 12.7 6.0 8.5 1.40 -16.1 23.5 2.6 5.5 -4.5 -7.4 13.3 3.4 6.2 1.2 -10.1 14.5 () -4.5 8.0 -1.8 -19.6 13.6 4.3 7.1 1.6 -4.5 20.8 -10.0 6.4 -0.6 -24.5 -1.7 -1.4 4.7 -3.5 -8.9 7.9 - - - - - 13.5 18.9 1.4 -16.7 60.2 8.7 19.2 2.2 -33.1 42.1 3.2 13.5 4.2 -25.0 34.1 -0.9 23.1 -25.7 -43.5 41.6 4.9 15.0 3.1 -14.9 32.0 -1.2 6.7 -5.7 -14.9 15.7 4.5 9.3 2.1 -11.3 27.1 < 1-3> : (: , %) : 1) 1993 1/4, 1997 1/4, 1995 1/4, 1996 1/4, 1993 1/4, 1994 2/4, 1994 1/4 . 2) 2012 1/4, 2011 3/4, , , , 2011 1/4, , , , , , , 2011 2/4 , 2010 4/4, , , , 2010 4/4, 2010 1/4. : ; ; CEIC; S&P/Case-Shiller Home Price Indices; BIS; OECD. , . . 2011 12 390 , 60%, GDP 31.5% . 44. 1 15 0% 20% 40% 60% 80% 100% 120% 1994/5 2008 120% 100% 80% 60% 40% 20% 0% 1994/5 2008 [ 1-3] GDP (1994~95, 2008) : Cho and Kim(2011); 6 . (2003~11) (2007~11) 9.2% 15.3% (1995~2008 10.9%(), 9.2%, 5.9%)( 1-3 ). Crowe et al.(2011) ( ) 2000~06 , 2007~10 GDP . 2000 , GDP , , . 2000 . , Min, Cho, and Kim (2010) 2001~05 ( vs. ) DTILTV 45. 16 , 40 50 . , 2000 , 5 (Kim[2008]; [2011]), . PF 2000 ( 2005 25 2008 83), , PF , . [ 1-4] PF , 2005 . 2000 2005 DTI , PF . . 2. 2 () , GFC . , , . 3 () Leamer(2007) . 46. 1 17 [ 1-4] PF (: , %) : ; . , . 4 () , , ( vs. vs. ), , , (Consumer Credit Index: CCI), , . . 5 Lee(University of Regensberg), Dorofeenko(Institute for Advanced Studies) Salyer(University of California) . , () () 47. 18 . Dorofeenko, Lee, and Salyer(2011) Iacoviello and Neri(2010) , , , , . 6 (KDI ) , , . , . 7 () (DSGE) (Heterogeneous Households) . , . LTV . 8 Yang(IFE Group) Zhang(IFE Group) . . 9 Dbel(Finpolcunsult.de) , 2000 . 10 () PF , 48. 1 19 . PF , . 11 Hwang(George Washington University) . , , . 12 Chang(National Chengdu University) Chen(National Sun Yat-sen University) , . V 13 () , . 14 () 2000 . , . 15 () . 16 () , . , 49. 20 . , . 3 1. 2 () 2000 (+) , GFC 2008 . 1990 , 2000 . GFC . , 1990 , GFC 2007 . GFC . , GDP , . . 3 () 1998 (pro-cyclicality) GDP 50. 1 21 , Leamer(2007) . , GDP . . 4 () (+) , Fernandez- Corugedo and Muellbauer(2006) ( Seemingly Unrelated Regression ) CCI . ( vs. vs. ) , , , LTV , . , CCI . . 5 Lee(University of Regensberg), Dorofeenko(Institute for Advanced Studies) Salyer(University of California) (LTV ) . LTV , , 51. 22 75% 50% . 2. 6 (KDI ) LTVDTI , LTVDTI . LTVDTI , , (: , 20~40 , ) . , (conforming loan) , (MBS, ) , . , , , , . ( , , , ) , . 7 () DSGE , , . LTV . 50% 52. 1 23 LTV 1% 1.84% . 2.8% . 70% LTV , 1% 50% 2.6% . . LTV (LTV ) . (Housing Affordability) LTV (tradeoff) . 8 Yang(IFE Group) Zhang(IFE Group) GFC , . , (Qualifying Residential Mortgage: QRM) . QRM , LTV 80%, (front-end DTI) 28%, (back-end DTI) 33%, 3 , (fully-amortizing) . QRM MBS 5% (equity tranche) . (Financial Stability Board) QRM . QRM , (bullet) 53. 24 . Basel . , 6 . , (expected forward-looking distribution) . 9 Dbel(Finpolcunsult.de) , , , , . , . , , , , . , , , . (Non-Pricing Lending Terms: NPLTs) . DTI, LTV, . LTV LTI(Loan-to-income ratio) 1980 . , LTV 1980 90% 1990 . DTI 2000 3.1 (1990 2.3 ). 54. 1 25 . , (mortgage credit penetration) . 3. 10 () , . 20% , . , . , . (UPREITs) . , , PF , . 11 Hwang(George Washington University) GFC 1980 S&L() . 55. 26 (pro-cyclical) , . 1980 (S&L) (unholy alliance) 2000 . (idiosyncratic) . . 12 Chang(National Chengdu University) Chen(National Sun Yat-sen University) 95% , . 1970~80 , 40 , . 1970 , . (S&L) , . (20% ) , . 4. 13 () 1~2 56. 1 27 , (mobility) . , . , , 1 , . . , . 14 () , 2000 2005 . 2005 2010 , . , . , . 15 () 57. 28 , . , . , . , . 5. 16 () , . 5 , . , , , . - , 58. 1 29 , . 59. 30 , , VIP, 2011-22, , 2011. , , 2008-02, , 2008. , , , 2010 , . , , 08-09-01, , 2008. , : , KREUS Working Paper Series 2011-16, 2011. , , , , 3, 08-09-01, , 2008. , , 2004-09, , 2004. , , (10), , 2007. 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The Role of Housing and Financial Wealth, GIER Working Paper, German Institute for Economic Research, 2006. 62. 63. 2 35 2 () 1 2007 (sub-prime mortgage) (Global Financial Crisis: GFC) . . , , , , , . . . , . . 64. 36 , . GFC . 1997 (Asian Financial Crisis: AFC), 2007 GFC . GFC (synchronization). (spillover effect) . GFC . (local factor) . . (simulation) . GFC . 2 . 3 . 4 . 5 . 65. 2 37 2 . , , 3 4 . 1. . (Muellbauer and Murphy[1990]; Bertaut and Starr-McCluer[2002]; Banks and Turner[2002]; Tracy and Schneider[2001]; Case et al.[2005]). , Friedman (unpredictable change: UPC) (wealth effect). (predictable change: PC) (collateral effect) (Hall[1978]; Hall and Maskin[1982]; Flavin[1981]; Campbell and Mankiw[1991]; Zeldes [1989]). . (Ortalo-Magne and Rady[2004]; Lustig and Van Nieuwerburgh[2008]). (Attanasio and Weber [1994]; Muellbauer and Murphy[1997]). . Case et al.(2005) OECD 66. 38 . Benjamin et al.(2004) VAR . Slakalec(2006) 16 panel . 1988 , . Carroll et al.(2006) 0.02, 0.04~0.1 . Aaron and Muellbauer(2006) , . Lettau and Ludvigson(2004) (cycle) , , , . Lustig and Van Nieuwerburgh(2008) . MSA , . Miller, Peng, and Sklarz(2011) PC UPC . (instrumental variable) PC, PC UPC . , PC (persistent component) (novel component) . , . . Bostic et al.(2008) 67. 2 39 . Englehardt(1994) . , Englehardt(1996) (down payment) . , Sheiner(1995) . Campbell and Cocco(2007) (age heterogeneity) . , PC UPC . Haurin and Rosenthal(2006) , 65 . / (long position) , / (short position) . 2. . ( ) . , . . . Leamer(2007, 2009) 68. 40 (Kernel) . (normal) , . , 10 (recession) 8 , (-) . . . 3. . Leamer(2007) . , (housing start) . . (DiPasquale and Wheaton[2000]; Wheaton[1999]). , . . 69. 2 41 , , . GFC , . Case and Shiller(2003) McCarthy and Peach(2004) . Case and Shiller(2003) , . Wheaton and Nechayev(2010) 1975~98 1998~2005 . , 2 , . GFC . Pavlov and Wachter(2004, 2011), Mian and Sufi(2008) (non-recourse asset backed lending) , . Kaparova and White(2001) . ERM , , , , , , . (fundamental) . (financial liberalization) 70. 42 . LTV, , ARM FRM . . ARM GFC (Coleman et al.[2008]; Sanders [2008]; Bucks and Pence[2008]). (synchronization) (spillover effect) GFC . . , . , . . . (confidence channel) (Vansteenkiste and Hiebert[2011]). . (reflection theory) (Manski[2000]). (social interaction vein, Ioannides and Zabel[2008]) . (epidemiological model) (Burnside 71. 2 43 et al.[2011]). . Vansteenkiste(2007) . Klyuev(2008) 1990 . Holly et al.(2011) . Terrones(2004) (global housing factor) 25% . (Setzer et al. [2011]). SVAR Vansteenkiste and Hiebert(2011) . . . . (Gleaser et al. [2005]), (Malpezzi[1999]; Malpezzi and Maclennan[2001]). 4. . 72. 44 . . (1994a) . (2001), (2002), (2003) 1990 . (2009) SVAR -(Granger-Sims) . . . . . ([1994a]). , , . . . ([1994a]; [1992]; [1991]), -(Granger-Sims) ([1991]), VAR ([1994a]; [1992]; [1991]) . . , , , , , , , . 73. 2 45 , (market fundamental) (portfolio selection) ( [2000, 1994b]; [1991]; [1996]; [1994]; [1992]; [1991]). . . . , . . (1992) . , , , 4 26 17 . . . . . . . GDP . , , , , . 74. 46 10% 1.4%, 2.0% . (1994a) , , , , , 6 41 35 . , , , , . . . (1993) , , , , , , , 8 60 37 . , , , , . GDP, CPI . , . (1998), (1997) . . ([1998]; [2003, 2000, 1994a]; [2005]; [1999, 1992]; 75. 2 47 [1998]). . , (1998) . . . , , , . . . ([2003, 2000, 1994a]), ([1998]; [2005]). . (1998) . exp . , (2005), (2004) - (Hodrick- Prescott filter: HP-) . HP- (1991), (1999), (2000), (2000) . . ([1998]; [2005]; [1999, 1992]; [1998]). 76. 48 . (2003) . . , , . ARIMA VAR . ARIMA (1998), (2000) . ARIMA . . VAR (1992), (1993), (1997), (1999), (2001), (2002) . VAR (1993) , , , , , . (1997) , , GDP, , , (1999) GDP , , , GDP , , , . , (2002) , , GDP, , , , , , , , , . . (1991), 77. 2 49 (1992), (1994), (1996), (1994a, 2000), (2000), (1996) . (1994a) 100 . . (simulation) . . (1992) , , , , . (1994) , , , , , , , , . (1994b) , , , , , , , GDP, , , , , , , , . . NBER , (principal component analysis) , -(Stock-Watson) . . , , , , , , . (2000) . , M2, , , GNP , GNP , , , . . 78. 50 . (Early Warning System: EWS) 1997 , IMF EWS . 1999 EWS . EWS . , (Eichengreen et al.[1995]; Kaminsky et al.[1998]; Goldstein et al.[2000]; [2001]). k k 3~1.1 . , k . . . k . , ([2011, 2004, 2003]). EWS . , . , (Probit) (parametric method). (2004) EWS , , 3 , , , (/) 79. 2 51 , , . , , , , , . , , 12 . , . 3 . . . GFC . 1. . HPI , GDP PY HPI/PY . [ 2-1] . G . 80. 52 - 1 6 - 1 2 - 8 - 4 0 4 8 1 2 1 6 2 0 9 2 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 G H P I G ( H P I/ P Y ) [ 2-1] . , CP GFC . , PC , UPC . GCP G(HPI/PY) HP- . [ 2-2] GCP G(HPI/PY) . 1990 (-) 2000 (+) . (+) GFC 2008 . , GCP G(HPI/PY) [ 2-3] 1990 (+) , 2000 (+) . GFC 2008 (-) . < 2-1> . 81. 2 53 -1 0. 0 -7 . 5 -5 . 0 -2 . 5 0 . 0 2 . 5 5 . 0 7 . 5 1 0. 0 9 2 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 G C P [ t re n d ] G (H P I/ P Y )[ t re n d ] -2 0 -1 6 -1 2 -8 -4 0 4 8 1 2 9 2 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 G C P [ c y c le] G (H P I/ P Y )[ c y c le ] GCP, G(HPI/PY) [] 1991~2000 2001~11 2008~11 -0.56 0.63 0.77 GCP, G(HPI/PY) [] 1991~2000 2001~11 2008~11 0.66 0.48 0.18 [ 2-2] () [ 2-3] () < 2-1> 82. 54 GFC , . GFC , , . . . . 2. (+) (-) . . . . G(HPI/PY) GIC . 4 . [ 2-4]. (Asian financial crisis: AFC) GFC . AFC . AFC GFC 83. 2 55 -1 5 -1 0 -5 0 5 1 0 1 5 9 2 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 G (H P I/ P Y ) G IC [ 2-4] . GFC . . 1991~97 0.23, 1998~2008 0.77, 2009~11 -0.79 . 2009 4 . 3. GFC . . , GHPI GHPI-US [ 2-5] . 84. 56 -15 -10 -5 0 5 10 15 20 92 94 96 98 00 02 04 06 08 10 GHPI GHPI_US [ 2-5] [ 2-5] GHPI GHPI-US . GFC 2007 . , . GFC (Vansteenkiste and Hiebert[2011]). . [ 2-6] [ 2-7] 1990~2000 2001 , , , , , . 1990~2000 2001 . 1997 AFC , 2007 GFC . 2008 . < 2-2> . 85. 2 57 [ 2-6] (1991~2000) [ 2-7] (2001~11) < 2-2> . 1990 , . , . , , (-) . 2000 86. 58 1991~2000 1.0 -0.28 -0.15 0.21 0.69 0.71 0.13 1.0 0.81 -0.44 -0.56 -0.57 -0.16 1.0 -0.31 -0.27 -0.58 -0.33 1.0 0.42 0.28 -0.40 1.0 0.51 0.11 1.0 0.62 1.0 2001~11 1.0 0.73 0.73 0.70 0.74 0.74 0.28 1.0 0.89 0.75 0.93 0.76 0.33 1.0 0.71 0.85 0.54 0.32 1.0 0.86 0.64 0.56 1.0 0.83 0.41 1.0 0.49 1.0 2007~11 1.0 0.99 0.94 0.93 0.99 0.98 0.59 1.0 0.95 0.97 0.99 0.94 0.57 1.0 0.94 0.93 0.85 0.80 1.0 0.96 0.85 0.59 1.0 0.96 0.53 1.0 0.45 1.0 < 2-2> (+) . GFC 2007 0.9 . 87. 2 59 [ 2-8] . GFC . (local factor) . , [ 2-8] . [ 2-8] GFC , . . GHPI, GDP (GNY), GHPI-US, 3 AAA- (GRR), (GBLD) VAR < 2-3> . , GNY GFC . < 2-3> . 88. 60 < 2-3> GHPI GNY GHPI-US GRR GBLD 1992 3/4~2011 3/4 52.2 10.4 7.2 27.4 2.8 1992 3/4~2006 3/4 47.7 8.6 9.3 31.1 3.3 2007 1/4~2011 3/4 43.9 5.5 18.1 4.5 28.0 1992 3/4~2011 3/4 GHPI 52.2% , 27.4% GRR , 10.4% GNY . GHPI-US GBLD 7.2% 2.8% . GFC 1992 3/4~2006 3/4 . GFC 2007 1/4~2011 3/4 . , GRR GNY 4.5% 5.5% , GHPI-US GBLD 18.1% 28.0% . GNY GRR GBLD GFC . GHPI-US GFC . GFC . , . 89. 2 61 4 . , . 1. 1990 1/4~2011 3/4 . KOSIS, ECOS OFHEO . < 2-4> . 2005 X-12 . . . CP CG CC = CP + CG . CC CC . IC, IEQ IO IFF = IC + IEQ + IO . IFF IFF . INV ITOT = IFF + INV , ITOT ITOT . Y SDI = Y - CC - ITOT - EX + IM SDI . SDI Y 1% , . IC . 90. 62 BCP () LQ (, ) BCPH () PH () CC (, ) PHUS (, OFHEO) CG (, ) PMI (, ) CP (, ) PS () ER - () PXI , () EX (, , ) PY GDP () HDR RR , 3 AAA- () IC (, ) SD1 1990 1/4~1997 4/4 1 IEQ (, ) SD2 2008 3/4 1 IFF (, ) SDI (, ) IM (, ) WD (, ) INV (, ) WIV (, ) IO (, ) Y (, ) ITOT (, ) < 2-4> . ECOS WIV 2008 4/4 . GFC (IFS ). 2008~11 OECD (export market growth data) WIV 2009~11 . < 2-5> OECD OECD (rest of the world) OECD . WIV EX (unit root) . PH, PY, PHUS, PXI, PMI 2010 1/4 100 . 91. 2 63 OECD OECD 2008 2.7 4.1 2009 -11.2 -11.9 2010 12.0 12.7 2011 6.5 7.8 < 2-5> (: %) 2. . , (polynomial distributed lags), . t-, DW -(Durbin-Watson) d-, adj-R . , 1 1 . G 4 . GPYt = (PYt PYt-4)100/PYt-4 . , D . , D091 2009 1/4 1 0 , D98 1998 1/4 ~1998 4/4 1 0 , D9913 1999 1/4~1999 3/4 1 0 , D084093 2008 4/4~2009 3/4 1 0 . , CP PH GFC SD2 . . [ 2-9] . PH CP , CP GDP Y 92. 64 [ 2-9] . . , EX PH PMI LQ RR Y PH PY IEQICCP PXI IM EX WD 93. 2 65 EX . . log log log log log log log log log log log log log log log 94. 66 () log log log log log () log log log log log log log 95. 2 67 log log log log log log log log 96. 68 GDP log log log log log log log log log log log log log . WD PH PH PH . , . 97. 2 69 CP CC IEQ IC IFF EX IM Y RMSE 0.054 0.043 0.083 0.036 0.032 0.055 0.062 0.031 PH PY PXI PMI LQ RR WD RMSE 0.020 0.022 0.060 0.068 0.033 0.156 0.038 0.052 3. . , . . . CP CP(baseline) . . (Root Mean Squared Error: RMSE) . Xt FXt N RMSE . RMSE = [( (FXt-Xt)/Xt) 2 /N]1/2. 16 < 2-6> . . RMSE 0.052 . < 2-6> (RMSE) 4. . . 98. 70 CP CC IEQ IC IFF EX IM Y 0.006 0.005 -0.000 0.024 0.013 -0.007 0.003 0.002 PH PY PXI PMI LQ RR WD 0.101 0.005 0.010 0.000 0.005 0.015 0.023 < 2-7> 10% . . PHt 10% GPHt 30%p . PHt CPt ICt Yt . , PHt RRt WDt PYt CPt, IEQt, ICt PXIt . PHt 10% < 2-7> . CPt 0.6% IEQt , ICt 2.4% IFFt 1.3% . PXIt EXt 0.7% IMt 0.3% . Yt 0.2% . , RRt 1.6% IEQt ICt . GDP , . 99. 2 71 5 , . 2000 (+) , GFC 2008 . 1990 , 2000 . GFC 2008 (-) . GFC , . 4 AFC GFC . AFC (+) . AFC GFC , GFC (-) . GFC . 4 . 1990 , GFC 2007 . GFC . VAR 100. 72 . , GFC 2007 , . GFC GFC . . . , GFC . , GDP , . GFC , . GFC . , LTV DTI . (+) (-) . GFC 4 . . GFC . . 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Consumption and Liquidity Constraints: An Empirical Investigation, Journal of Political Economy, Vol. 104, 1989, pp.275~298. 112. 84 6 0 0 0 0 7 0 0 0 0 8 0 0 0 0 9 0 0 0 0 1 0 0 0 0 0 1 1 0 0 0 0 1 2 0 0 0 0 1 3 0 0 0 0 1 4 0 0 0 0 1 5 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 C P C P ( B a s e l i n e ) 150,000 140,000 130,000 120,000 110,000 100,000 90,000 80,000 70,000 60,000 CP CP(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 8 0 0 0 0 1 0 0 0 0 0 1 2 0 0 0 0 1 4 0 0 0 0 1 6 0 0 0 0 1 8 0 0 0 0 2 0 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 C C C C ( B a s e l i n e ) 200,000 180,000 160,000 140,000 120,000 100,000 80,000 CC CC(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 8 0 0 0 1 2 0 0 0 1 6 0 0 0 2 0 0 0 0 2 4 0 0 0 2 8 0 0 0 3 2 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 I E Q IE Q ( B a s e l i n e ) 320,000 280,000 240,000 200,000 160,000 120,000 80,000 IEQ IEQ(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 113. 2 85 2 6 0 0 0 2 8 0 0 0 3 0 0 0 0 3 2 0 0 0 3 4 0 0 0 3 6 0 0 0 3 8 0 0 0 4 0 0 0 0 4 2 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 IC IC ( B a s e li n e )IC IC(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 420,000 400,000 380,000 360,000 340,000 320,000 300,000 280,000 260,000 3 5 0 0 0 4 0 0 0 0 4 5 0 0 0 5 0 0 0 0 5 5 0 0 0 6 0 0 0 0 6 5 0 0 0 7 0 0 0 0 7 5 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 IF F IF F ( B a s e li n e )IFF IFF(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 750,000 700,000 650,000 600,000 550,000 500,000 450,000 400,000 350,000 0 2 0 0 0 0 4 0 0 0 0 6 0 0 0 0 8 0 0 0 0 1 0 0 0 0 0 1 2 0 0 0 0 1 4 0 0 0 0 1 6 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 E X E X ( B a s e li n e ) 1994 1996 1998 2000 2002 2004 2006 2008 2010 EX EX(Baseline) 160,000 140,000 120,000 100,000 80,000 60,000 40,000 20,000 0 114. 86 8 0 0 0 0 1 2 0 0 0 0 1 6 0 0 0 0 2 0 0 0 0 0 2 4 0 0 0 0 2 8 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 Y Y ( B a s e li n e ) 1994 1996 1998 2000 2002 2004 2006 2008 2010 Y Y(Baseline) 280,000 240,000 200,000 160,000 120,000 80,000 0 4 0 0 8 0 0 1 2 0 0 1 6 0 0 2 0 0 0 2 4 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 L Q L Q ( B a s e li n e ) 1994 1996 1998 2000 2002 2004 2006 2008 2010 2,400 2,000 1,600 1,200 800 400 0 LQ LQ(Baseline) 2 0 0 0 0 4 0 0 0 0 6 0 0 0 0 8 0 0 0 0 1 0 0 0 0 0 1 2 0 0 0 0 1 4 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 I M IM ( B a s e li n e ) 140,000 120,000 100,000 80,000 60,000 40,000 20,000 1994 1996 1998 2000 2002 2004 2006 2008 2010 IM IM(Baseline) 115. 2 87 9 0 1 0 0 1 1 0 1 2 0 1 3 0 1 4 0 1 5 0 1 6 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 P X I P X I ( B a s e li n e ) 4 0 5 0 6 0 7 0 8 0 9 0 1 0 0 1 1 0 1 2 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 P M I P M I ( B a s e li n e ) 5 0 6 0 7 0 8 0 9 0 1 0 0 1 1 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 P H P H ( B a s e li n e ) 1994 1996 1998 2000 2002 2004 2006 2008 2010 PH PH(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 110 100 90 80 70 60 50 PXI PXI(Baseline) PMI PMI(Baseline) 160 150 140 130 120 110 100 90 1994 1996 1998 2000 2002 2004 2006 2008 2010 120 110 100 90 80 70 60 50 40 116. 88 0 4 8 1 2 1 6 2 0 2 4 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 R R R R ( B a s e li n e ) 5 0 0 0 0 0 1 0 0 0 0 0 0 1 5 0 0 0 0 0 2 0 0 0 0 0 0 2 5 0 0 0 0 0 3 0 0 0 0 0 0 3 5 0 0 0 0 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 W D W D ( B a s e li n e ) 5 0 6 0 7 0 8 0 9 0 1 0 0 1 1 0 9 4 9 6 9 8 0 0 0 2 0 4 0 6 0 8 1 0 P Y P Y ( B a s e li n e ) GDP PY PY(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 110 100 90 80 70 60 50 PR PR(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 24 20 16 12 8 4 0 WD WD(Baseline) 1994 1996 1998 2000 2002 2004 2006 2008 2010 3,500,000 3,000,000 2,500,000 2,000,000 1,500,000 1,000,000 500,000 117. 3 89 3 : () 1 OECD . , . (Leamer[2007, 2009]). , . , , ( 3-1). 118. 90 [ 3-1] . (wealth effect) (credit constraint) . Case, Quigley, and Shiller(2001), Catte et al.(2004), Iacoviello(2002), Lettau and Ludvigson(2000), Ludvigson and Steindel (1999) . Iacoviello(2004, 2005), Muellbauer (2007), Mian and Sufi(2009), Feldstein(2007) . , 1 Leamer(2007) . Leamer(2007) 2 10 , 8 GDP . (intermediate target variable) .2 1 , , . 2 Leamer(2009) 119. 3 91 , Leamer(2007, 2009) , Alvarez and Cabrero(2010), Alvarez et al.(2010), Ferrara and Koopman(2009), Ferrara and Vigna(2009), Knetsch(2009) . , , . . . 2 , 3 . 4 GDP . 5 GDP GDP . 6 , 7 . 2 , . . . 120. 92 [ 3-2] : 1) . 2) 2008~09 (*) . . 7 , ( ), (), , , (), , . [ 3-2] 100 . , . , . GDP 2 () , GDP . 121. 3 93 . [ 3-2] . 3 , [ 3-3] GDP .3 < 3-1> GDP, , , () .4 (procyclicality) OECD . Igan et al.(2009) GDP , GDP , 0.30 (-0.10~0.58), 0.18(-0.08~0.63), 0.32(-0.32~0.71) .5 . (household wealth) GDP . (borrowing constraint) 3 GDP, , HP- . 4 GDP, , . , () . 5 ( ) . 122. 94 -. 15 -. 10 -. 05 . 00 . 05 . 10 . 15 1975 1980 1985 1990 1995 2000 2005 2010 Hom e p rice(H P c y c le) Hous eh old debt (H P c y c le) GD P (H P c y c le) (HP cycle) (HP cycle) GDP(HP cycle) GDP GDP(-1) (-1) (-1) GDP 1 0.40 0.41 0.77 0.29 0.18 0.40 1 0.74 0.41 0.89 0.66 0.41 0.74 1 0.54 0.73 0.92 GDP(-1) 0.77 0.41 0.54 1 0.40 0.41 (-1) 0.29 0.89 0.73 0.40 1 0.74 (-1) 0.18 0.66 0.92 0.41 0.74 1 [ 3-3] GDP, , (HPfiltered cycles) : . < 3-1> GDP, , (1986Q1~2011Q2) . . (2001) 0.45 0.3 , (2007) 0.13 0.01~0.18 , (2010) 0.05~0.17 0.08~0.26 . . , 123. 3 95 OECD . , Catte et al.(2004) OECD (=-) 0.06~0.15 0.04~0.14 , . , (2011) 1998 . -- , , , . , , , , . : ln ln ln : ln ln ln ln ln ln ln () () 0.039 0.282 , < 3-2> . < 3-2> (baseline) .6 6 < 3-2> 2000~09 , 1, 2, 3 , , . , 2 3 . 2 . 124. 96 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 baseline-scen.1 baseline-scen.2 baseline-scen.3 year (%) 1 2 3 5.79% 5.79% 5.79% 1(mild shocks) 0% 0% 5.79% 2(severe shocks) -4% -4% 5.79% 3(catastrophic shocks) -10% -10% 5.79% < 3-2> [ 3-4] : : 1, 2, 3 % . [ 3-4] , . 4 : Leamer(2007, 2009) , . GDP 125. 3 97 -.08 -.06 -.04 -.02 .00 .02 .04 .06 .08 -.8 -.6 -.4 -.2 .0 .2 .4 .6 .8 1975 1980 1985 1990 1995 2000 2005 2010 GDP(HP cycle ) Re sid en tiald ( HP cycle) GDP(HP cycle) (HP cycle) [ 3-5] GDP . . [ 3-5] GDP , 1998 GDP . GDP 1998 . < 3-3> GDP GDP 2000 . < 3-3> GDP 2000 , GDP 2000 0.40 2000 -0.12 . , 2000 2000 . , 2000 GDP , GDP . GDP(HP cycle) (HP cycle) 126. 98 1971 1/4~1999 4/4 2000 1/4~2011 2/4 3.60 0.81 4.70 0.64 2.28 0.72 2.52 0.69 0.90 0.60 1.04 0.56 0.83 0.68 1.04 0.37 5.03 0.74 4.90 0.83 6.30 0.40 4.57 -0.12 4.93 0.51 4.13 0.15 3.62 0.23 2.57 -0.45 2.82 0.80 3.69 0.80 2.37 0.34 3.55 0.58 < 3-3> GDP : 1) GDP . 2) 2000 GDP 2.8% 1.5%. [ 3-6] GDP 2000 . 2000 . , 2000 . 5 GDP : 1. GDP GDP7 GDP 7 GDP GDP . 127. 3 99 (1971Q1~1999Q4) -0.2 0.0 0.2 0.4 0.6 0.8 1.0 -4 -3 -2 -1 0 1 2 3 4 (2000Q1~2011Q2) -0.6 -0.3 0.0 0.3 0.6 0.9 -4 -3 -2 -1 0 1 2 3 4 [ 3-6] GDP : (-) GDP , (+) GDP . . [ 3-7] GDP (, , ) , 2000 GDP 2000 6.5% 2000 3.7% . 128. 100 -1 2 -8 -4 0 4 8 1 9 7 5 1 98 0 1 9 8 5 1 9 90 1 9 9 5 2 0 00 20 0 5 2 0 1 0 (%) -3 -2 -1 0 1 2 3 1975 1980 1985 1990 1995 2000 2005 2010 (%) -6 -4 -2 0 2 4 6 8 1975 1980 1985 1990 1995 2000 2005 2010 (%) -4 -2 0 2 4 6 1975 1980 1985 1990 1995 2000 2005 2010 (%) -8 -6 -4 -2 0 2 4 6 1975 1980 1985 1990 1995 2000 2005 2010 (%) [ 3-7] GDP (, , ) [ 3-8] GDP GDP , [ 3-8] , , , GDP . 129. 3 101 2. GDP GDP HP(Hodrick-Prescott) () .8 [ 3-9] GDP . , GDP 1990 , GDP 1% . GDP . GDP 1990 . , 1990 2000 GDP , [ 3-10] GDP . , GDP (zero) . GDP GDP . GDP GDP . , GDP 8 HP Baxter and King(1999) BP(Band-Pass) . BP HP , . 130. 102 (%) -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1975 1980 1985 1990 1995 2000 2005 2010 Inventoryinvestment Equipment investment -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1975 1980 1985 1990 1995 2000 2005 2010 Durableconsumption Quasi-durableconsumption Nondurableconsumption Serviceconsumption (%) -.2 -.1 .0 .1 .2 .3 .4 1975 1980 1985 1990 1995 2000 2005 2010 Residentialinvestment Non-residentialbuildingsinvestment structureinvestment (%) (%) 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1975 1980 1985 1990 1995 2000 2005 2010 Imports Exports 1 2 3 4 5 6 7 8 9 10 1971 1974 1977 1980 1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 0.6 /GDP() HP trend() (%) [ 3-9] GDP [ 3-10] GDP GDP / GDP() HP trend() 131. 3 103 . GDP GDP . GDP .9 GDP . , (+) GDP . (-) GDP GDP . , GDP GDP , GDP [ 3-11] .10 GDP GDP . 9 Leamer(2007, 2009) GDP abnormal contribution to GDP growth , GDP (normal) . 10 GDP , , , , , , . , , . 132. 104 0 0.5 1 1.5 2 2.5 3 1971 1975 1979 1983 1987 1991 1995 1999 2003 2007 2011 GDP (% ) -8 -6 -4 -2 0 2 4 6 1971 1975 1979 1983 1987 1991 1995 1999 2003 2007 2011 GDP (% ) [ 3-11] GDP GDP 3. GDP GDP (choppy) . (flat) (rising) (falling) . (zero) . GDP . GDP . [ 3-12] GDP . GDP , GDP GDP . , 1998 GDP 133. 3 105 (%) -8 -6 -4 -2 0 2 4 6 8 1 9 7 5 1 98 0 1 9 8 5 1 99 0 1 9 9 5 2 0 0 0 2 0 05 2 0 1 0 [ 3-12] GDP GDP 12% 7% . , GDP , GDP GDP . GDP [ 3-13] . GDP , 2000 . GDP 2000 . , GDP 1998 , GDP . , , , GDP . , GDP . 134. 106 -1.6 -1.2 -0.8 -0.4 0.0 0.4 0.8 1975 1980 1985 1990 1995 2000 2005 2010 Durables (%) -1.2 -0.8 -0.4 0.0 0.4 0.8 1.2 1975 1980 1985 1990 1995 2000 2005 2010 Quasi-durables (%) -4 -3 -2 -1 0 1 2 3 1975 1980 1985 1990 1995 2000 2005 2010 ResidentialBuildings (%) -2 -1 0 1 2 3 4 1975 1980 1985 1990 1995 2000 2005 2010 Non-residentialBuildings (%) -2 -1 0 1 2 3 4 1975 1980 1985 1990 1995 2000 2005 2010 Non-durables (%) -3 -2 -1 0 1 2 3 1975 1980 1985 1990 1995 2000 2005 2010 Services (%) [ 3-13] GDP (%) (%) (%) (%) (%) (%) 135. 3 107 -12 -8 -4 0 4 8 1975 1980 1985 1990 1995 2000 2005 2010 Import (%) -6 -4 -2 0 2 4 6 8 10 1975 1980 1985 1990 1995 2000 2005 2010 Netexport (%) -2 -1 0 1 2 3 1975 1980 1985 1990 1995 2000 2005 2010 Structures (%) -6 -4 -2 0 2 4 6 8 1975 1980 1985 1990 1995 2000 2005 2010 Inventory (%) -6 -4 -2 0 2 4 6 8 1975 1980 1985 1990 1995 2000 2005 2010 Equipment (%) -8 -6 -4 -2 0 2 4 6 1975 1980 1985 1990 1995 2000 2005 2010 Export (%) [ 3-13] (%) (%) (%) (%) (%) (%) 136. 108 (1970 ~ , %) -3 -2 -1 0 1 2 3 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 (2000~ , % ) -3 -2 -1 0 1 2 3 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 4. GDP : GDP . GDP . [ 3-14]~[ 3-16] 1970 2000 [ 3-14] GDP ( 2000 ) : 0 . (1970~, %) (2000~, %) 137. 3 109 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 (1970 ~ ,%) -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 (2000~, %) [ 3-15] GDP ( 2000 ) GDP . GDP , 2000 . , , , 2000 GDP . 2000 GDP , 1 (1970~, %) (2000~, %) 138. 110 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 (1970~, %) -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 (2000~, %) [ 3-16] GDP ( 2000 ) GDP . . , GDP . [ 3-14] [ 3-15] GDP . [ 3-16] GDP , (1970~, %) (2000~, %) 139. 3 111 GDP . 2000 GDP , GDP . 5. GDP GDP . < 3-4> GDP . 1998 GDP , 1998 GDP . 1998 GDP . , 1998 GDP . GDP . , GDP . 140. 112 1 2 3 4 5 6 7 8 9 1974 Q4 1980 Q2 1984 Q4 1988 Q2 1992 Q2 1998 Q1 2000 Q4 2003 Q3 2008 Q4 Before XX/ EQ IV/ND/ NRI XX/RI/IV ST/RI RI/S EQ/IV/D GC/S/D XX/IV/ D/ND XX/D During EQ/XX IV/EQ/ RI/NRI IV/NRI/ EQ XX/IV/ EQ EQ/NRI/ IV EQ/IV/ NRI/S/ND XX/EQ IV/S/ EQ/D XX/ IV/EQ < 3-4> GDP : XX: exports, EQ: equipment investment, ND: nondurable goods, RI: residential investment, ST: structures, S: services, D: durables, GC: government consumption, ND: nondurables, NRI: nonresidential buildings, IV: inventories . (before) (during) GDP . 6 GDP 1998 . . . . [ 3-17] 2000 , 2000 . . . 141. 3 113 -.3 -.2 -.1 .0 .1 .2 .3 -.100 -.075 -.050 -.025 .000 .025 .050 .075 .100 LN_HOUSE_R_SA_HPCY LN_IFCB_RES_R_SA_HPCY 1971q1~1999q4 -.3 -.2 -.1 .0 .1 .2 .3 -.100 -.075 -.050 -.025 .000 .025 .050 .075 .100 LN_HOUSE_R_SA_HPCY LN_IFCB_RES_R_SA_HPCY 2000q1~2010q2 [ 3-17] (2000 ) : 1) 1.38(t- 7.74), 0.85(3.28) . 2) HP . GDP . [ 3-18] , . . . < 3-4> 1998 GDP . [ 3-19] GDP (=+) , 100% . 142. 114 30 40 50 60 70 80 90 1971 1973 1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 (%) 0 20 40 60 80 100 120 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 (%) [ 3-18] [ 3-19] GDP (+) . . 1980 , 143. 3 115 . . . 2000 . 7 : , . 1998 GDP , GDP . (procyclical) , GDP . , , GDP . , , GDP . 1998 . . Leamer(2007, 2009) 2 GDP , 144. 116 GDP .11 . , 1998 . , . GDP 1998 , . . , . 1998 GDP , . . 11 Leamer(2007, 2009) business cycle consumer cycle . 145. 3 117 , , , 7 1, , 2001. , , , 32 4, , 2010. 12. , , , , , 2011. , , (10), , 2007. Alvarez, L. J. and A. Cabrero, Does Housing Really Lead the Business Cycle? Documentos de Trabajo, No.1024, Banco de Espana, 2010. Alvarez, L. J., G. Bulligan, A. Cabrero, L. Ferrara, and H. Stahl, Housing Cycles in the Major Euro Area Countries, working paper, No. 269, Banque de France, 2010. Baxter, M. and R. G. King, Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series, Review of Economics and Statistics, Vol. 81, 1999. Bulligan, G., Housing and Macroeconomy: The Italian Case, mimeo, Banca d'Italia, 2009. Case, K., J. Quigley, and R. Shiller, Comparing Wealth Effects: The Stock Market versus the Housing Market, NBER Working Papers 8606, 2001. Catte, Pietro, N. Girouard, R. Price, and C. Andre, Housing Markets, Wealth and the Business Cycle, Economic Department Working Papers, No. 394, OECD, 2004. Feldstein, S. Martin, Housing, Credit Markets and the Business Cycle, NBER Working Papers 13471, October 2007. FernandezCorugedo, Emilio, Simon Price, and Adrew Blake, The Dynamics 146. 118 of ConsumersExpenditure: The UK Consumption ECM Redux, working paper, No. 204, Bank of England, 2003. Ferrara, L. and S. J. Koopman, Common Business and Housing Markets Cycles in the Euro Area: A Multivariate Component Approach, mimeo, Banque de France, 2009. Ferrara, L. and O. Vigna, Evidence of Relationships between Macroeconomic and Housing Markets Cycles in France, mimeo, Banque de France, 2009. Iacoviello, Matteo, House Prices and Business Cycles in Europe: A VAR Analysis, BC Working Paper 540, Boston College, 2002. Iacoviello, Matteo, Consumption, House Prices and Collateral Constraints: A Structural Econometric Analysis, Journal of Housing Economics, Vol. 13, No. 4, 2004. Iacoviello, Matteo, House Prices, Borrowing Constraints and Monetary Policy in the Business Cycles, American Economic Review, Vol. 95, 2005. Igan, Deniz, Alain Kabundi, Francisco Nadal De Simone, Marcelo Pinheiro, and Natalia Tamirisa, Three Cycles: Housing, Credit, and Real Activity, IMF Working Paper, No. 09/231, 2009. Knetsch, T., Trend and Cycle Features in German Residential Investment before and after Unification, mimeo, Deutsche Bundebank, 2009. Leamer, Edward, Housing Is the Business Cycle, proceedings, Federal Reserve Bank of Kansas City, 2007, pp.149~233. Leamer, Edward, Homes and Cars: Why are the Cycles in Homes and Consumer Durables so Similar? advances in BE Journal of Economic Analysis and Policy, Berkeley Electronic Press, Vol. 9, No. 3, 2009. Lettau, M. and S. Ludvigson, Consumption, Aggregate Wealth and Expected Stock Returns, Journal of Finance, American Finance Association, Vol. 56, 2000. Ludvigson, Sydney and Charles Steindel, How Important Is the Stock Market Wealth Effect on Consumption? Economic Policy Review, Vol. 5, Federal Reserve Bank of New York, 1999. Mian, Atif and Amir Sufi, Household Leverage and the Recession of 2007 147. 3 119 to 2009, NBER Working Papers 15896, October 2009. Muellbauer, John, Housing, Credit and Consumer Expenditure, working paper, Oxford University, September 2007. 148. 120 4 () 1 . . . , . . , . , LTV, DTI . 1 . 149. 4 121 . , . 2008 , . , . . 2008 . . . 2000 . . . . 2 - (stock-flow) . . 3 . 150. 122 . (borrowing constraints) . CCI(Credit Condition Index) , CCI . 4 - . 5 . 6 . 2 - . . . - , . Fisher-Dispasquale-Wheaton( FDW) . FDW - 4 - () . , , . . 1 . 151. 4 123 asset market P=f(c) P=R/(i+) = / property market: stock-flow adjustment D(R, econ) D'(R, econ) property market rent, $ asset market price, $ [ 4-1] FDW - 2 . 3 4 (steady state) . FDW - McCarthy and Peach(2002) . -(stock-flow investment) (stock) . () . -(short-dynamics) - . , . (1) 152. 124 (credit availability) . . () (2) . (2) (flow) , , (Credit Condition Index) ( ) . . . - . (2) . (3) (flow) - . . . . , . (utility) . , 153. 4 125 . , , . (Multinomial Logit Model) . . (4) () (5) . (5) - . (6) . (6) (flow) , . (7) , (land price) (construction cost) . (flow) .1 154. 126 (6) . . (short-run adjustment) (6) . (8) (6) . (9) . . . 3 2000 (financial liberalization) . (credit availability) . (borrowing-constrained) . 1 . (new residential investment) (static) . 155. 4 127 (wealth effect) . Goodhart and Hofmann(2007) (boom-burst cycle) . (trend) , (distress) . . (discount rate) (future cash flow) . . . (Barakova et al.[2003]; Yamashita[2007]; Jin and Zeng[2004]). (household borrowing) . (wealth) . (lifetime wealth) (smoothing) . . , . ( ) , (Liang and Cao[2007]). CCI Fernandez-Corugedo and Muellbauer(2006) . CCI . 10 (credit indicator) 156. 128 . (relative credit condition) . (credit condition) (flexible trend) CCI . Fernandez-Corugedo and Muellbauer(2006) (First Time Buyer: FTB) LVR(Loan to Value) LIR(Loan to Income) (27 27 ) ( ) 8 . (unsecured consumer credit) 2 10 . RISK . CCI 10 . Fernandez-Corugedo and Muellbauer . for (10) 10 (10) ECM(Error Correction Model) (adjustment speed) . . , , / , , . (10) CCI (time) (spline function) . (11) 157. 4 129 : (split trend) : 1 . : (1980 3 1980 4 (-) 0 ). RISK . (12) , , , . Fernandez-Corugedo and Muellbauer(2006) CCI Jansen and Krogh(2011) CCI LVR LIR . (total debt) , (wealth) . (13) , : , : (aggregate wealth), : , : . (secured debt) . (financial liberalization) (regime shift), CCI (structural trend) . 158. 130 , for (14) : 1/4 0 . . : . . (15) (16) (15) (16) , . CPI . (housing wealth), (household stock of liquid assets) (household stock of moderately liquid assets). (12) RISK . I(1) 1 (Error Correction term) . 2 VECM . (17) 159. 4 131 CCI Goodhart and Hofmann(2007) FCI(Financial Condition Index) . Monetary Condition Index(MCI) . MCI (property) (equity) . . MCI FCI . FCI , , . , (reduced form) VAR (Impulse response function) . , , , VAR (impulse response) 58% G7 40% . Goodhart and Hofmann(2007) FCI Fernandez-Corugedo and Muellbauer(2006) CCI . FCI (economic activity) (direct/causal effect) (financial sector) . Goodhart and Hofmann(2007) () FCI . , CCI FTB (mortgage affodability) (credit availability) . FCI 160. 132 . , CCI ( ) . (Tenure Choice) . . (18) , CD 1 . (short-dynamics) (10) . (17) . (19) (17) / (relative credit availability) CCI . (17) (error correction term) . [ 4-2] . 4 2 3 . 161. 4 133 Credit Condition Index(CCI) - Government policy factor Income user cost, income borrowing constraint Tenure choice [ 4-2] , (simultaneous equations) . , . . . 1. () (4) . (20) 162. 134 () 132 9.48 0.076 9.33 9.59 () 144 4.50 0.077 4.32 4.59 ()1 GDP 130 -5.41 0.19 -5.81 -5.052 CCI 84 9.06 5.29 0.068 17.62 < 4-1> . , , (20) . (21) 2000~10 (interpolation) . () 2010 6=100 . GDP ( ) (17) . , LTV/DTI . CCI . < 4-1> . . 1) ln ln ln 2) ln ln ln 1 RGDP 163. 4 135 1 2 ln 0.126(0.051)** -0.031(0.047) ln 0.322(0.016)*** 0.178(0.024)*** - 0.042(0.006)*** 10.667(0.295)*** 10.584(0.235)*** 84 84 0.896 0.936 < 4-2> : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . ln CPI . 1 2 < 4-2> . < 4-2> CCI 2004~10 . 1 (+) 1 GDP (+) , 2 (-) . 2 CCI (+) . , . . (tenure choice) . 2008 . . . 4 (wealth-constraint) .2 164. 136 3 4 0.0016(0.0006)** 0.0002(0.0007) 0.789(0.057)*** 0.402(0.063)*** 0.050(0.002)*** 0.040(0.002)*** 0.107(0.017)*** 0.132(0.019)*** -0.381(0.042)*** -0.211(0.047)*** - -0.556(0.062)*** - -1.642(0.052)*** 4,497 4,497 log -2,563.27 -2,016.76 < 4-3> : : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . 3) Pr 4) Pr Cho and Min(2011) -(price-rent ratio) . . , 1 0 . (borrowing constraint) . (wealth-constrained) 1 (wealth-constrained) 0 . < 4-3> . 2 (wealth-constraint) Cho and Min(2011) . 165. 4 137 // . (unordered) (multiple choices) (multinomial) . (multinomial logit), (conditional logit) (mixed logit) (case-specific) . , (, , ) . (additive random utility model) . . for (22) (22) (deterministic component) (random component) . . () . Pr Pr Pr Pr Pr . 166. 138 Pr Pr (23) type I extreme CDF . exp exp Type I Extreme (23) . Pr exp exp exp exp 1 . . Pr exp exp < 4-4> . 5 6 3 4 (unordered) (multinomial) . 6 , (UC) . , vs , vs . , , . (wealth constraint) vs (+) . , . 167. 4 139 5 6 vs. vs. vs. vs. -0.001 (0.001) -0.023 (0.002)*** -0.002 (0.001)** -0.014 (0.002)*** 1.206 (0.112)*** -0.161 (0.145) 0.710 (0.123)*** -0.168 (0.164) 0.090 (0.004)*** 0.017 (0.004)*** 0.077 (0.004)*** 0.015 (0.005)*** 0.114 (0.033)*** -0.171 (0.044)*** 0.172 (0.037)*** -0.195 (0.045)*** -0.738 (0.081)*** -0.164 (0.109) -0.490 (0.087)*** -0.498 (0.116)*** -0.905 (0.111)*** 0.407 (0.238)* -2.162 (1.077)*** 2.142 (0.179)*** 4,497 4,497 logL -3587.2 -2916.9 143 0.414 0.628 -0.830 3.05 90 0.930 0.534 -0.27 2.41 < 4-4> : : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . < 4-5> (: %) (21) (error correction term) . (24) , . < 4-5> . 168. 140 7 8 0.654(0.074)*** 0.927(0.107)*** - -0.335(0.100)*** 0.237(0.066)*** 0.181(0.065)*** -5.712(3.407)* -7.097(3.234)** -0.126(0.069)*** -0.061(0.067) 84 84 adj 0.641 0.682 < 4-6> : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . (24) . 7) 8) 7 8 < 4-6> . (flow) . (7) . 9) , , . < 4-7>, 7 < 4-8> . 169. 4 141 7 3.073(0.848)*** -2.780(1.553)* -2.033(0.987)** 18.921(2.403)*** 139 adj 0.114 () 141 10.46 053 8.73 4.62 () 144 4.37 0.17 4.03 4.64 () 142 4.48 0.11 4.28 4.64 () 141 4.62 0.17 4.36 4.93 < 4-7> < 4-8> : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . 2. CCI . Fernandez-Corugedo and Muellbauer(2006) Jansen and Krogh(2011) CCI . (total debt) (17) . 10) (17) 170. 142 90 0.29 0.55 -0.76 2.11 90 0.66 0.71 -0.83 2.92 GDP 135 0.49 2.10 -3.91 4.27 131 0.19 0.48 -1.05 1.53 142 -0.020 0.30 -1.0 1.50 CD 143 -0.026 0.21 -1.46 0.30 < 4-9> (: %, %p) . 11) 10 CCI 1 (normalization), 11 CCI . 11 CCI 10 11 (nonlinear seemingly unrelated regression) . CCI . (step time dummy) . , . 2004 1 2010 12 7 7 . Fernandez-Corugedo and Muellbauer(2006) Jansen and Krogh(2011) (split) CCI (credit policy) , CCI . CCI < 4-9> 171. 4 143 10(total debt) 11(mortgage) 0.071(0.012)*** 0.076(0.017)*** 0.857(0.058)*** 1.077(0.086)*** 0.084(0.104) -0.558(0.147)*** -0.093(0.085) -0.082(0.118) (adjustment speed) -5.573.(1.383)*** (adjustment speed) -5.424(1.155)*** (EC term ) -3.876(0.876)*** (EC term ) 0.217(0.050)*** (EC term ) 1.011(0.102)*** (EC term ) 0.005(0.003) (EC term ) -0.001(0.008) (EC term ) -20.05(1.883)*** (EC term ) 0.701(0.108)*** (EC term ) 1.707(0.219)*** (EC term ) -0.013(0.006)* (EC term ) 0.016(0.107) (CCI ) 2.414(0.161)*** (2004 ) 0.824(0.522) (2005 ) 3.247(0.654)*** (2006 ) 3.225(0.755)*** (2007 ) -9.322(0.856)*** (2008 ) 2.980(0.704)*** (2009 ) 2.611(0.628)*** (2010 ) -0.630(0.592) 84 84 R-sq 0.891 0.923 < 4-10> CCI : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . . 10 11 < 4-10> . 172. 144 05101520 MonthlyCreditConditionIndex 2 0 04 m 1 20 0 6m 1 20 08 m 1 2 01 0 m 1 m o nth 05101520 CreditConditionIndex 12.512.612.712.8 TotalDebt 2 0 04 m 1 20 0 6m 1 20 0 8m 1 20 1 0m 1 m on th T o tal D eb t C C I [ 4-3] CCI [ 4-4] CCI [ 4-3] 2004 1~2010 12 CCI . 2005 2006 2007 2008 . 2009 . 173. 4 145 12 0.727(0.038)*** 0.133(0.037)*** 0.249(0.035)*** 0.489(0.143)*** 122 0.942 05101520 CCI 11.611.81212.2 OutstandingMortgage 2 0 04 m 1 20 0 6m 1 20 0 8m 1 20 1 0m 1 m on th ? ? ? ? ? ? ? ? C C I () CCI() [ 4-5] CCI < 4-11> : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . [ 4-4] (total debt) CCI . [ 4-5] CCI . (18) , < 4-11> . 12) 174. 146 13 0.042(0.007)*** 0.053(0.038) 1.052(0.181)*** -0.749(0.363)** -0.036(0.280) (EC term ) -3.916(1.958)** 0.471(0.098)*** 2.255(0.212)*** -0.051(0.008)*** 0.002(0.013) -24.38(1.806)*** 84 adj 0.561 < 4-12> : 1) ***, **, * 99%, 95%, 90% . 2) ( ) S.D . (19) ( ) . 13) 11 (CD rate) ( 10 11) . CCI (+) . (adjustment speed) (-) 175. 4 147 . , (-) (household wealth) (+) . 5 1. CD . CD . 12 ( ) CD 1%p 0.25%p . ( ) . . 13 0.25%p 0.749%(-0.25%p)=0.187% . 3,720 13,830 . 13 . 0.25%p -0.25 (-3.916)0.051=0.049%, 0.049% . 970 14,980 . ( ) . 8 0.667% 176. 148 Month t -1 206,575 199,012.7 - t 207,959 (1,383.7) 199,385.4 (372.6) 0.187% 0.25% t +1 209,457 (1,498.2) 199,483.1 ( 97.7) 0.049% - Month t -1 102.43 - - t 102.55(0.122) 0.120% 0.667% t +1 102.77(0.218) 0.213% 0.717% < 4-13> (: 10, %) : t -1 2011 6 . < 4-14> : t -1 2011 12 . 0.667%0.181=0.120% , 0.12 102.55 . ( ) . (i) 0.120%0.927=0.11% (ii) 8 . 0.120% 0.120%(7.097)0.031=0.026% (iii) < 4-4> 8 0.717% 0.717%0.181=0.129% (iv) 11-0.026+0.129= 0.213% 102.77 . 177. 4 149 Month (housing stock) t -1 14,759 - t 14,758.4(0.54) 0.120 t +1 14,757.7(0.97) 0.213 Month t -1 41,802.6 - t 41,956.4(153.8) 0.120% t +1 42,230.8(274.3) 0.213% < 4-15> (: , %) : t -1 2010 12 . < 4-16> (: , %) : t -1 2011 9 . . 2 1% 0.031% , 0.120% 0.120%(0.031)=0.0037% . 0.213% 0.213% (0.031)=0.0066% . . 9 1% ( ) 3.073% 0.120% 0.120%3.073=0.368% . ( ) 153.8 . 0.213% 0.213 3.073=0.654% . 274.3 . 3 178. 150 Month t -1 0.690 0.252 0.057 - t 0.690 0.253 0.056 0.25% Month t -1 0.412 0.489 0.098 - t 0.412 0.490 0.096 0.25% < 4-17> // : : =50.4, =2,573, =3.21 . < 4-18> // : 30 : =34.9, =3,252, =3.14 . . 0.25% (user cost) 6 . 6 . 2008 39.9 0.25% 41.2 , vs. vs. . < 4-17> . . < 4-18> 30 30 . 30 , < 4-18> 3 (wealth constraint) (income constraint) . 179. 4 151 . 2. () . 1 12 2 . 2 12 2 2 . 2010 7~2011 6(12) 0.551%. . 1 8 , 8 0.551% 0.551%0.181=0.099% . 102.43 0.101 102.53 , ( ) . (i) 0.099%0.927=0.091% (ii) 6 . 0.099% 0.099%( 7.097)0.031=0.0217% (iii) ( 1 ) 0.551% 0.551%0.187=0.103% 180. 152 Month t -1 102.43 - - t 102.53(0.101) 0.099% 0.551% t +1 102.70(0.176) 0.172% 0.551% < 4-19> : 1 : t -1 2011 12 . (iv) 0.091-0.0217+ 0.103=0.172% 102.70. . 2 2 1.1% 8 1.1% 1.1%0.1810.205% . 102.43 0.209 102.64 . ( ) . (i) 0.205%0.927=0.190% . (ii) 6 . 0.205% 0.205% (7.097)0.031=0.0451% . (iii) ( 1 ) 1.1% 1.1%0.181=0.205% . (iv) 0.190-0.0451+ 0.205=0.349% 102.99 . 1 181. 4 153 Month (housing stock) t -1 14,759 - t 14,769.3(10.31) 0.100% t +1 14,778.4(9.14) 0.194% Month (housing stock) t -1 14,759 - t 14,780.2(21.25) 0.113 t +1 14,790.7(10.44) 0.203 Month t -1 102.43 - - t 102.64(0.209) 0.205% 1.1% t +1 102.99(0.358) 0.349% 1.1% < 4-20> : 2 : t -1 2011 12 . < 4-21> : 1 (: , %) : t -1 2010 12 . < 4-22> : 2 (: , %) : t -1 2010 12 . . 2 1% 0.031% . ( 4-15 ) 0.099% 0.099%(0.031)=0.0031% . 0.172% 0.172%(0.031)=0.0053% . 2 . < 4-20> 0.205% 0.205%(0.031)=0.0063% 182. 154 Month t -1 41,802.6 - t 41,930.9(128.33) 0.100% t +1 42,180.8(249.9) 0.194% 0.349% 0.349%(0.031)=0.0108% . . 1 7 1% ( ) 3.073% 1 0.099% 0.099%3.073=0.304% . ( ) 127.1 . 0.172% 0.172%3.073=0.528% . 221.3 . 2 . 0.099% 0.205%3.073=0.629% ( ) 262.9 . 0.349% 0.349%3.073=1.072% , 450.9 . < 4-23> : 1 (: , %) : t -1 2011 9 . 183. 4 155 Month t -1 41,802.6 - t 41,947.6(145.05) 0.113 t +1 42,209(261.3) 0.203 < 4-24> : 2 (: , %) : t -1 2011 9 . 3. Credit Condition Index . CCI . CCI CCI 10% , . CCI 20% . 2010 12 1 CCI 19.382 2 CCI 21.144 . 13 CCI 1 () 0.042% 1 11 CCI 19.382 1.76 1.760.042=0.073% . 1,450 11,460 . 12 (1.5%) CCI 19.672 0.29 0.290.042=0.012% . 230 14,190 . 2 CCI 20% 21.144 3.524 . 3.5240.042=0.148% 2,940 184. 156 13,020 . 12 (1.5%) CCI 0.317 0.3170.042=0.013% . 230 14,190 . . 1 < 4-25> 0.553% 8 0.553%0.181= 0.100% . 0.102 102.54 . ( ) . (i) 0.100%0.927=0.093% . (ii) 8 . 0.100% 0.100%( 7.097)0.031=0.022% . (iii) < 4-27> 0.680% 0.680%0.181=0.123% . (iv) 0.093-0.022+ 0.123=0.194% 102.73 . < 4-26> 0.628% 0.6280.181=0.114% 0.101 102.55 . 185. 4 157 Month t -1 102.43 - - t 102.54 (0.102) 0.100% 0.553% t +1 102.73 (0.198) 0.194% 0.680% Month CCI t -1 206,575 199,012.7 - t 207,722 (1,146.5) 199,158 (145.2) 0.073% 10% t +1 209,141 (1,419.2) 199,181.9 (23.9) 0.012% 1.5% Month CCI t -1 206,575 199,012.7 - t 207,877 (1,302) 199,307.3 (294) 0.148% 20% t +1 209,300 (1,422) 199,333.2 (25.9) 0.013% 1.5% Month t -1 102.43 - - t 102.55(0.117) 0.113% 0.628% t +1 102.75(0.208) 0.203% 0.682% < 4-25> : 1 (: 10, %) : t -1 2011 6 . < 4-26> : 2 (: 10, %) : t -1 2011 6 . < 4-27> : 1 : t -1 2011 12 . < 4-28> : 2 : t -1 2011 12 . 186. 158 ( ) . (i) 0.114%0.927=0.105% . (ii) 8 . 0.113% 0.114% (7.097)0.031=0.025% . (iii) < 4-21> 0.682% 0.682%0.181=0.123% . (iv) 0.105-0.025+0.123= 0.203% 102.75 . . 1 CCI 2 CCI , CCI . CCI 1 0.042% . 1 CCI 1.76 1.760.042%=0.073% . < 4-22> 0.1% 0.1%(0.031)=0.0031% . 0.073-0.0031=0.0699% . CCI 0.29 0.290.042%=0.0122% 0.194% 0.194%(0.031)= 0.00601% . 0.0122-0.00601=0.00619% . 2 CCI 3.524 3.5240.042%=0.148% , < 4-23> 187. 4 159 Month (housing stock) t -1 14,759 - t 14,769.3(10.31) 0.100% t +1 14,778.4(9.14) 0.194% Month (housing stock) t -1 14,759 - t 14,780.2(21.25) 0.113% t +1 14,790.7(10.44) 0.203% < 4-29> : 1 (: , %) : t -1 2010 12 . < 4-30> : 2 (: , %) : t -1 2010 12 . 0.113% 0.113%(0.031)=0.0035% . 0.148-0.0035= 0.144% . CCI 0.317 0.317 0.042%=0.0133% . 0.203% 0.203%(0.031)=0.00623% . 0.0133-0.00623= 0.00707% . CCI . 1 0.100% 0.100%3.073=0.307% . ( ) 128.33 . 0.194% 0.194%3.073=0.596% . 249.9 . 188. 160 Month t -1 41,802.6 - t 41,930.9(128.33) 0.100% t +1 42,180.8(249.9) 0.194% Month t -1 41,802.6 - t 41,947.6(145.05) 0.113% t +1 42,209(261.3) 0.203% < 4-31> : 1 (: , %) : t -1 2011 9 . < 4-32> : 2 (: , %) : t -1 2011 9 . 2 0.113% 0.113%3.073=0.347% , ( ) 145.05 . 0.203% 0.203% 3.073=0.623% , 261.3 . 4. . ( ) . 189. 4 161 t CD 1%p t 0.120 0.0037 0.368 t +1 0.213 0.0066 0.654 1: 0.551% 2 t 0.099 0.0031 0.304 t +1 0.172 0.0053 0.528 2: 1.1% 2 t 0.205 0.0063 0.629 t +1 0.349 0.0108 1.072 CCI 1: t CCI 10% t 0.100 0.0699 0.307 t +1 0.194 0.0062 0.596 2: t CCI 20% t 0.114 0.1440 0.347 t +1 0.203 0.0071 0.623 < 4-33> (: %) . < 4-33> . , . 0.12~0.21% . . 0.1%( 1)~0.2%( 2) . CCI 0.1~0.2% . CCI . CCI . 190. 162 (//) , . . 6 . . . . . .