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Essays on the Currency Market and Real Estate Market

  • Yuhyeon Bak (박유현, 대학원 경제학과 화폐금융론전공)

초록/요약

This dissertation is about the predictability of an exchange rate with the unobservable risk premium and the effects of housing mortgage loan regulations on housing price stabilization in Korea. The first chapter is dealing with the estimation of the unobservable risk premium and the predictability of an exchange rate. It is well-known that the uncovered interest rate parity (UIP) performs badly in forecasting exchange rate movements, especially in the short run. One possible reason for this failure is the existence of the unobservable risk premium. I estimate the unobservable risk premium with a predictive system using the implied volatility of at-the-money currency options and add the estimated risk premium to predict exchange rate movements. Via out-of-sample analysis, the result shows that adding the estimated risk premium from the predictive system greatly improves the short-run predictability of exchange rates. The second chapter is to examine the effects of housing mortgage loan regulations (Loan to Value and Debt to Income) on housing price appreciation in Korea. The applied areas of the regulations were altered when the policies were implemented and the regulations vary from areas to areas. I classify the areas into regulated and non-regulated regions. Then selection bias is corrected with propensity score matching considering that the housing market is localized, and next the policy effect is analyzed with difference-in-differences. The findings indicate that (i) stricter mortgage loan regulations in 2007 and 2009 decrease the housing price growth rate; (ii) the tightening of regulations in 2011 and 2017 brings down housing price appreciation in the short term; (iii) after the global financial crisis, the magnitude of the policy effect has steadily diminished. Even though the direction of the policy is frequently changed, the trend implies that the tightening of mortgage loan regulations effectively stabilize housing price appreciation as borrowing constraints restrict the possibility of speculative demand.

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목차

Chapter 1 Exchange Rate Predictability, Risk Premiums, and Predictive System 1
1. Introduction 1
2. UIP and an Empirical Model with Predictive System 4
3. Data 10
4. Empirical Analysis . 11
4.1. The Bayesian Approach and Risk Premium Estimates . 11
4.2. Exchange Rate Predictability: Out-of-sample Analysis 13
5. Conclusion 14
Chapter 2 Are housing mortgage loan restrictions effective for housing price
stabilization 25
1. Introduction 25
2. An Empirical Model with Difference-in-Differences. 27
3. Data 29
4. Empirical Analysis . 30
4.1 Range and period of analysis 30
4.2 Results . 31
5. Conclusion 34
Appendix . 43
References 49

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