An Analysis of the Jonsei and Purchase Prices in the Korean Housing Market

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1 Modrn Economy, 205, 6, 8-89 ublishd Onlin January 205 in SciRs. hp:// hp://dx.doi.org/0.4236/m An Analysis of h Jonsi and urchas rics in h Koran Housing Mark Giyoung Lim Dparmn of Inrnaional Economics & Law, Hankuk Univrsiy of Forign Sudis, Soul, Souh Kora gylim@hufs.ac.kr. Rcivd 8 Dcmbr 204; accpd 23 Dcmbr 204; publishd 4 January 205 Copyrigh 205 by auhor and Scinific Rsarch ublishing Inc. This work is licnsd undr h Craiv Commons Aribuion Inrnaional Licns (CC BY). hp://craivcommons.org/licnss/by/4.0/ Absrac Th primary purpos of his papr is o consruc and sima an conomric modl for h Jonsi-o-urchas pric raio (JR), and o draw implicaions for h dvlopmn in h Koran housing mark. In paricular, w ar inrsd in: a) idnifying rgims across which h raio shows markdly diffrn dynamic bhavior; and b) drawing implicaions from h modl for h rcn incrass in h raio. Esimaion of h modl for h priod 987:Q-20:Q3 confirms h prsnc of wo diffrn rgims: on wih h zro rnd in h JR, and h ohr wih posiiv rnd. Furhrmor, i is found ha cyclical variaions play nonrivial rol only in h firs rgim, whil h movmns of h JR in h ohr rgim ar mosly govrnd by h rnd componn. W also find ha h cyclical dviaions of h raio from is rnd ar corrcd, if any, by h changs in h fuur purchas pric. Kywords Housing ric, Jonsi ric, Markov Rgim Swiching, Unobsrvd Componn Modl, Trnd and Cyclical Componns. Inroducion Th housing rnal mark in Souh Kora has a vry uniqu form of housing rnal conrac calld Jonsi, whos liral maning is h ransfr rn. Th Jonsi is on of h mos common housing rnal conracs in Souh Kora and is no found lswhr in h world. I has occupid a significan rol in h rapid urbanizaion of h Koran conomy. Th Koran Govrnmn is amping o sabiliz h Jonsi pric o improv housing scuriy for h Koran popl. Rahr han paying priodic rns for h righ o us ral propry for a priod of im, h nan undr h Jonsi conrac ransfrs an up-fron dposi, amouning usually up o 40% o 80% of h propry valu, o h How o ci his papr: Lim, G. (205) An Analysis of h Jonsi and urchas rics in h Koran Housing Mark. Modrn Economy, 6, hp://dx.doi.org/0.4236/m

2 landlord for h us of h propry wihou making any priodic paymns during h conrac. Whn h conrac maurs, h nan is nild o g h full rfund of h dposi in nominal rms wih no inrs. Thus, h implici rns ar paid by h nan o h landlord in h form of h forgon rurns from invsing h lump sum dposi during h conrac priods. Th Jonsi sysm liminas h liklihood of nan s dfaul on monhly rn as h dposi is maximizd unil h nd of h conrac priod. Howvr, h lump-sum dposi imposs a hug burdn for youngr rnrs and nw housholds. Th Jonsi sysm is crucial facor o achiving an in-dph undrsanding of h Koran housing mark 2. Th housing financ sysm Jonsi has bn widly sprad in Souh Kora, wih h rapid urbanizaion for h las fw dcads. Espcially, in 2000, only 4% of h housholds in Soul ownd hir dwlling, 40% of hm undr Jonsi housing and 6% was monhly rn housing. In urban aras, Jonsi housing ofn corrsponds o 2/3 s of all housing. Th housing sysm Jonsi works in a way ha ffcivly allows ownrs o lvrag hir invsmns by pulling ou significan dposis which ar usd o purchas addiional propris. I also allows ownrs o skir govrnmn rnal pric conrols and ownrship rsricions. Figur dpics h movmns in h JR (Jonsi-o-urchas pric raio). Evidnly, h JR has shown long swings: h raio has sadily incrasd ovr h priod, followd by a dcrasing rnd unil h la Anohr upward rnd is obsrvd in h rcn priod sinc hn. Th incras in h JR can b inrprd in wo ways. Firs, i can b inrprd ha h incras of h JR is simply a rnd chang. Whil h raio sayd around avrag 37% - 40% unil 99, w can s h rnd incras sinc h mid 992. A ha im, h xpcaion of hous purchas pric incras was coninuously shrinking and fll shor of h incras of Jonsi pric, which brough ou ha h JR showd long rm upward rnd. Consqunly, h rapid incras of h JR sinc la 998 and 2008 may b inrprd as his kind of rnd chang. Howvr, w can also viw h incras of h JR as a signal for h fuur incras in hous purchas pric. Th incras of h raio is a phnomnon causd by fasr incras of Jonsi pric compard wih hous purchas pric. Sinc h incras in Jonsi pric mans h incras of rnal pric, i can b prdicd ha h hous pric will b raisd as h rflcion of h rnal pric incras. In ohr words, as a rsul of h obsrvaion ha hous pric dos no rflc immdialy h incras of Jonsi pric, h JR is incrasd, which can b inrprd ha h hous pric will b incrasd in h fuur for adjusmn. In raliy, looking back pas xprincs, his kind of infrnc has is own validiy sinc i has bn shown ha h incras ra in Jonsi pric forruns h incras ra in hous purchas pric 3. Consqunly, h formr is an inrpraion ha h incras of h JR is rnd chang accompanid by h xpcd incras ra of hous pric. Th lar is an inrpraion o b ransiory chang o b shown as a consqunc of h maning ha h ral pric of hous pric dos no rflc h inrinsic pric immdialy. How h incras of h JR is inrprd givs oally diffrn maning o invsor and policy makr. If i is inrprd as h formr, i is no ncssary for invsor and policy makr o pu h significan maning in h incras of h JR. Howvr, if i is inrprd as h lar, invsor will hav h opporuniy o hav arbirag profi and policy makr has o prpar policy ools for h sabiliy of hous pric. Bu, w don know x an Figur. Naionwid Jonsi o purchas pric raio. Sourc: Kookmin Bank Ral Esa Rpor, hp://nland.kbsar.com/quics?pag=rsar. Th rlaionship bwn hous pric and rnal ra has bn discussd in forign counris. For xampl, Cus al. [], Campbll al. [2], and Gallin [3] hav don mpirical ss wih USA daa. 2 According o opulaion and Housing Cnsus Rpor 200, 55.5% of housholds ar in ownr occupid houss whil 2.4% ar undr Jonsi conracs. Th rmaining 20.2% is akn by h monhly rnal conracs. Evn if h shar of Jonsi has bn dcrasd ovr las dcad, Jonsi is sill imporan in housing mark. 3 S L, Y.M. [4]. 82

3 whhr h incras of h JR is causd by rnd chang or ransiory chang. In raliy, vn hough h incras of h JR is influncd by boh changs, w don know which facor is srongr. In his papr, w ry o spara h rnd and ransiory chang which ar mixd in h chang of h JR. Through his sparaion, w answr h following qusions: a) How much h dgr of rnd variaion and ha of cyclical variaion ar in h middl of h incras of h JR? b) How cyclical variaion is usd as h prindx for h fuur chang in hous purchas pric? Using h sa-spac modl, w ry o spara h JR as h rnd componn which shows h movmn of inrinsic valu and h cyclical componn which appars in h procss of ral valu s rflcing h chang of h inrinsic valu. In h following scion, h modl is discussd brifly. In scion 3, w prsn our mpirical rsuls. Scion 4 concluds h papr wih a fw findings. 2. Th Modl 2.. Thorical Background W prsn wo possibl inrpraions of h changs in h JR. Th inrinsic valu of hous can b dscribd as h following 4 : R + = + () + r + r whr is h inrinsic pric of hous in priod, R rn rvnu a h nd of priod, r discoun ra, and + h hous pric prdicd in priod + basd on h informaion in priod. Hr, w dno ha h Jonsi pric in priod is J. I is assumd ha h convrsion ra of monhly rn o b usd as h Jonsi is changd ino monhly rn is h sam wih h discoun ra. Thn w g R = rj. lugging his rlaion ino (), w can g rj + = + (2) + r + r Sinc h abov quaion mans = + +, whr is h incras of hous pric xpcd in h nx priod, w can g Dividing boh sids of h (3) by If informaion, (4) will b = g, whr, rj + = + + r + r rj = + + r + r + r = J + (3) r J = + (4) r g is h xpcd incras ra of hous pric forcasd in priod wih all availabl * If hr is no diffrnc bwn h inrinsic valu and acual pric ( ) J which mans ha h JR * J g = (5) r J J g of hous, w g * = = r, dpnds on h xpcd incras ra of hous pric ( g ) and discoun ra 4 For furhr dails of h discussion in his scion rfr o L [4] who also rid an analysis wih small sampl which is saisically wak. 83

4 ( r ). Tha h JR is incrasing mans ha h xpcd incras ra of hous pric was droppd down or h discoun ra was raisd up. Howvr, if h ral pric of hous dos no rflc h inrinsic valu of hous wll, J hr can b som chang in h JR * wihou h chang in h xpcd incras ra of hous pric ( g ) or discoun ra ( r ). For xampl, in spi of h incras in h inrinsic valu of hous h incras in Jonsi pric, if h acual pric J * dos no rflc his causaliy, h JR * will b in- crasd wihou h chang in h xpcd incras ra of hous pric ( ) causd by g and discoun ra ( ) r. In his J * cas, h JR * will b dcrasd again, if h acual pric rflcs h inrinsic valu of hous pric. Th discussion abov allows us o inrpr h chang in h JR in wo ways. Firs, h chang in h JR mans ha hr is som chang in h xpcd incras ra of hous pric ( g ) or discoun ra ( r ). Scond, h chang in h JR is a kind of phnomnon causd by h siuaion in which h ral pric of hous dos no rflc h chang in h inrinsic valu of hous wll. This can b rgardd as a kind of pr-indx which forcass h chang in h fuur hous pric. Thr ar wo rasons why h JR is coninuously incrasing sinc h la of 998 and Th firs is som chang in h xpcd incras ra of hous pric ( g ) or discoun ra. Th scond is h chang which is apparing in h procss of h acual hous pric rflcing h chang in h inrinsic valu of hous. Th chang in h JR causd by chang in h xpcd incras ra of hous pric or discoun ra is a kind of srucural or rnd chang which is no changing asily in h shor run. Of cours, vn hough hr is possibiliy ha h discoun ra influncd by mark inrs ra is asily changabl in h shor run, h discoun ra is affcd by h long run inrs ra rahr han h shor run inrs ra bcaus h ransacion of ral sa such as h hous is accompanid by high cos. In gnral, considring ha h long rm inrs ra is sabl, i can b rgardd ha h discoun ra is also no asily changabl in h shor rm. Manwhil, h chang of h JR can b a kind of cyclical variaion which is shown in h procss of h ral pric of hous rflcing h inrinsic valu of hous. In ohr words, i can b rgardd as shor rm chang which is flucuaing in h cnr of inrinsic valu during h adjusmn of ral pric o h inrinsic valu. Consqunly, h work o spara h chang of h JR ino h par of h chang of inrinsic valu of hous and h par of h procss of adjusmn of ral valu ino inrinsic valu can b rgardd as h job o spara h chang of h raio ino rnd and cyclical componns. Sinc h wo componns ar no obsrvd, howvr, o spara h chang of h raio ino wo componns is vry difficul. Wih h daa of h xpcd incras ra of hous pric, w can spara h par of inrinsic valu ou of h JR. Unforunaly, howvr, h xpcd incras ra is no obsrvd. Owing o his difficuly, w us unobsrvd componn modl wih h us of Sa-Spac Modl. Th saisical ramn is by h sa spac form and hnc daa irrgulariis such as missing obsrvaions ar asily handld. Srucural im sris modls can b formulad in rms of unobsrvd componns, such as rnds and cycls, ha hav a dirc inrpraion. Thus, hy ar dsignd o focus on h salin faurs of h sris and o projc hs ino h fuur and also provid a way of wighing h obsrvaions for signal xracion, so providing a dscripion of h sris Empirical Modl W s off wih h dcomposiion of h JR ( y ) ino wo unobsrvd componns: y = T + C (6) whr T and C ar h rnd (or prmann) and h cyclical (or ransiory) componn, rspcivly. Th cyclical componn is assumd o follow a saionary AR (2) procss, wih possibl rgim shifs (or asymmric dviaions) in is inrcp, in h spiri of Fridman ([5] [6]) and Kim and Nlson [7]: C = ψ C + ψ C + π + u (7a)

5 π = π S, (7b) ( σ ( )) σ ( ) = σ + σ 0 u ~ N 0, S, S ( S ) S, (7c) u u u u S = 0 or, (7d) whr π is a discr asymmric shock dpndn upon an unobsrvd sa variabl S, and u is a symmric coninuous shock. S is an indicaor variabl ha drmins h naur of h shocks o h conomy. During h priods wih S = 0 (and hus π = 0 ), h JR flucuas around is rnd lvl bcaus h xpcaion (condiional on S = 0 ) of C is 0. During h ohr ims wih S =, h JR abruply dvias from h rnd via h rm π. In Equaions (7c), h varianc of h symmric disurbanc u is allowd o b hroskdasic across h wo sas of h housing mark. Th rnd componn T is assumd o b a gnralizd random walk wih a rgim-dpndn drif and variancs: ( ) T T = µ + ϕ T T 2 + ν, ϕ <, (8a) µ = µ + µ S (8b) 0, ( ) ( ) ( ) 2 ~ N(0, ν S, ν S ν0 S + ν S ν σ σ = σ σ (8c) whr (8a) assums ha h rnd componn of h JR follows a saionary AR() in is diffrncs. In (8b), h drif rm µ is subjc o abrup shif in h spiri of Hamilon [8]. W allow h varianc of h shock ν o h rnd o b sa-dpndn, as shown in Equaions (8c) 5. To compl h modl, w nd o spcify h voluion of h sa variabl S. To accoun for a prsisnc of normal and rcssion priods, w assum ha S volvs according o an xognous firs-ordr Markov-swiching procss: S = S = = q S = S = = p (9) r 0 0, r W cas h modl dscribd abov comprising Equaions (6) o (9) ino a sa-spac form. Th paramrs of h rsuling sa spac form ar hn simad via h approxima maximum liklihood algorihm. Using h simad paramrs of h modl, h simas of h probabiliis of h wo rgims and h wo componns ar consrucd as wll. W will discuss h simaion rsuls in h following scion 3. Empirical Analysis Th original daa usd in his papr ar h sasonally adjusd naionwid housing purchas pric indx and Jonsi pric indx ovr January 987 o Spmbr 20, compild and publishd by h Kookmin bank. Th original indics ar availabl in monhly frquncy, bu w us hir quarrly avrag o facilia h simaion 6. W hn rscal h raio of h Jonsi and purchas pric indics, so ha h rscald raio machs h acual raio which has bn officially compild sinc Jun 20. Bfor simaing h modl paramrs, w run uni roo ss for h JR sris. Ths ss also consiu a spcificaion s for h modl, sinc h spcificaion in Equaions (6) and (8a) is only valid whn h JR sris has a sochasic rnd. Th rsuls of h Augmnd Dicky-Fullr (ADF) and hillips-rron () ss suppor ha h JR sris is diffrnly saionary. W hn sima h modl from h Scion 2, and rpor h rsuls in Tabl. W firs discuss h rsuls for h rnd componn, whos man and variancs ar clarly rgim dpndn. In rgim wih S = 0, h drif rm µ aks µ 0 = 0.007, which is saisically insignifican. In rgim 2 wih S =, howvr, h drif rm is significanly posiiv µ 0 + µ = Th disurbanc o h rnd componn is also rgim dpndn, xhibiing much lowr volailiy in rgim 2. Th combind rsuls for h drif and variancs imply ha h rgim 2 is whr h JR incrass prsisnly around h sochasic rnd wih much lss volailiy han in h ohr rgim wih no drif rm. Th AR cofficin ϕ = is sharply 5 In h prsn papr, w mainain h assumpion ha h wo innovaions u and ν ar uncorrlad. Th rsuls obaind undr h nonzro corrlaion assumpion wr qualiaivly h sam. Thos rsuls ar availabl from h auhor upon rqus. 6 Consrucd from h bid prics for nw conracs, h original monhly indics can b oo noisy for us o g sraighforward mpirical rsuls. 85

6 Tabl. aramr simas. Trnd Componn ( ) T T = µ T T + ν 2 (0.0030) µ = (0.028) (0.0224) ( ) ( ) S σ S = S S ν (0.0203) (0.086) Cyclical Componn C =.6660C C + π + u 2 (0.003) (0.0026) π = 0.04 (0.037) ( ) ( ) S σ S = S S 2 u (0.002) (0.0870) Transiion robabiliis r S = 0 S = 0 = , r S = S = = No: sandard rrors ar in h parnhss. (0.044) (0.0308) simad, and implis ha h JR incrass by 0.383% ovr h prvious quarr s valu in h long run 7. Rgarding h cyclical componn, h asymmric man paramr π for rgim 2 is simad o b 0.04 wih h asympoic -valu of 3.29 in absolu valu. Combind wih h rsuls for h rnd componn, his finding suggss ha h occasional posiiv drif in h rnd componn is accompanid by h mporary pluck-down of h JR blow rnd 8. According o h simad volailiis, h cyclical movmns in h JR hav non-dgnra variaions around h rnd only in rgim whn h rnd componn dos no hav drif. In rgim 2 which is characrizd wih sady incras in h rnd of JR du o h posiiv drif, howvr, h cyclical componn brings forh no addiional sochasic variaions in h JR. Th simad AR(2) cofficins, yilding h long-run cofficin ψ+ ψ2 = , imply a high dgr of inria in h movmns of h cyclical componn. Finally, h prsnc of wo disinciv rgims is furhr suppord by h simas of ransiion probabiliis paramrs. Ths paramrs imply ha h rgim and 2 ar xpcd o las for q = 0. and p = 8.8 quarrs, rspcivly, and h sady sa probabiliis of h wo rgims ar 53.4% and 46.6%. To idnify hisorical priods wih ihr rgim, w show h probabiliis of h rgim 2 for ach priod in Figur 2, whr h filrd probabiliis ar in dod lin and h smoohd probabiliis in solid lin. If w apply h 0.5 rul o h smoohd probabiliis, four sub-priods (i.., 987:Q2-989:Q2, 993:Q-996:Q4, 2003: Q3-2005:Q3, and 2007:Q3-20:Q3), consiuing 52% of h oal sampl priods, ar idnifid o hav bn in h rgim 2. Of h four sub-priods, h las on is of paricular imporanc: whil h acual JR sard o ris from 2009:Q3, h simad probabiliis show ha h housing mark swichd wo yars arlir 8 This calculaion is basd on h wighd avrag of µ and µ + µ, wih wighs bing h sady sa probabiliis of h wo rgims. 9 Alhough w do no impos any sign rsricions on h asymmry paramrs µ and π during simaion, h opposi signs of hm 0 0 may b an arifac of h modl ha only on sa variabl drivs h shifs in boh h prmann and cyclical componns. To addrss his possibiliy, w sima anohr modls wih wo indpndn sa variabls ach of which drivs swiching in on componn, and h movmns of h wo componns ar qualiaivly similar o hos in h currn modl wih on sa variabl. Th rsuls ar availabl from h auhors upon rqus. 86

7 Figur 2. robabiliis of rgim 2 wih rnd incras in h JR. o rgim 2 wih posiiv drif in h rnd of h JR. This suggss ha h rcn hiks in h JR ar no drivn by h corrcions in h housing prics oward h inrinsic valus. Rahr, hy ar likly o rflc, wih probabiliis highr han 95%, h changs in h discoun ra and/or xpcd housing pric inflaion. For furhr visual inspcion of h simaion rsuls, w now consruc h simas of unobsrvd componns and rcssion probabiliis implid by h paramr simas. Figur 3 plos h filrd simas of h rnd and cyclical componns. In panl (a), h filrd simas of h rnd incras T = T T in h JR (solid lin), h 95% confidnc inrval (dod lin), and h acual diffrnc in h JR (dashd lin) ar plod. Evidnly, h acual JR lis mosly in h 95% confidnc inrval for h rnd componn, xcp for a fw priods in which h acual ovr or undrshoos h simad rnd. This implis ha mos variaions in h acual JR can b xplaind by h movmns in h rnd componn, up o h rgim swiching. This rsul gains furhr suppor in h panl (b), whr h simad cyclical componn is plod along wih h 95% confidnc inrval. Sinc h confidnc inrval conains zro xcp for h la 90s and h rcn priods sinc 200, h cyclical componn can xplain only small porion of h movmns in h acual JR. Alhough h plos in Figur 3 aribu mos variaions in h JR o hos in h rnd, w sill sarch for h rol of h cyclical componn in h dvlopmn of h housing prics. To h xn ha h dviaions of h JR from is long-run rnd ar corrcd ovr im, i is imporan o xamin by which pric h corrcions ar mad: a posiiv cyclical dviaions can b corrcd by h incras in h purchas pric or h dcras in h Jonsi pric. Th abov qusion is inviably an mpirical issu. Thrfor, w chck if h cyclical par of h JR has an xplanaory powr for fuur changs in h purchas and Jonsi prics. To do so, w run h following rgrssions and h significanc of β and γ : log = β + β C + β LDV + ε, (0a) ( ) 0 k k 2 ( J) γ0 γ C k k γ2ldv ε2 log = + + +, (0b) whr and J ar h purchas and Jonsi prics, rspcivly. W considr h wo cass of Equaion (0), wih and wihou h laggd dpndn variabls (LDV) as xplanaory variabls. Tabl 2 rpors h simas of β and γ and hir -valus for k = o 4. Whn h Equaion (0) is simad wihou LDVs, h cofficins on h cyclical componn ar significanly posiiv for h fuur incras in h purchas pric up o 2 priods ahad. For h Jonsi pric, h cofficins ar much smallr han for h purchas pric and saisically insignifican. Whn h LDVs ar includd, alhough hos for h purchas prics ar largr han hos for h Jonsi pric, h cyclical componn urns ou o hav insignifican ffcs on ihr pric. Ovrall, h rsuls in Tabl 2 suggs, albi wakly, ha h corrcions for h cyclical dviaions in h fuur prics ar mad via h changs in h purchas pric. This bing h cas, h ngaiv cyclical dviaions in h currn rgim sinc 2007:Q3 may b a forboding of lowr purchas pric in h subsqun priod. 87

8 (a) Figur 3. Esimad componns. (a) Trnd and acual (diffrnc); (b) Cyclical (lvl). Tabl 2. rdiciv powr of h cyclical variaions in h JR. (b) Dpndn variabl log ( ) log ( J ) Laggd dpndn variabl No includd Includd No includd Includd Lags k = k = 2 k = 3 k = * (3.0809) (.5782) (.5895) (0.095) * (2.6753) (.0667) (0.9788) ( ) * (2.2943) (0.840) (0.4934) ( ) (.8235) (0.23) (0.083) ( ) No: sandard rrors ar calculad from h HAC simas of h varianc suggsd by Nwy and Ws. 4. Conclusion This papr has prsnd an amp o dvlop a dynamic modl for h Jonsi-o-urchas pric raio in Souh Kora, which accouns for h markdly asymmric bhavior of h raio across diffrn priods. In viw of h long swings in h raio ha appars in h daa, w adop a Markov-swiching unobsrvd componn modl in which h raio is dcomposd ino a rnd and a cyclical componn and h wo componns ar sochasically swiching bwn wo rgims. Esimaion of h modl for h priod 987:Q-20:Q3 confirms h prsnc of wo diffrn rgims: on wih h zro rnd in h JR and h ohr wih posiiv rnd. Furhrmor, i is found ha cyclical variaions play nonrivial rol only in h firs rgim, whil h movmns of h JR in h ohr rgim ar mosly govrnd by h rnd componn. W also find ha h cyclical dviaions of h raio from is rnd ar corrcd, if any, by h changs in h fuur purchas pric. Acknowldgmns I hank sminar paricipans in 38h Easrn Economic Associaion Annual Confrnc for hir hlpful commns and suggsions. This was suppord by Hankuk Univrsiy of Forign Sudis Rsarch Fund. 88

9 Rfrncs [] Cus, A., Grn, R. and Chang, Y. (2005) Did Changing Rns Explain Changing Hous rics During h 990s. Amrican Ral Esa and Urban Economics Associaion 2004 Annual Mings, Washingon DC, 3-5 January 2004, 25 p. [2] Campbll, S.D., Davis, M.A., Gallin, J. and Marin, R.F. (2006) A Trnd and Varianc Dcomposiion of h Rn- ric Raio in Housing Marks. Fdral Rsrv Board, FEDS apr [3] Gallin, J. (2008) Th Long-Run Rlaionship bwn Hous rics and Rns. Ral Esa Economics, 36, [4] L, Y.M. (2000) A Srucural Chang or a Forboding of ric Incras? An Inrpraion of h Ris in h Jonsio-urchas ric Raio (in Koran). Journal of h Koran Ral Esa Analysis Associaion, 6, [5] Fridman, M. (964) Monary Sudis of h Naional Burau, h Naional Burau Enrs Is 45h Yar. 44h Annual Rpor, Nw York, [6] Fridman, M. (993) Th lucking Modl of Businss Flucuaions Rvisid. Economic Inquiry, 3, hp://dx.doi.org/0./j b00874.x [7] Kim, C. and Nslon, C. (999) Fridman s lucking Modl of Businss Flucuaions: Tss and Esimas of rmann and Transiory Componns. Journal of Mony, Crdi and Banking, 3, hp://dx.doi.org/0.2307/2604 [8] Hamilon, J.D. (989) A Nw Approach o h Economic Analysis Nonsaionary Tim Sris and h Businss Cycl. Economrica, 57, hp://dx.doi.org/0.2307/

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