Cross-regional Spillover Effects in the Korean Housing Market

In this paper, we examine cross-regional spillover effects in the Korean housing market, using the predictive directional spillover index and the connectedness measurement. The basic finding is that Seoul has been the most influential market in Korea among various combinations of regional housing markets. We also presented evidence that other metropolitan cities affect only neighboring regions. As for the results based on the rolling-sample analysis, net directional spillovers of Seoul appear to have declined over the sample period. Although Seoul still remains the center of Korean housing market, neighboring regions have become increasingly more influential in affecting other regional markets.