Research Article
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Year 2022, Volume: 26 Issue: 1, 61 - 82, 28.10.2023

Abstract

References

  • Adana Karaağaç, G., & Altınırmak, S. (2018). Türkiye Konut Fiyat Endeksi ve Düzey Bazlı konut Fiyat Endeksler Arasındaki Nedensellik İlişkisi. Dergi Karadeniz, 39(39), 222–240. https://doi.org/10.17498/kdeniz.415650
  • Akkas, M. E.(2015). Housing prices and Mortgage Interest Rates: Toda-Yamamoto causality test. Pressacademia, 2(4), 572–572. https://doi.org/10.17261/pressacademia.2015414369
  • Akkay, R. C. (2021). The Macroeconomic Determinants of the Housing Prices in Turkey. Erciyes University İktisadi ve İdari Bilimler Fakultsei Dergisi, (58), 241-264. http.doi.org/20/2007-/erciyesibd.801319
  • Algieri, B. (2013). House price determinants: Fundamentals and underlying factors. Comparative Economic Studies, 55(2), 315–341. https://doi.org/10.1057/ces.2013.3
  • Apergis, N., & Rezitis, A. (2003). Housing prices and macroeconomic factors in Greece: Prospects within the EMU. Applied Economics Letters, 10(9), 561–565. https://doi.org/10.1080/1350485032000100260
  • Breusch, T. S. (1978). Testing for Autocorrelation in Dynamic Linear Models. Australian Economic Papers,17, 334-355. https://doi.org/10.1111/j.1467-8454.1978.tb00635.x
  • Breusch, T. S., & Pagan, A. R. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. In Econometrica (Vol. 47, Issue 5). https://doi.org/10.2307/1911963
  • Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships Over Time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
  • Canbay, Ş. & Mercan, D. (2020). Türkiye’de Konut Fiyatları, Büyüme ve Makroekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi. Journal of Management and Economics Research, 18 (1), 176-200. Dergisi, 176–200. https://doi.org/10.11611/yead.674472
  • Çetin, A. C. (2021). Türkiye’de Konut Fiyatlarına Etki Eden Faktörlerin Analizi. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 5(1), 1-30. https://doi.org/10.31200/makuubd.846667
  • Çorum, A. (2020). Konut Fiyatını Belirleyen Regresyon Denklemi: Maltepe İlçesi Örneği. International Journal of Advances in Engineering and Pure Sciences. https://doi.org/10.7240/jeps.605719
  • Dennis Cook, R., & Weisberg, S. (1983). Diagnostics for Heteroscedasticity in Regression (Vol. 70, Issue 1). https://www.jstor.org/stable/2335938
  • Dilber, İ., & Sertkaya, Y. (2016). 2008 Finansal Krizi Sonrası Türkiye’de Konut Fiyatlarının Belirleyicilerine Yönelik Analiz. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 4(1), 11. https://doi.org/10.18506/anemon.95997
  • Godfrey, L. G. (1978). Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables. Econometrica, 46, 1303-1310.
  • Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180–205. https://doi.org/10.1093/oxrep/grn009
  • Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. In Econometrica (Vol. 37, Issue 3). https://doi.org/10.2307/1912791
  • Geng, Nan, Fundamental Drivers of House Prices in Advanced Economies (July 2018). IMF Working Paper No. 18/164. http://dx.doi.org/10.2139/ssrn.3236780
  • Iossifov, P. M. Cihak and A. Shanghavi. 2008. “Interest Rate Elasticity of Residential Housing Prices. IMF Working Paper No. 247. Washington, DC: International Monetary Fund. https://doi.org/10.5089/9781451871050.001
  • Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Karadaş, H. A. & Salihoğlu, E. (2020). Seçili makroekonomik değişkenlerin konut fiyatlarina etkisi: Türkiye örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 16(1), 63-80. https://dergipark.org.tr/en/pub/esad/issue/54125/609047
  • Karamelikli, H. (2016). Linear and Nonlinear Dynamics of Housing Price in Turkey. Ekonomia, 46. https://doi.org/10.17451/eko/46/2016/238
  • Katrakilidis, C., & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064–1069 https://doi.org/10.1016/j.econmod.2012.03.029
  • Kishor, N. K., & Marfatia, H. A. (2017). The Dynamic Relationship between Housing Prices and the Macroeconomy: Evidence from OECD Countries. Journal of Real Estate Finance and Economics, 54(2), 237–268. https://doi.org/10.1007/s11146-015-9546-8
  • Kırca, M., & Canbay, Ş. (2022). Determinants of housing inflation in Turkey: a conditional frequency domain causality. International Journal of Housing Markets and Analysis, 15(2), 478–499. https://doi.org/10.1108/IJHMA-02-2021-0013
  • Korkmaz, Ö. (2020). The relationship between housing prices and inflation rate in Turkey: Evidence from panel Konya causality test. International Journal of Housing Markets and Analysis, 13(3), 427–452. https://doi.org/10.1108/IJHMA-05-2019-0051
  • McNown, R., Sam, C. Y., & Goh, S. K. (2018). Bootstrapping the autoregressive distributed lag test for cointegration. Applied Economics, 50(13), 1509–1521. https://doi.org/10.1080/00036846.2017.1366643
  • Panagiotidis, T., & Printzis, P. (2016). On the macroeconomic determinants of the housing market in Greece: a VECM approach. International Economics and Economic Policy, 13(3), 387–409. https://doi.org/10.1007/s10368-016-0345-3
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Ramsey, J. B. (1969). Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis. Journal of the Royal Statistical Society: Series B (Methodological), 31(2), 350– 371. https://doi.org/10.1111/j.2517-6161.1969.tb00796.x
  • Sabyasachi, T. (2019). Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis. MPRA Paper, (98089). https://mpra.ub.uni-muenchen.de/id/eprint/98089
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Zapata, H. O., & Rambaldi, A. N. (1997). Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), 285-298. https://doi.org/10.1111/1468-0084.00065

Türkiye'de Sanayi Üretim ve Tüketici Fiyat Endeksinin Konut Fiyat Endeksi Üzerindeki Etkisi: ARDL Sınır Testi Analizi

Year 2022, Volume: 26 Issue: 1, 61 - 82, 28.10.2023

Abstract

Makroekonomik faktörler, herhangi bir ülkede ev fiyatlarındaki değişiklikleri belirlemede öncü rol oynamaktadır. Bu çalışmanın amacı, 2010-2020 döneminde Türkiye'de tüketici fiyat endeksi ve sanayi üretim endeksi gibi seçilmiş makroekonomik değişkenler ile konut fiyatları arasındaki dinamikleri araştırmaktır. Otoregresif dağılım gecikme modeli ARDL-sınır testi uygulanarak, ampirik sonuçlar, tüketici fiyat endeksindeki veya sanayi üretim endeksindeki artışların Türkiye'de kısa vadede hedonik konut fiyat endeksini olumsuz etkilediğine dair kanıtlar sunmaktadır. Toda-Yamamoto nedensellik testinden elde edilen sonuçlar, endüstri endeksi ve tüketici fiyat endeksinden konut fiyat endeksine doğru bir nedensellik olmadığını göstermektedir; ancak Türkiye'de konut fiyat endeksinden sadece tüketici fiyat endeksine doğru tek yönlü bir nedensellik gözlemlenmektedir. Söz konusu iki makroekonomik değişken ile konut fiyat endeksi arasında uzun dönemli bir eşbütünleşme olmaması, konut piyasası dinamikleri arasındaki ilişkilerin doğrusal bir özellik göstermesinden ziyade, temelde doğrusal olmayan bir yapıya sahip olduğunun göstergesi olabilir.

References

  • Adana Karaağaç, G., & Altınırmak, S. (2018). Türkiye Konut Fiyat Endeksi ve Düzey Bazlı konut Fiyat Endeksler Arasındaki Nedensellik İlişkisi. Dergi Karadeniz, 39(39), 222–240. https://doi.org/10.17498/kdeniz.415650
  • Akkas, M. E.(2015). Housing prices and Mortgage Interest Rates: Toda-Yamamoto causality test. Pressacademia, 2(4), 572–572. https://doi.org/10.17261/pressacademia.2015414369
  • Akkay, R. C. (2021). The Macroeconomic Determinants of the Housing Prices in Turkey. Erciyes University İktisadi ve İdari Bilimler Fakultsei Dergisi, (58), 241-264. http.doi.org/20/2007-/erciyesibd.801319
  • Algieri, B. (2013). House price determinants: Fundamentals and underlying factors. Comparative Economic Studies, 55(2), 315–341. https://doi.org/10.1057/ces.2013.3
  • Apergis, N., & Rezitis, A. (2003). Housing prices and macroeconomic factors in Greece: Prospects within the EMU. Applied Economics Letters, 10(9), 561–565. https://doi.org/10.1080/1350485032000100260
  • Breusch, T. S. (1978). Testing for Autocorrelation in Dynamic Linear Models. Australian Economic Papers,17, 334-355. https://doi.org/10.1111/j.1467-8454.1978.tb00635.x
  • Breusch, T. S., & Pagan, A. R. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. In Econometrica (Vol. 47, Issue 5). https://doi.org/10.2307/1911963
  • Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships Over Time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
  • Canbay, Ş. & Mercan, D. (2020). Türkiye’de Konut Fiyatları, Büyüme ve Makroekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi. Journal of Management and Economics Research, 18 (1), 176-200. Dergisi, 176–200. https://doi.org/10.11611/yead.674472
  • Çetin, A. C. (2021). Türkiye’de Konut Fiyatlarına Etki Eden Faktörlerin Analizi. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 5(1), 1-30. https://doi.org/10.31200/makuubd.846667
  • Çorum, A. (2020). Konut Fiyatını Belirleyen Regresyon Denklemi: Maltepe İlçesi Örneği. International Journal of Advances in Engineering and Pure Sciences. https://doi.org/10.7240/jeps.605719
  • Dennis Cook, R., & Weisberg, S. (1983). Diagnostics for Heteroscedasticity in Regression (Vol. 70, Issue 1). https://www.jstor.org/stable/2335938
  • Dilber, İ., & Sertkaya, Y. (2016). 2008 Finansal Krizi Sonrası Türkiye’de Konut Fiyatlarının Belirleyicilerine Yönelik Analiz. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 4(1), 11. https://doi.org/10.18506/anemon.95997
  • Godfrey, L. G. (1978). Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables. Econometrica, 46, 1303-1310.
  • Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180–205. https://doi.org/10.1093/oxrep/grn009
  • Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. In Econometrica (Vol. 37, Issue 3). https://doi.org/10.2307/1912791
  • Geng, Nan, Fundamental Drivers of House Prices in Advanced Economies (July 2018). IMF Working Paper No. 18/164. http://dx.doi.org/10.2139/ssrn.3236780
  • Iossifov, P. M. Cihak and A. Shanghavi. 2008. “Interest Rate Elasticity of Residential Housing Prices. IMF Working Paper No. 247. Washington, DC: International Monetary Fund. https://doi.org/10.5089/9781451871050.001
  • Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Karadaş, H. A. & Salihoğlu, E. (2020). Seçili makroekonomik değişkenlerin konut fiyatlarina etkisi: Türkiye örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 16(1), 63-80. https://dergipark.org.tr/en/pub/esad/issue/54125/609047
  • Karamelikli, H. (2016). Linear and Nonlinear Dynamics of Housing Price in Turkey. Ekonomia, 46. https://doi.org/10.17451/eko/46/2016/238
  • Katrakilidis, C., & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064–1069 https://doi.org/10.1016/j.econmod.2012.03.029
  • Kishor, N. K., & Marfatia, H. A. (2017). The Dynamic Relationship between Housing Prices and the Macroeconomy: Evidence from OECD Countries. Journal of Real Estate Finance and Economics, 54(2), 237–268. https://doi.org/10.1007/s11146-015-9546-8
  • Kırca, M., & Canbay, Ş. (2022). Determinants of housing inflation in Turkey: a conditional frequency domain causality. International Journal of Housing Markets and Analysis, 15(2), 478–499. https://doi.org/10.1108/IJHMA-02-2021-0013
  • Korkmaz, Ö. (2020). The relationship between housing prices and inflation rate in Turkey: Evidence from panel Konya causality test. International Journal of Housing Markets and Analysis, 13(3), 427–452. https://doi.org/10.1108/IJHMA-05-2019-0051
  • McNown, R., Sam, C. Y., & Goh, S. K. (2018). Bootstrapping the autoregressive distributed lag test for cointegration. Applied Economics, 50(13), 1509–1521. https://doi.org/10.1080/00036846.2017.1366643
  • Panagiotidis, T., & Printzis, P. (2016). On the macroeconomic determinants of the housing market in Greece: a VECM approach. International Economics and Economic Policy, 13(3), 387–409. https://doi.org/10.1007/s10368-016-0345-3
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Ramsey, J. B. (1969). Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis. Journal of the Royal Statistical Society: Series B (Methodological), 31(2), 350– 371. https://doi.org/10.1111/j.2517-6161.1969.tb00796.x
  • Sabyasachi, T. (2019). Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis. MPRA Paper, (98089). https://mpra.ub.uni-muenchen.de/id/eprint/98089
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Zapata, H. O., & Rambaldi, A. N. (1997). Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), 285-298. https://doi.org/10.1111/1468-0084.00065
There are 32 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Sadam Shinwari This is me 0000-0003-0475-1189

Dicle Ozdemir 0000-0002-7594-1054

Early Pub Date October 28, 2023
Publication Date October 28, 2023
Submission Date April 17, 2022
Acceptance Date October 19, 2023
Published in Issue Year 2022 Volume: 26 Issue: 1

Cite

APA Shinwari, S., & Ozdemir, D. (2023). Türkiye’de Sanayi Üretim ve Tüketici Fiyat Endeksinin Konut Fiyat Endeksi Üzerindeki Etkisi: ARDL Sınır Testi Analizi. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 26(1), 61-82.