Effect Mechanisms of Capital Markets on Housing Prices through Dynamic Causality: The Case of Turkey

Abstract

Fluctuations in housing and stock markets affect economic growth, thus causing socio-economic changes in economies. In this context, examining the temporal variations of causality relations in these markets has become a necessity for investors and policymakers, as it provides useful insights in terms of understanding the nature of the inter-market information flows. The main purpose of this study is to reveal the time-based and scale-based causality information flow between housing price and stock market index, and to find evidence for both whether and when theories regarding the relationship between housing and stock markets are valid empirically by using the empirical approach proposing the use of SPH and CWTC tests. Through using the CWTC (Continuous Wavelet Transformation Based Granger Causality Test) and SPH, which allow for the analysis of non-stationary data directly, evidence that the causality between the housing and stock markets varies over time and has dynamics varying based on the time scale is found in this study. Moreover, results indicate that structural changes exist in the causality relationship. The growth model, Central Bank of Turkey (CBT) interest rate policy, Federal Reserve Bank (FED) interest policy, geopolitics risk factors and pandemics are possible factors affecting the causality relationship.  

Keywords

• Causality Test
• Non-stationary Data Analysis
• Housing Market
• Stock Market Index
• Wavelet Analysis
• LA-VAR

Konut Fiyatlarında Sermaye Piyasasının Etkileri: Dinamik Nedensellik İle Türkiye Üzerine Bir İnceleme

Abstract

Konut piyasaları ve borsalar, servetin önemli bileşenlerinden olmaları nedeniyle sözkonusu piyasalarda meydana gelen dalgalanmalar ekonomik büyümeyi etkileyerek sosyo-ekonomik değişimlere neden olmaktadır. Sözkonusu nedensellik ilişkilerinin zamana bağlı değişiminin incelenmesi, piyasalar arası bilgi akışının doğasının anlaşılması açısından yararlı bilgiler sunması nedeniyle yatırımcı ve politika yapıcılar için zorunluluk halini almıştır. Çalışmanın temel amacı, zamana bağlı değişen nedensellik testlerinin kullanılmasını öngören ampirik yaklaşım aracılığıyla konut fiyatları ve borsa endeksi arasındaki zamana dayalı nedensellik etkisinin zamana ve zaman skalasına göre değişiminin ortaya çıkarılarak ilgili ilişkiye ait teorilerin geçerliliğine dair kanıt bulmak ve sözkonusu teorilerin geçerli olabileceği zaman ve frekans dönemlerini incelemektir. Çalışmada durağan olmayan verilerin analizine izin veren CWTC (Continuous Wavelet Transformantion Based Granger Casuality Test) ve SPH (Shi – Hurn – Phillips (2020) test) testleri kullanılarak, konut piyasası ve borsa endeksi arasındaki nedenselliğin zamana bağlı değiştiği ve zaman skalasına göre değişen dinamiklere sahip olduğuna ilişkin kanıtlar bulunmuştur. Bununla birlikte ilgili piyasalarda yapısal kırılmalar meydana geldiğine dair kanıt elde edilmiştir. Nedensellik örüntüsündeki değişimlerin olduğu dönemlerin incelenmesi sonucunda; büyüme modeli, Türkiye Cumhuriyet Merkez Bankası (TCMB) faiz politikası, Amerikan Merkez Bankası (FED) faiz politikası, jeopolitik riskler ve pandemi sürecinin olduğu dönemlerde nedensellik tespit edilmiştir. 

Keywords

• Nedensellik Testi
• Durağan Olmayan Veri Analizi
• Konut Piyasası
• Borsa Endeksi
• Dalgacık Analizi
• LA-VAR

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