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EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI

Year 2020, Volume: 13 Issue: 2, 352 - 367, 31.12.2020

Nimet Varlık

https://doi.org/10.17218/hititsosbil.800641
Cited By: 5

Abstract

Çalışmada, Türkiye’de ekonomik büyümenin konut piyasasına olan asimetrik etkileri araştırılmaktadır. Ekonomik büyümede meydana gelen artışların yanında düşüşlerin de etkilerini inceleyebilmek amacıyla Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif Model (Nonlinear Autoregressive Distributed Lag; NARDL) tercih edilmiştir. Çalışmada 2010M1-2019M4 dönemine ait aylık verilerle çalışılmıştır. Modelde konut fiyatlarındaki değişimi yansıtan konut fiyat endeksi bağımlı değişken, ekonomik büyümenin öncü göstergesi kabul edilen ve çalışmada vekil değişken olan sanayi üretim endeksi ise bağımsız değişken olarak kullanılmaktadır. Tahmin bulguları sanayi üretim endeksi artarken konut fiyatlarının da yükseldiğini ve sanayi üretim endeksi düşerken konut fiyatlarının da gerilediğini ortaya koymaktadır. Buna göre iktisat teorisine uygun biçimde ekonomik büyümenin arttığı dönemlerde konut fiyatlarının yükseldiği ve ekonomik büyümenin gerilediği ve/veya yavaşladığı dönemlerde konut fiyatlarının düştüğü bulguları elde edilmiştir. Sanayi üretimindeki artışın konut fiyatlarını yükseltici etkisi, sanayi üretimindeki azalışın konut fiyatlarını düşürücü etkisinden büyüktür ve bu etki yaklaşık yedi ay sürmektedir. Bulgular, sanayi üretimindeki azalmanın konut fiyatlarını düşürücü etkisinin ise altı ay süresince devam ettiğini göstermektedir.

Keywords

Sanayi üretim endeksi Konut fiyat endeksi asimetrik etki konut piyasası NARDL modeli

References

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  • Adams, Z. ve Füss, R. (2010). Macroeconomic determinants of international housing markets. Journal of Housing Economics, 19(1), 38-50. doi: 10.1016/j.jhe.2009.10.005
  • Afşar, A. (2018). Türkiye’de konut fiyatlarını belirleyici ekonomik faktörlerin analizi. Sosyal, Beşeri ve İdari Bilimler’de Akademik Araştırmalar-V, Finans Çalışmaları 129. Erişim adresi: https://www.researchgate.net/profile/Asli_Afsar/publication/326682919.pdf
  • Anenberg, E. ve Laufer, S. (2017). A more timely house price index. Review of Economics and Statistics, 99(4), 722-734. doi: 10.2139/ssrn.2555765
  • Apergis, N. (2003). Housing prices and macroeconomic factors: prospects within the European Monetary Union. International real estate review, 6(1), 63-74. Erişim adresi: https://core.ac.uk/download/pdf/7074715.pdf
  • Azwan, N. I. ve Masih, M. (2019). Is the relationship between housing price and banking debt symmetric or non-symmetric? Evidence from Malaysia based on NARDL. MPRA Paper No. 94685. Erişim adresi: https://mpra.ub.uni-muenchen.de/94685/1/MPRA_paper_94685.pdf
  • Badurlar, İ.Ö. (2008). Türkiye’de konut fiyatları ile makro ekonomik değişkenler arasındaki ilişkinin araştırılması, Anadolu Üniversitesi Sosyal Bilimler Dergisi, Vol. 8(1), pp. 223-238. Erişim adresi: http://193.140.22.72/xmlui/handle/11421/343
  • Bahmani-Oskooee, M. ve Fariditavana, H. (2016). Nonlinear ARDL approach and the J-curve phenomenon. Open Economies Review, 27(1), 51-70. doi: 10.1007/s11079-015-9369-5
  • Bahmani-Oskooee, M. ve Ghodsi, S. H. (2016). Do changes in the fundamentals have symmetric or asymmetric effects on house prices? Evidence from 52 states of the United States of America. Applied Economics, 48(31), 2912-2936. doi: 10.1080/00036846.2015.1130795
  • Banerjee, A., Dolado, J., Mestre, R. (1998). Error‐correction mechanism tests for cointegration in a single‐equation framework. J. Time Ser. Anal. 19 (3), 267–283. doi: 10.1111/1467-9892.00091
  • Canbay, Ş. ve Mercan, D. (2020). Türkiye’de konut fiyatları kanalının işleyişine yönelik ampirik bir uygulama. Yönetim ve Ekonomi Araştırmaları Dergisi, 18(1). doi: 10.11611/yead.674472
  • Capozza, D. R., Hendershott, P. H., Mack, C. ve Mayer, C. J. (2002). Determinants of real house price dynamics (No. w9262). National Bureau of Economic Research. Erişim adresi: https://www.nber.org/papers/w9262.pdf
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  • Case, K. E. ve Quigley, J. M. (2008). How housing booms unwind: income effects, wealth effects, and feedbacks through financial markets. European Journal of Housing Policy, 8(2), 161-180. doi: 10.1080/14616710802037383
  • Chen, N. K., Chou, Y. H., ve Wu, J. L. (2013). Credit constraint and the asymmetric monetary policy effect on house prices. Pacific Economic Review, 18(4), 431-455. doi: 10.1111/1468-0106.12033
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  • Dickey, D. A. ve Fuller, W. A.. (1981). Likelihood ratio tests for autoregressive time series with a unit root. Econometrica, 49:1057–1072. doi: 10.2307/1912517
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  • Falk, B. (1986). Further evidence on the asymmetric behavior of economic time series over the business cycle. Journal of Political Economy, 94, 1069–1109. Erişim adresi: http://lib.dr.iastate.edu/econ_las_staffpapers
  • Ferrero, A. (2015). House price booms, current account deficits, and low interest rates. Journal of Money, Credit and Banking, 47(S1), 261-293. doi: 10.2139/ssrn.1995767
  • Gebeşoğlu, P. F. (2019). Housing price index dynamics in Turkey. Journal of Yaşar University, 14, 100-107. Erişim adresi: https://dergipark.org.tr/en/download/article-file/680653
  • Girouard, N., ve S. Blondal (2001). House prices and economic activity. OECD Economics Department Working Papers No. 279 (Paris: Organisation for Economic Cooperation and Development, January). doi: 10.1787/061034430132
  • Goodhart, C. and Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180-205. Erişim adresi: https://www.jstor.org/stable/23606731
  • Gupta, R., Jurgilas, M. ve Kabundi, A. (2010). The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach. Economic modelling, 27(1), 315-323. doi: 10.1016/j.econmod.2009.09.011
  • Halıcıoğlu, F. (2007). The demand for new housing in Turkey: an application of ARDL model. Global Business and Economics Review, 9(1), 62-74. doi: 10.1504/GBER.2007.012509
  • Hoang, T. H. V., Lahiani, A. ve Heller, D. (2016). Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. Economic Modelling, 54, 54–66. doi: 10.1016/j.econmod.2015.12.013
  • Kargı, B. (2013). Housing market and economic growth relation: time series analysis over Turkey (2000-2012). Journal of Human Sciences, 10(1), 897-924. Erişim adresi: http://mpra.ub.uni-muenchen.de/55694/
  • Katrakilidis, C. ve Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064-1069. doi: 10.1016/j.econmod.2012.03.029
  • Knoll, K., Schularick, M. ve Steger, T. (2017). No price like home: global house prices, 1870-2012. American Economic Review, 107(2), 331-53. doi: 10.24149/gwp208
  • Malpezzi, S., 2003. Hedonic pricing models: a selective and applied review. In: O’Sullivan, T., Gibb, K. (eds.), Housing Economics and Public Policy. Blackwell, Malder, MA.
  • Mian, A. ve Sufi, A. (2014). House price gains and US household spending from 2002 to 2006 (No. w20152). National Bureau of Economic Research. doi: 10.2139/ssrn.2412263
  • Muellbauer, J. ve Murphy, A. (2008). Housing markets and the economy: the assessment. Oxford review of economic policy, 24(1), 1-33. doi: 10.1093/oxrep/grn011
  • Neftci, S. (1984). Are economic time series asymmetric over the business cycle? Journal of Political Economy, 92, 307–328. doi: 10.1086/261226
  • Nusair, S. A. (2016). The effects of oil price shocks on the economies of the gulf co-operation council countries: nonlinear analysis. Energy Policy, 91, 256-267. doi: 10.1016/j.enpol.2016.01.013
  • Öztürk, N. ve Fitöz, E. (2012). Türkiye’de konut piyasasının belirleyicileri: Ampirik bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 5(10), 21-46. Erişim adresi: http://ijmeb.org/index.php/zkesbe/article/view/197/146
  • Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. doi: 10.1002/jae.616
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Year 2020, Volume: 13 Issue: 2, 352 - 367, 31.12.2020

Nimet Varlık

https://doi.org/10.17218/hititsosbil.800641
Cited By: 5

Abstract

The study explores the asymmetric effects of economic growth on the housing market in Turkey. In order to examine the effects of declines as well as the increases in economic growth NARDL (Nonlinear Autoregressive Distributed Lag) model is preferred. In the the study it was studied with monthly data for the period 2010M1-2019M4. In the model, the house price index, which reflects the change in house prices, is the dependent variable, while the industrial production index, which is considered the leading indicator of economic growth and which is the proxy variable in the study, is used as the independent variable. Estimation findings reveal that while the industrial production index has increased, housing prices have also increased and the industrial production index has been decreasing, while housing prices have also declined. According to this, it was found that in line with the theory of economics, in times of economic growth, housing prices rose and in times of economic growth declined and / or slowed down, housing prices decreased. The effect of the increase in industrial production on raising house prices is greater than the effect of the decrease in industrial production on lowering house prices, and this effect lasts about seven months. The findings show that the decrease in industrial production and the effect of lowering house prices continued for six months.

Keywords

Industrial production index house price index asymmetric effect housing market NARDL model

References

  • Abelson, P., Joyeux, R., Milunovich, G. ve Chung, D. (2005). Explaining house prices in Australia: 1970–2003. Economic Record, 81, S96-S103. Erişim adresi: https://onlinelibrary.wiley.com/doi/pdf/
  • Adams, Z. ve Füss, R. (2010). Macroeconomic determinants of international housing markets. Journal of Housing Economics, 19(1), 38-50. doi: 10.1016/j.jhe.2009.10.005
  • Afşar, A. (2018). Türkiye’de konut fiyatlarını belirleyici ekonomik faktörlerin analizi. Sosyal, Beşeri ve İdari Bilimler’de Akademik Araştırmalar-V, Finans Çalışmaları 129. Erişim adresi: https://www.researchgate.net/profile/Asli_Afsar/publication/326682919.pdf
  • Anenberg, E. ve Laufer, S. (2017). A more timely house price index. Review of Economics and Statistics, 99(4), 722-734. doi: 10.2139/ssrn.2555765
  • Apergis, N. (2003). Housing prices and macroeconomic factors: prospects within the European Monetary Union. International real estate review, 6(1), 63-74. Erişim adresi: https://core.ac.uk/download/pdf/7074715.pdf
  • Azwan, N. I. ve Masih, M. (2019). Is the relationship between housing price and banking debt symmetric or non-symmetric? Evidence from Malaysia based on NARDL. MPRA Paper No. 94685. Erişim adresi: https://mpra.ub.uni-muenchen.de/94685/1/MPRA_paper_94685.pdf
  • Badurlar, İ.Ö. (2008). Türkiye’de konut fiyatları ile makro ekonomik değişkenler arasındaki ilişkinin araştırılması, Anadolu Üniversitesi Sosyal Bilimler Dergisi, Vol. 8(1), pp. 223-238. Erişim adresi: http://193.140.22.72/xmlui/handle/11421/343
  • Bahmani-Oskooee, M. ve Fariditavana, H. (2016). Nonlinear ARDL approach and the J-curve phenomenon. Open Economies Review, 27(1), 51-70. doi: 10.1007/s11079-015-9369-5
  • Bahmani-Oskooee, M. ve Ghodsi, S. H. (2016). Do changes in the fundamentals have symmetric or asymmetric effects on house prices? Evidence from 52 states of the United States of America. Applied Economics, 48(31), 2912-2936. doi: 10.1080/00036846.2015.1130795
  • Banerjee, A., Dolado, J., Mestre, R. (1998). Error‐correction mechanism tests for cointegration in a single‐equation framework. J. Time Ser. Anal. 19 (3), 267–283. doi: 10.1111/1467-9892.00091
  • Canbay, Ş. ve Mercan, D. (2020). Türkiye’de konut fiyatları kanalının işleyişine yönelik ampirik bir uygulama. Yönetim ve Ekonomi Araştırmaları Dergisi, 18(1). doi: 10.11611/yead.674472
  • Capozza, D. R., Hendershott, P. H., Mack, C. ve Mayer, C. J. (2002). Determinants of real house price dynamics (No. w9262). National Bureau of Economic Research. Erişim adresi: https://www.nber.org/papers/w9262.pdf
  • Case, K. E. ve Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253-273. Erişim tarihi: https://www.nber.org/papers/w3368.pdf
  • Case, K. E. ve Quigley, J. M. (2008). How housing booms unwind: income effects, wealth effects, and feedbacks through financial markets. European Journal of Housing Policy, 8(2), 161-180. doi: 10.1080/14616710802037383
  • Chen, N. K., Chou, Y. H., ve Wu, J. L. (2013). Credit constraint and the asymmetric monetary policy effect on house prices. Pacific Economic Review, 18(4), 431-455. doi: 10.1111/1468-0106.12033
  • Coşkun, Y. (2016). Konut fiyatları ve yatırımı: Türkiye için bir analiz. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 201-217. Erişim adresi: https://ssrn.com/abstract=2760867
  • Coskun, Y., Seven, U., Ertugrul, H. M. ve Alp, A. (2020). Housing price dynamics and bubble risk: the case of Turkey. Housing Studies, 35(1), 50-86. doi: 10.1080/02673037.2017.1363378
  • Dalkılıç, B. ve Aşkın M. (2014). Gayrimenkul ve konut sektörüne bakış. Dalfin Finansal ve Kurumsal Çözümler Danışmanlığı, 1-4.
  • Dickey, D. A. ve Fuller, W. A.. (1981). Likelihood ratio tests for autoregressive time series with a unit root. Econometrica, 49:1057–1072. doi: 10.2307/1912517
  • Dilber, İ. ve SERTKAYA, Y. (2016). 2008 finansal krizi sonrası Türkiye’de konut fiyatlarının belirleyicilerine yönelik analiz. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 4(1), 11-29. doi: 10.18506/anemon.95997
  • Falk, B. (1986). Further evidence on the asymmetric behavior of economic time series over the business cycle. Journal of Political Economy, 94, 1069–1109. Erişim adresi: http://lib.dr.iastate.edu/econ_las_staffpapers
  • Ferrero, A. (2015). House price booms, current account deficits, and low interest rates. Journal of Money, Credit and Banking, 47(S1), 261-293. doi: 10.2139/ssrn.1995767
  • Gebeşoğlu, P. F. (2019). Housing price index dynamics in Turkey. Journal of Yaşar University, 14, 100-107. Erişim adresi: https://dergipark.org.tr/en/download/article-file/680653
  • Girouard, N., ve S. Blondal (2001). House prices and economic activity. OECD Economics Department Working Papers No. 279 (Paris: Organisation for Economic Cooperation and Development, January). doi: 10.1787/061034430132
  • Goodhart, C. and Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180-205. Erişim adresi: https://www.jstor.org/stable/23606731
  • Gupta, R., Jurgilas, M. ve Kabundi, A. (2010). The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach. Economic modelling, 27(1), 315-323. doi: 10.1016/j.econmod.2009.09.011
  • Halıcıoğlu, F. (2007). The demand for new housing in Turkey: an application of ARDL model. Global Business and Economics Review, 9(1), 62-74. doi: 10.1504/GBER.2007.012509
  • Hoang, T. H. V., Lahiani, A. ve Heller, D. (2016). Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. Economic Modelling, 54, 54–66. doi: 10.1016/j.econmod.2015.12.013
  • Kargı, B. (2013). Housing market and economic growth relation: time series analysis over Turkey (2000-2012). Journal of Human Sciences, 10(1), 897-924. Erişim adresi: http://mpra.ub.uni-muenchen.de/55694/
  • Katrakilidis, C. ve Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064-1069. doi: 10.1016/j.econmod.2012.03.029
  • Knoll, K., Schularick, M. ve Steger, T. (2017). No price like home: global house prices, 1870-2012. American Economic Review, 107(2), 331-53. doi: 10.24149/gwp208
  • Malpezzi, S., 2003. Hedonic pricing models: a selective and applied review. In: O’Sullivan, T., Gibb, K. (eds.), Housing Economics and Public Policy. Blackwell, Malder, MA.
  • Mian, A. ve Sufi, A. (2014). House price gains and US household spending from 2002 to 2006 (No. w20152). National Bureau of Economic Research. doi: 10.2139/ssrn.2412263
  • Muellbauer, J. ve Murphy, A. (2008). Housing markets and the economy: the assessment. Oxford review of economic policy, 24(1), 1-33. doi: 10.1093/oxrep/grn011
  • Neftci, S. (1984). Are economic time series asymmetric over the business cycle? Journal of Political Economy, 92, 307–328. doi: 10.1086/261226
  • Nusair, S. A. (2016). The effects of oil price shocks on the economies of the gulf co-operation council countries: nonlinear analysis. Energy Policy, 91, 256-267. doi: 10.1016/j.enpol.2016.01.013
  • Öztürk, N. ve Fitöz, E. (2012). Türkiye’de konut piyasasının belirleyicileri: Ampirik bir uygulama. Uluslararası Yönetim İktisat ve İşletme Dergisi, 5(10), 21-46. Erişim adresi: http://ijmeb.org/index.php/zkesbe/article/view/197/146
  • Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. doi: 10.1002/jae.616
  • Phillips, P.C.B. ve Peron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75: 335.346. doi: 10.1093/biomet/75.2.335
  • Plakandaras, V., Gupta, R., Gogas, P. ve Papadimitriou, T. (2015). Forecasting the US real house price index. Economic Modelling, 45, 259-267. doi: 10.1016/j.econmod.2014.10.050
  • Robstad, Ø. (2018). House prices, credit and the effect of monetary policy in Norway: Evidence from structural VAR Models. Empirical Economics, 54(2), 461-483. doi:10.1007/s00181-016-1222-1
  • Sarı, R., Ewing, B. T. ve Aydın, B. (2007). Macroeconomic variables and the housing market in Turkey. Emerging Markets Finance and Trade, Vol. 43, Issue. 5, pp. 5-19. doi: 10.2753/REE1540-496X430501
  • Shin, Y., Yu, B. ve Greenwood, N. M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In: Festschrift in honor of Peter Schmidt: Econometric methods and applications, (pp. 281–314). USA: Springer Publications.
  • Schorderet, Y. (2003). Asymmetric cointegration. Department of Econometrics, University of Geneva, Switzerland.
  • Sutton, G. D. (2002). Explaining changes in house prices. BIS quarterly review, 32, 46-60. Erişim adresi: https://www.bis.org/publ/qtrpdf/r_qt0209f.pdf
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There are 54 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Nimet Varlık 0000-0002-7280-306X

Publication Date December 31, 2020
Published in Issue Year 2020 Volume: 13 Issue: 2

Cite

APA Varlık, N. (2020). EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(2), 352-367. https://doi.org/10.17218/hititsosbil.800641
AMA Varlık N. EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI. hititsosbil. December 2020;13(2):352-367. doi:10.17218/hititsosbil.800641
Chicago Varlık, Nimet. “EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI”. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 13, no. 2 (December 2020): 352-67. https://doi.org/10.17218/hititsosbil.800641.
EndNote Varlık N (December 1, 2020) EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 13 2 352–367.
IEEE N. Varlık, “EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI”, hititsosbil, vol. 13, no. 2, pp. 352–367, 2020, doi: 10.17218/hititsosbil.800641.
ISNAD Varlık, Nimet. “EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI”. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 13/2 (December 2020), 352-367. https://doi.org/10.17218/hititsosbil.800641.
JAMA Varlık N. EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI. hititsosbil. 2020;13:352–367.
MLA Varlık, Nimet. “EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI”. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 13, no. 2, 2020, pp. 352-67, doi:10.17218/hititsosbil.800641.
Vancouver Varlık N. EKONOMİK BÜYÜMENİN KONUT FİYATLARI ÜZERİNDEKİ ASİMETRİK ETKİSİ: NARDL UYGULAMASI. hititsosbil. 2020;13(2):352-67.

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