KONUT FİNANSMANINDA YAPI TASARRUFU YÖNTEMİ, RİSK MODELLERİ VE VASİCEK KISA VADELİ FAİZ ORANI MODELİ İLE AMPİRİK BİR UYGULAMA

Abstract

Yapı tasarrufu (YT) sistemi, hane halklarının konut kredisi elde edebilmek için belirli bir süre birikim yapmasına dayanan, dünyanın birçok ülkesinde uzun zamandır uygulanan alternatif bir konut finansman yöntemidir. Bu çalışmada YT sistemi ve risk modelleri incelenerek, söz konusu modellerin ülkemiz koşullarına uygunluğun araştırılması amaçlanmıştır. Bu amaçla, Vasicek modeli maksimum olabilirlik yöntemi ile tahmin edilmiş, ayrıca R programlama dili kullanılarak Monte Carlo simülasyonu yapılmıştır. Elde edilen sonuçların gerçek piyasa verileri ile uyumlu olduğu gözlemlenmiş ve modelin ülkemizde uygulanacak YT sistemi risk yönetim çalışmalarında dikkate alınabileceği sonucuna ulaşılmıştır.

Keywords

• Yapı Tasarrufu Sistemi
• Vasicek Kısa Vadeli Faiz Oranı Modeli
• Maksimum Olabilirlik
• Monte Carlo Simülasyonu

CONTRACTUAL SAVINGS FOR HOUSING FINANCE METHOD, RISK MODELS AND AN EMPIRICAL ANALYSIS USING VASICEK INTEREST RATE MODEL

Abstract

Contractual savings for housing (CSH) system is an alternative housing finance method which households were granted housing loans after a certain saving period of time. In this study, the risk structure of the CSH system was examined and CSH pricing model has been analyzed by using Turkish capital market data and Vasicek model. In the analysis, Vasicek parameters are estimated by Maximum Likelihood method and Monte Carlo simulation was performed using R programming language. The result indicated that simulated rates are consistent with actual market data and the model can be taken into account in implementing CSH risk management frameworks.

Keywords

• Contractual Savings for Housing
• Vasicek Interest Rate Model
• Maximum Likelihood
• Monte Carlo Simulation

References

1. Bertsch, E.O., Laux H.. (1993). Forecasting the Development of a German Building Society -Different Methods of Mathematical Approach and Computer Simulation. Springer.
2. Black, F., Scholes, M.. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, Vol. 81, issue 3, 637-54.
3. Börner, C. J. , Harnischmacher, P., Katernberg, R.. (2018). The Self-Selection Effects of Retail Financial Products. The Case of Contractual Savings for Housing in Germany. Journal of Accounting and Finance, Vol. 18, ss. 1, pp. 94-116.
4. Brandimarte, P.. (2014). Handbook in Monte Carlo Simulation Applications in Financial Engineering, Risk Management, and Economics. John Wiley & Sons Inc.
5. Brigo D., Dalessandro, A., Neugebauer,M., Triki,F.. (2007). A Stochastic Processes Toolkit for Risk Management. Working Paper: 29.
6. Bu, R., Giet, L., Hadri, K., Lubrano, M.. (2011). Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations, Journal of Financial Econometrics, 2011, Vol. 9, No. 1, 198–236.
7. Burgess, N.. (2014a) An Overview of the Vasicek Short Rate Model. http://dx.doi.org/10.2139/ssrn.2479671.
8. Burgess, N.. (2014b). Bond Option Pricing using the Vasicek Short Rate Model. http://dx.doi.org/10.2139/ssrn.2479636.

9. Chevalier, T.. (2005). Ein Risikomodell für Bausparkollektive. Inaugural-Dissertation zur Erlangung des Doktorgrades der Mathematisch-Naturwissenschaftlichen Fakultät der Universität zu Köln.
10. Cieleback, M.. (2002). Bausparen und Optionstheorie. Müller, Köln.
11. Cieleback, M.. (2003a). Prepayment of mortgage borrowers having a Bauspar‐Loan. Property Management, Vol. 21 Issue: 4, pp.242-259.
12. Cieleback, M.. (2003b). Prepayment of German Bauspar-Loans: A look at the importance of portfolio considerations and borrower characteristics. Property Management, Vol. 21 Issue: 4, pp.242-259.
13. Cox, J.C., Ingersoll, J.E., Ross, S.A.. (1985). A theory of the term structure of interest rates. Econometrica 53, 385-407.
14. Demir, E.. (2014). Konut Alımları İçin Yeni Bir Finansman Yöntemi: Yapı Tasarruf Sandığı Sistemi. İş Bankası, İktisadi Araştırmalar Bölümü.
15. Diamond, D. B., Lea, M. J.. (1992). The Decline of Special Circuits in Developed Country Housing Finance. Housing Policy Debate, 3, 3.
16. Dinç, Y..(2019). Tasarrufa Dayalı Finans: Faizsiz Finansal Kurumlar ve Araçlar Üzerine Bir Araştırma, Beta Yayınları, İstanbul.
17. Drews, G.. (1991). Der Bauspar-Ratgeber. Friedrich-Ebert-Stiftung-2002, Zukunfts- perspektiven für eine nachhaltige Wohnungs- und Städtebaupolitik, Bonn.
18. Dübel, H. J.. (2003). Housing Policy in Central European Countries in Transition Czech Republic, Hungary, Poland, and Slovakia. Center of Legal Competence.
19. Dübel, H. J.. (2009). Contractual Savings for Housing. In Loic Chiquier & Michael Lea (Eds.,) Housing Finance Policy in Emerging Markets, DOI: 10.1596/978-0-8213-7750-5, World Bank, Washington, DC.
20. Dübel, H. J.. (2011). Back to the Roots: Can Contractual Savings for Housing Help Terminating the High-Leverage Housing Finance System? A missing piece in the U.S. housing finance reform debate. Study Comissioned By bausparkasse Schwäbisch Hall. https://www.bausparkassen.de/fileadmin/user_upload/international/Duebel_ US_ Leverage_and_Savings_for_Housing_1_21_11.pdf
21. Hardt, J., Manning, D.. (2000). European Mortgage Markets: Structure, Funding and Future Developments. OECD and European Mortgage Federation Policy Paper, Brussels.
22. Hazine ve Maliye Bakanlığı. (2019). Yeni Ekonomi Programı 2020-2022. https://ms.hmb. gov.tr/uploads /2019/04/Yeni-Ekonomi-Program%C4%B1-2019-v5.pdf
23. Hegedüs, J., Struyk, R. J.. (2005). Divergences and Convergences in Restructuring Housing Finance in Transition Countries. In József Hegedüs & Raymond J. Struyk (Eds.), Housing Finance New and Old Models in Central Europe, Russia, and Kazakhstan, Local Government and Public Service Reform Initiative, (pp: 3-39), Budapest.
24. Ho, T.S.Y., Lee, S.B.. (1986) Term Structure Movements and Pricing Interest Rate Contingent Claims. The Journal of Finance, 41, 1011-1029. http://dx.doi.org/10.1111 /j.1540-6261.1986.tb02528.x.
25. Hull, J. C.. (2012). Options, Futures, and Other Derivative Securities. Pearson, 8th Edition, (1th Edition: 1992), Toronto.
26. Hull, J., White, A.. (1990). Pricing Interest Rate Derivative Securities. The Review of Financial Studies, Volume: 3, Number: 4, pp. 573-592.
27. Impavido, G., Musalem, A. G.. (2000). Contractual Savings, Stock and Asset Markets. The World Bank, Policy Research Working Paper Series.
28. Joshi J. P., Swertloff L.. (1999). A User's Guide to Interest Rate Models: Applications for Structured Finance. The Journal of Risk Finance, Vol. 1 Issue: 1, pp.106 114, https://doi. org/10.1108/eb022940.
29. Kılıç, S.. (2007). Konut Finansman Modeli Olarak Yapı Tasarruf Sandıkları; Almanya ve Türkiye’deki Uygulamaları. Celal Bayar Üniversitesi, Yönetim ve Ekonomi, Yıl:2007 Cilt:14 Sayı:1.
30. Lea, M. J.(1994).. Efficiency and Stability of Housing Finance Systems: A Comparison of the United. Kingdom and the United States. Housing Policy Debate.
31. Lea, M., Laszek, J., Chiquier, L.. (1998). Analysis of Contract Savings for Housing Systems in Poland. Report prepared for USAID, The Urban Institute.
32. Lea, M. J., Renaud B.. (1995). Contractual Savings for Housing: How Suitable Are They for Transitional Economies?. The World Bank, Financial Sector Development Department, September 1995.
33. Oksendal, B.. (1992). Stochastic Differential Equations. Springer, Berlin.
34. Önalan, Ö.. (2009). Vasicek ve CIR Modelleri Kullanılarak Oynaklık ve Faiz Oranlarının Modellenmesi. Marmara Üniversitesi İ.İ.B.F. Dergisi Cilt XXVII, Sayı II, ss: 329-344.
35. Özçam, M.. (2005). Türkiye'de Üç Finansal Varlığa (Kamu Kağıtları, Hisse Senetleri ve Dövize) Dayalı fiyatlama Modeli. Sermaye piyasası Kurulu, Çalışma Raporu https://www.spk.gov.tr/SiteApps/Yayin/YayinGoster/938, (Erişim tarihi: 17.02.2020).
36. Pereira, T. (Ed.). (2015). Mastering R for Quantitative Finance. Packt Publishing.
37. Peynircioğlu, N.. (1988). Türkiye’de Konut Finansmanında Uygulanan Yöntemlerin Değerlendirilmesi. DPT, Ankara.
38. Plaut, P. O., Plaut, S. E.. (2004). The Economics of Housing Savings Plans. The Journal of Real Estate Finance and Economics.
39. Roy, F.. (2004). The Implementation of Contract Savings Schemes for Housing (Bausparen) in Belarus Features, Recommendations and Examples. IPM Research Center, German Economic Team in Belarus.
40. Roy, F.. (2005). Mortgage Lending and Risk Management in Germany. In József Hegedüs & Raymond J. Struyk (Eds.), Housing Finance New and Old Models in Central Europe, Russia, and Kazakhstan, Local Government and Public Service Reform Initiative, (pp:279-308), Budapest.
41. Schlueter, T., Sievers, S., Wendels, T. H.. (2012). How can banks effectively stabilize their retail customers’ saving behavior? The impact of contractual rewards on saving persistence and cash flow volatility. Annual Conference 2012 (Goettingen), New Approaches and Challenges for the Labor Market of the 21st Century 62057, Verein für Socialpolitik , German Economic Association.
42. Struyk, R. J.. (2000). A Regional Policy Report. In Raymond J. Struyk (Eds.,) Homeownership And Housing Finance Policy In The Former Soviet Bloc:Costly Populism, The Urban Institute, ss:1-74.
43. Tahani, N., Li, X.. (2011). Pricing interest rate derivatives under stochastic volatility. Managerial Finance, Vol. 37 Issue: 1, pp.72-91, https://doi.org/ 10.1108/03074351111092157
44. UNECE. (2005). Housing Finance Systems for Countries in Transition - Principles and Examples. United Nations, Economic Commission for Europe, Geneva.
45. Vasicek, O.. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, vol. 5, issue 2, 177-188.
46. Vittas, D., Skully, M.. (1991). Overview of Contractual Savings Institutions. Working Paper Series: 605, The World Bank.
47. Wichern, B.. (2001). Hidden-Markov-Modelle zur Analyse und Simulation von Finanzzeitreihen. Inaugural-Dissertation zur Erlangung des Doktorgrades der Mathematisch-Naturwissenschaftlichen Fakultät der Universität zu Köln.