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Konut piyasası hareketleri ve makroekonomik değişkenler: Türkiye Konut Piyasasının yeni mortgage sistemi altında analizi

Year 2009, Volume: 38 Issue: 1, 38 - 46, 14.10.2009

Ali Hepsen , Nazli Kalfa Bas

Abstract

Bu çalışmanın temel amacı ülkemizdeki konut piyasası hareketleri ile dinamik nedensellik ilişkisine sahip olan değişkenleri belirlemektir. Çalışma kapsamında tüketici fiyat endeksi (CPI), para arzı (M2), faiz oranı(IR), sanayi üretim endeksi (IPI), gayrimenkul yatırım ortaklıkları endeksi (REITIX) ve ipotek kredilerinin hacmi (ML) olmak üzere altı değişken yer almaktadır. Granger nedensellik testi, etki-tepki fonksiyonları ve varyans ayrışım modellerinin kullanıldığı çalışma 2002 – 2007 dönemini kapsamaktadır. 

Keywords

Konut Yatırımları Granger Nedensellik Testi Varyans Ayrışım Modelleri

References

  • Wheeler, M. and A.R. Chowdhury, The housing market, macroeconomic activity and financial innovation: an empirical analysis of US data, Applied Economics, 1993, 25, 1385-1392.
  • Smith, B. A. and W. P. Tesarek, House prices and regional real estate cycles: market adjustment in Houston, Journal of the American Real Estate and Urban Economics Association, 1991, 19, 396–416.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Mankiw, N. G. and D. N. Weil, The baby boom, the baby burst and the housing market, Regional Science and Urban Economics, 1989, 19, 235-258.
  • Case, K. E. and R. J. Shiller, Forecasting prices and excess returns in the housing market, Journal of the American Real Estate and Urban Economics Association, 1990, 18(3), 253-273.
  • Poterba, J. M., Housing price dynamics: The role of tax policy and demography, Brookings Papers on Economic Activity, 1991, 2, 143-148.
  • Potepan, M. J., Explaining intermetropolitan variation in housing prices, rents and land prices, Real Estate Economics, 1996, 24(2), 219-245.
  • Quigley, J. M., Real estate prices and economic cycles, International Real Estate Review, 1999, 2(1), 1-20.
  • Bernanke, B. S and A. S. Blinder, The federal funds rate and the channels of monetary transmission, American Economic Review, 1992, 82(4), 901–921.
  • Stone, D. and T. Ziemba, Land and stock values in Japan, Journal of Economic Perspective, 1993, 7(3), 149–165.
  • Quan, D. C. and S. Titman, Do housing values and stock values move together? An international analysis, Journal of Housing Economics, 1999, 27(2), 183–207.
  • Wheaton, W., The cyclic behavior of the National Office Market, Journal of the American Real Estate and Urban Economics Association, 1987, 15(4), 281–299.
  • Wheaton, W.C., Housing cycles some Fundamentals, Journal of Housing Economics, 1999, 27(2), 109–230.
  • Anari, A. and J. Kolari, House prices and inflation, Real Estate Economics, 2002, 30(1), 67-84.
  • Ji, H., Business cycle relation of stock, bond and housing market business, Management Studies, 1999, 27(5), 1277–1296.
  • Yun, J., The study on the prospect of land and housing market through the building of VAR model, Korean Research Institute for Human Settlement, 2001.
  • Ma, S., Cycle analysis of stock value, interest rate, business conditions, Journal of Risk Management Study, 2002, 11(11), 183–215.
  • Cho, D. and S. Ma, Dynamic relationship between housing values and interest rates in the Korean housing market, Journal of Real Estate Financial Economics, 2006, 32, 169-184.
  • Smith, B. A. and W. P. Tesarek, House prices and regional real estate cycles: market adjustment in Houston, Journal of the American Real Estate and Urban Economics Association, 1991, 19, 396–416.
  • Sternlieb, G. and J. W. Hughes, Regional market variations: the northeast versus the south, Journal of the American Real Estate and Urban Economics Association, Spring, 1997, 44–68.
  • Lastrapes, W.D., The real price of housing and money supply shocks: time series evidence and theoretical simulations, Journal of Housing Economics, 2002, 11, 40-74.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Lastrapes, W.D., The real price of housing and money supply shocks: time series evidence and theoretical simulations, Journal of Housing Economics, 2002, 11, 40-74.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Sims, C.A., Macroeconomics and reality, Econometrica, 1980, 48, 1-48.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Ewing, B.T. and Y. Wang, Single housing starts and macroeconomic activity: an application of generalized impulse response analysis, Applied Economic Letters, 2005, 12, 187-190.
  • Kenny, G., Modelling the demand and supply sides of the housing market: evidence from Ireland, Economic Modeling, 1999, 16, 389-409.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Wheeler, M. and A.R. Chowdhury, The housing market, macroeconomic activity and financial innovation: an empirical analysis of US data, Applied Economics, 1993, 25, 1385-1392.
  • Turkish Statistical Institute, Turkish Statistical Indicators, 1923-2006, December 2007.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Dickey, D. A. and W. A. Fuller, Likelihood ratio statistics for autoregressive time series with unit root, Econometrica, 1981, 49, 1057–72.

Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System

Year 2009, Volume: 38 Issue: 1, 38 - 46, 14.10.2009

Ali Hepsen , Nazli Kalfa Bas

Abstract

The primary purpose of this paper is to examine dynamic causal relationships between housing market activity (construction permits for private use) and six determinants, including consumer price index (CPI), monetary aggregate (M2), interest rate (IR), industrial production index (IPI), real estate investment trusts’ indices (REITIX) and volume of mortgage loans (ML), in Turkish dwelling market under new mortgage system. Granger causality tests, impulse response functions and variance decomposition models are utilized for the period 2002 to 2007.

Keywords

Housing Investment Granger Causality Tests Variance Decomposition Models

References

  • Wheeler, M. and A.R. Chowdhury, The housing market, macroeconomic activity and financial innovation: an empirical analysis of US data, Applied Economics, 1993, 25, 1385-1392.
  • Smith, B. A. and W. P. Tesarek, House prices and regional real estate cycles: market adjustment in Houston, Journal of the American Real Estate and Urban Economics Association, 1991, 19, 396–416.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Mankiw, N. G. and D. N. Weil, The baby boom, the baby burst and the housing market, Regional Science and Urban Economics, 1989, 19, 235-258.
  • Case, K. E. and R. J. Shiller, Forecasting prices and excess returns in the housing market, Journal of the American Real Estate and Urban Economics Association, 1990, 18(3), 253-273.
  • Poterba, J. M., Housing price dynamics: The role of tax policy and demography, Brookings Papers on Economic Activity, 1991, 2, 143-148.
  • Potepan, M. J., Explaining intermetropolitan variation in housing prices, rents and land prices, Real Estate Economics, 1996, 24(2), 219-245.
  • Quigley, J. M., Real estate prices and economic cycles, International Real Estate Review, 1999, 2(1), 1-20.
  • Bernanke, B. S and A. S. Blinder, The federal funds rate and the channels of monetary transmission, American Economic Review, 1992, 82(4), 901–921.
  • Stone, D. and T. Ziemba, Land and stock values in Japan, Journal of Economic Perspective, 1993, 7(3), 149–165.
  • Quan, D. C. and S. Titman, Do housing values and stock values move together? An international analysis, Journal of Housing Economics, 1999, 27(2), 183–207.
  • Wheaton, W., The cyclic behavior of the National Office Market, Journal of the American Real Estate and Urban Economics Association, 1987, 15(4), 281–299.
  • Wheaton, W.C., Housing cycles some Fundamentals, Journal of Housing Economics, 1999, 27(2), 109–230.
  • Anari, A. and J. Kolari, House prices and inflation, Real Estate Economics, 2002, 30(1), 67-84.
  • Ji, H., Business cycle relation of stock, bond and housing market business, Management Studies, 1999, 27(5), 1277–1296.
  • Yun, J., The study on the prospect of land and housing market through the building of VAR model, Korean Research Institute for Human Settlement, 2001.
  • Ma, S., Cycle analysis of stock value, interest rate, business conditions, Journal of Risk Management Study, 2002, 11(11), 183–215.
  • Cho, D. and S. Ma, Dynamic relationship between housing values and interest rates in the Korean housing market, Journal of Real Estate Financial Economics, 2006, 32, 169-184.
  • Smith, B. A. and W. P. Tesarek, House prices and regional real estate cycles: market adjustment in Houston, Journal of the American Real Estate and Urban Economics Association, 1991, 19, 396–416.
  • Sternlieb, G. and J. W. Hughes, Regional market variations: the northeast versus the south, Journal of the American Real Estate and Urban Economics Association, Spring, 1997, 44–68.
  • Lastrapes, W.D., The real price of housing and money supply shocks: time series evidence and theoretical simulations, Journal of Housing Economics, 2002, 11, 40-74.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Lastrapes, W.D., The real price of housing and money supply shocks: time series evidence and theoretical simulations, Journal of Housing Economics, 2002, 11, 40-74.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Sims, C.A., Macroeconomics and reality, Econometrica, 1980, 48, 1-48.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Ewing, B.T. and Y. Wang, Single housing starts and macroeconomic activity: an application of generalized impulse response analysis, Applied Economic Letters, 2005, 12, 187-190.
  • Kenny, G., Modelling the demand and supply sides of the housing market: evidence from Ireland, Economic Modeling, 1999, 16, 389-409.
  • Baffoe-Bonnie, J., The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis, Journal of Real Estate Finance and Economics, 1998, 17(2), 179-197.
  • Wheeler, M. and A.R. Chowdhury, The housing market, macroeconomic activity and financial innovation: an empirical analysis of US data, Applied Economics, 1993, 25, 1385-1392.
  • Turkish Statistical Institute, Turkish Statistical Indicators, 1923-2006, December 2007.
  • Sarı, R., B. T. Ewing and B. Aydın, Housing market and macroeconomic variables in Turkey, Emerging Markets Finance and Trade, 2007, 43(5), 5-19.
  • Dickey, D. A. and W. A. Fuller, Likelihood ratio statistics for autoregressive time series with unit root, Econometrica, 1981, 49, 1057–72.
There are 33 citations in total.

Details

Primary Language English
Journal Section Finance
Authors

Ali Hepsen

Nazli Kalfa Bas This is me

Publication Date October 14, 2009
Published in Issue Year 2009 Volume: 38 Issue: 1

Cite

APA Hepsen, A., & Kalfa Bas, N. (2009). Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 38-46.
AMA Hepsen A, Kalfa Bas N. Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System. İstanbul Üniversitesi İşletme Fakültesi Dergisi. October 2009;38(1):38-46.
Chicago Hepsen, Ali, and Nazli Kalfa Bas. “Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38, no. 1 (October 2009): 38-46.
EndNote Hepsen A, Kalfa Bas N (October 1, 2009) Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38 1 38–46.
IEEE A. Hepsen and N. Kalfa Bas, “Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, pp. 38–46, 2009.
ISNAD Hepsen, Ali - Kalfa Bas, Nazli. “Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38/1 (October 2009), 38-46.
JAMA Hepsen A, Kalfa Bas N. Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38:38–46.
MLA Hepsen, Ali and Nazli Kalfa Bas. “Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, 2009, pp. 38-46.
Vancouver Hepsen A, Kalfa Bas N. Housing Market Activity and Macroeconomic Variables: An Analysis of Turkish Dwelling Market under New Mortgage System. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38(1):38-46.