Konut piyasasında çoklu balon oluşumu: Türkiye geneli ve TR71 bölgesinden ampirik deliller

Year 2022, , 343 - 360, 30.04.2022

Gökhan Kartal

https://doi.org/10.25287/ohuiibf.1002825

Cited By: 2

Abstract

Konut piyasasındaki balon oluşumları nedeniyle ABD’de başlayan Mortgage Krizinin küresel ölçekte tarihteki en önemli mali krizlerinden birisine dönüşmesi, konut piyasasındaki balonların makroekonomik sonuçları konusunda dramatik bir tecrübe oluşturmuştur. Bu kapsamda bu çalışmada Türkiye Genelinin yanı sıra Niğde, Nevşehir, Aksaray, Kırşehir ve Kırıkkale’nin yer aldığı TR71 Bölgesinde Ocak 2010-Temmuz 2021 arası dönemde konut piyasasında balonlarının tespit edilmesi amaçlanmaktadır. Bu doğrultuda konut piyasasında çoklu balonların tespiti için Genelleştirilmiş SADF yöntemi kullanılırken, balon oluşumlarının başlangıç ve bitiş tarihlerinin tespiti için Backwards SADF yöntemi kullanılmıştır. GSADF testi her iki örneklem için de konut piyasasında balonların varlığını göstermektedir. BSADF testi sonuçlarına göre ise, veri dönemde Türkiye Geneli için 2013A02-2013A12, 2014A06-2017A07, 2018A02-2019A10 ve 2020A06-2020A08 olmak üzere 4 ve TR71 Bölgesi için 2011A12-2012A01, 2012A11-2013A02 ve 2018A02-2019A06 olmak üzere 3 balon oluşum dönemi tespit edilmiştir. Bununla birlikte, balon oluşum dönemlerinde ipotekli konut satışların toplam konut satışları içindeki paylarının keskin bir şekilde azalması ekonomik birimlerin rasyonel davrandıklarının bir işareti olarak kabul edilebileceğinden, bu durumun balon oluşumun muhtemel bir finansal krize dönüşme olasılığını azalttığı ileri sürülebilir. Buna rağmen, ekonomik birimlerin balon oluşumuna gecikmeli olarak tepki vermesi, Türkiye’de konut balonlarının finansal krizlere yol açma ihtimali tamamen ortadan kaldırmamaktadır. Bu nedenle, konut ve finansal piyasalara yönelik regülasyonlarla piyasa sürekli takip etmelidir.

Keywords

Türkiye Ekonomisi, TR71, Konut Balonu, GSADF, BSADF

Multiple bubble formation in the real estate market: Empirical evidence from Turkey and TR71 region

Abstract

The fact that the Mortgage Crisis, which started in the USA due to the bubble formations in the real estate (or housing) market, turned into one of the most important financial crises in history on a global scale has created a dramatic experience in the macroeconomic consequences of the bubbles in the real estate. In this context, in this study, it is aimed that possible bubbles in the real estate market is detected between January 2010 and July 2021 in TR71 region (Niğde, Nevşehir, Aksaray, Kırşehir and Kırıkkale) as well as Turkey (general). In this direction, the Generalized SADF method was used to detect multiple bubbles in the real estate market, while the Backwards SADF method was used to determine the start and end dates of bubble formations. The GSADF test results demonstrate that there are bubbles in the real estate market for both samples. According to the results of the BSADF test results, in the data period, it has been determined that there are 4 bubbles formation periods for Turkey in general, including 2013M02-2013M12, 2014M06-2017M07, 2018M02-2019M10 and 2020M06-2020M08; and there are 3 bubbles formation periods for the TR71 Region, including 2011M12-2012M01, 2012M11-2013M02 and 2018M02-2019M06. However, since the sharp decrease in the share of mortgaged house sales in total house sales during bubble formation periods may be accepted as a sign that economic agents act rationally, it may be argued that this situation reduces the possibility of bubble formation turning into a possible financial crisis. Despite this, the delayed reaction of economic agents to bubble formation does not completely eliminate the possibility of real estate bubbles causing financial crisis in Turkey. For this reason, real estate and financial markets should be constantly inspecting and monitored through regulations.

Keywords

Turkish Economy, TR71, Housing Bubble, GSADF, BSADF

References

• Abioğlu, V. (2020). Türkiye konut piyasasında balon oluşumları: Bölgesel inceleme. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 1–14. https://doi.org/10.14784/marufacd.688444
• Ahmed, R., Jawaid, S. T., & Khalil, S. (2021). Bubble detection in housing market: Evidence from a developing country. SAGE Open, 11(2), 215824402110066. https://doi.org/10.1177/21582440211006690
• Akdag, S., & Iskenderoglu, O. (2020). Türkiye de reel konut fiyatlarında balonların varlığı üzerine uygulamalı bir analiz. Business and Economics Research Journal, 10(5), 1085–1093. https://doi.org/10.20409/berj.2019.223
• Akkuş, H. T. (2021). Housing price bubbles and factors affecting the formation of bubbles: The Turkish case. Pamukkale University Journal of Social Sciences Institute, (46), 271–292. https://doi.org/10.30794/pausbed.835374
• Amador-Torres, J. S., Gomez-Gonzalez, J. E., & Sanin-Restrepo, S. (2018). Determinants of housing bubbles’ duration in OECD countries. International Finance, 21(2), 140–157. https://doi.org/10.1111/infi.12128
• Anundsen, A. K. (2019). Detecting imbalances in house prices: What goes up must come down? The Scandinavian Journal of Economics, 121(4), 1587–1619. https://doi.org/10.1111/sjoe.12349
• Asal, M. (2019). Is there a bubble in the Swedish housing market? Journal of European Real Estate Research, 12(1), 32–61. https://doi.org/10.1108/JERER-03-2018-0013
• Ayan, E., & Eken, S. (2021). Detection of price bubbles in Istanbul housing market using LSTM autoencoders: a district-based approach. Soft Computing, 25(12), 7957–7973. https://doi.org/10.1007/s00500-021-05677-6
• Bakır Yiğitbaş, Ş. (2018). Developments in Turkey’s housing market: analysis of the housing bubble risk. Içinde M. Rusev, E. Strauss, C. Avcikurt, A. Soykan, & B. Parlak (Ed.), Social Sciences Researches in the Globalizing World (ss. 791–812). Sofia: St. Kliment Ohridski University Press.
• Balcilar, M., Katzke, N., & Gupta, R. (2018). Date-stamping US housing market explosivity. Economics, 12(1). https://doi.org/10.5018/economics-ejournal.ja.2018-18
• Berk, N., Biçen, S., & Seyidova, N. (2017). Study on measuring of real estate speculative bubble: Evidence from Turkey. 12th International Conference on Social Sciences, II(October), 65–89. Amsterdam, 19-20 May 2017: European Center for Science Education and Research.
• Berlemann, M., Freese, J., & Knoth, S. (2020). Dating the start of the US house price bubble: an application of statistical process control. Empirical Economics, 58(5), 2287–2307. https://doi.org/10.1007/s00181-019-01648-x
• Bolat, M., & Şenol, L. (2020). Konut pi̇yasasinda fi̇yatlandirma ve konut balonu. International Marmara Social Sciences Congress (Imascon 2020 – Autumn) Proceedings Book, 216–221.
• Cagli, E. C. (2019). Explosive behavior in the real estate market of Turkey. Borsa Istanbul Review, 19(3), 258–263. https://doi.org/10.1016/j.bir.2018.10.002
• Caspi, I. (2016). Testing for a housing bubble at the national and regional level: the case of Israel. Empirical Economics, 51(2), 483–516. https://doi.org/10.1007/s00181-015-1007-y
• Chan, T. H., Woon, J. H., & Ali, R. H. (2016). Explosive bubbles and cyclical linkages of the Asia Pacific housing prices. Capital Market Review, 24(2), 59–71.
• Chen, X., & Funke, M. (2013). Renewed momentum in the German housing market: Boom or bubble? CESifo Working Paper Series No. 4287.
• Coskun, Y., & Jadevicius, A. (2017). Is there a housing bubble in Turkey? Real Estate Management and Valuation, 25(1), 48–73. https://doi.org/10.1515/remav-2017-0003
• Coskun, Y., Seven, U., Ertugrul, H. M., & Alp, A. (2020). Housing price dynamics and bubble risk: the case of Turkey. Housing Studies, 35(1), 50–86. https://doi.org/10.1080/02673037.2017.1363378
• de Oliveira, M. M., & Almeida, A. C. L. (2014). Testing for rational speculative bubbles in the Brazilian residential real-estate market. https://doi.org/10.1108/S1569-375920140000096017
• Dogan, E., & Afsar, A. (2018). Analyzing asset of bubbles in the housing market with right-tailed unit root tests: the case of Turkey. Pressacademia, 7(2), 139–147. https://doi.org/10.17261/Pressacademia.2018.836
• Dreger, C., & Zhang, Y. (2013). Is there a bubble in the Chinese housing market? Urban Policy and Research, 31(1), 27–39. https://doi.org/10.1080/08111146.2012.711248
• Engsted, T., Hviid, S. J., & Pedersen, T. Q. (2016). Explosive bubbles in house prices? Evidence from the OECD countries. Journal of International Financial Markets, Institutions and Money, 40, 14–25. https://doi.org/10.1016/j.intfin.2015.07.006
• Erdem, C. (2019). Konut balonu kavramı ve Türkiye’de konut balonuna ilişkin bir uygulama. (Yüksek Lisans Tezi). Marmara Üniversitesi, İstanbul.
• Escobari, D., & Jafarinejad, M. (2016). Date stamping bubbles in real estate investment trusts. The Quarterly Review of Economics and Finance, 60, 224–230. https://doi.org/10.1016/j.qref.2015.10.003
• Freese, J. (2015). The regional pattern of the U.S. house price bubble– An application of SPC to city level data. Review of Economics, 66(2), 185–224. https://doi.org/10.1515/roe-2015-0204
• Gallagher, E., Bond, D., & Ramsey, E. (2015). Northern Ireland’s property market bubble: a preliminary analysis. Applied Economics Letters, 22(1), 61–65. https://doi.org/10.1080/13504851.2014.925044
• Gómez-González, J. E., Ojeda-Joya, J. N., Rey-Guerra, C., & Sicard, N. (2013). Testing for bubbles in housing markets: New results using a new method. Içinde Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers (C. 2013). https://doi.org/10.24149/gwp164
• Gomez-Gonzalez, Jose E., Ojeda-Joya, J. N., Franco, J. P., & Torres, J. E. (2017). Asset price bubbles: Existence, persistence and migration. South African Journal of Economics, 85(1), 52–67. https://doi.org/10.1111/saje.12108
• Gomez-Gonzalez, Jose Eduardo, Gamboa-Arbeláez, J., Hirs-Garzón, J., & Pinchao-Rosero, A. (2018). When bubble meets bubble: Contagion in OECD Countries. The Journal of Real Estate Finance and Economics, 56(4), 546–566. https://doi.org/10.1007/s11146-017-9605-4
• Greenaway-McGrevy, R., & Phillips, P. C. B. (2016). Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres. New Zealand Economic Papers, 50(1), 88–113. https://doi.org/10.1080/00779954.2015.1065903
• Güler, İ., & Gökçe, A. (2020a). Sağ-yönlü ADF sınamaları ile Ankara ilinde konut balonu araştırması. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (Özel Sayı (2020)), 94–116.
• Güler, İ., & Gökçe, A. (2020b). Yabancılara konut satışı ile konut balonu ilişkisinin GSADF sınamaları ile araştırılması: Türkiye geneli ve İstanbul, Antalya illeri örneği. 3. SEKTÖR SOSYAL EKONOMİ DERGİSİ, 55(2), 989–1007. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.20.05.1353
• Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: Bubbles, fundamentals and misperceptions. Journal of Economic Perspectives, 19(4), 67–92. https://doi.org/10.1257/089533005775196769
• Hu, Y., & Oxley, L. (2018). Bubble contagion: Evidence from Japan’s asset price bubble of the 1980-90s. Journal of the Japanese and International Economies, 50, 89–95. https://doi.org/10.1016/j.jjie.2018.09.002
• Hui, E. C. M., & Gu, Q. (2009). Study of Guangzhou house price bubble based on state‐space model. International Journal of Strategic Property Management, 13(4), 287–298. https://doi.org/10.3846/1648-715X.2009.13.287-298
• Karakoyun, H. D., & Yildirim, N. (2017). Demand-side factors of housing price increases in Turkey: Blanchard-Quah SVAR model. Business and Economic Horizons, 13(3), 312–332. https://doi.org/10.15208/beh.2017.23
• Kiarie Njoroge, P., Aduda, J. A., & Mugo, C. (2018). Investigating the existence of a bubble in the Kenyan real estate market. International Journal of Data Science and Analysis, 4(5), 89. https://doi.org/10.11648/j.ijdsa.20180405.13
• Kindleberger, C. P. (1991). Bubbles. Içinde N. P. Eatwell J., Milgate M. (Ed.), The World of Economics (ss. 20–22). London: Palgrave Macmillan UK. https://doi.org/10.1007/978-1-349-21315-3_3
• Kishor, N. K., & Morley, J. (2015). What factors drive the price–rent ratio for the housing market? A modified present-value analysis. Journal of Economic Dynamics and Control, 58, 235–249. https://doi.org/10.1016/j.jedc.2015.06.006
• Liu, T.-Y., Chang, H.-L., Su, C.-W., & Jiang, X.-Z. (2016). China’s housing bubble burst? Economics of Transition, 24(2), 361–389. https://doi.org/10.1111/ecot.12093
• Mandaci, P. E., & Cagli, E. C. (2018). Türkiye konut piyasasında balon var mı? İstatistiki bölge birimleri üzerine bir analiz. Finans Politik & Ekonomik Yorumlar, 55(646), 85–113.
• Mikhed, V., & Zemčík, P. (2009). Testing for bubbles in housing markets: A panel data approach. The Journal of Real Estate Finance and Economics, 38(4), 366–386. https://doi.org/10.1007/s11146-007-9090-2
• Pavlidis, E., Yusupova, A., Paya, I., Peel, D. A., Martinez-Garcia, E., Mack, A., & Grossman, V. (2013). Monitoring housing markets for episodes of exuberance: An application of the Phillips Et Al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2378505
• Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132
• Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? International Economic Review, 52(1), 201–226. https://doi.org/10.1111/j.1468-2354.2010.00625.x
• Phillips, P. C. B., & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455–491. https://doi.org/10.3982/QE82
• Shi, S. (2017). Speculative bubbles or market fundamentals? An investigation of US regional housing markets. Economic Modelling, 66, 101–111. https://doi.org/10.1016/j.econmod.2017.06.002
• Shi, S., Valadkhani, A., Smyth, R., & Vahid, F. (2016). Dating the timeline of house price bubbles in Australian capital cities. Economic Record, 92(299), 590–605. https://doi.org/10.1111/1475-4932.12284
• Smith, M. H., & Smith, G. (2006). Bubble, bubble, where’s the housing bubble? Brookings Papers on Economic Activity, 2006(1), 1–67. https://doi.org/10.1353/eca.2006.0019
• TCMB (t.y). Elektronik Veri Dağıtım Sistemi (EVDS). Konut ve İnşaat İstatistikleri. Erişim adresi: https://evds2.tcmb.gov.tr/index.php. Erişim Tarihi: 15.09.2021.
• Yiu, M. S., Yu, J., & Jin, L. (2013). Detecting bubbles in Hong Kong residential property market. Journal of Asian Economics, 28, 115–124. https://doi.org/10.1016/j.asieco.2013.04.005
• Yun Lu, L., YM Lee, J., Al-mulali, U., Ahmad, N. A., & Mohammad, I. S. (2015). Housing bubble in Penang prediction and determinants. Jurnal Teknologi, 73(5). https://doi.org/10.11113/jt.v73.4321
• Zemčík, P. (2010). Is there a real estate bubble in the czech republic? Center for Economic Research and Graduate Education, 61(1), 49–66.
• Zeren, F., & Erguzel, O. S. (2015). Testing for bubbles in the housing market: Further evidence from Turkey. Financial Studies, 19(1), 40–52.
• Zhou, W.-X., & Sornette, D. (2006). Is there a real-estate bubble in the US? Physica A: Statistical Mechanics and its Applications, 361(1), 297–308. https://doi.org/10.1016/j.physa.2005.06.098
• Zhou, W. X., & Sornette, D. (2008). Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices. Physica A: Statistical Mechanics and its Applications, 387(1), 243–260. https://doi.org/10.1016/J.PHYSA.2007.08.059