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HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE

Year 2021, Issue: 46, 271 - 292, 02.09.2021
https://doi.org/10.30794/pausbed.835374

Abstract

Price bubbles may be a leading indicator for financial crises. In history, some of the important price bubble cases occurred in the real estate or housing market. In this study, the existence of a price bubbles, the periods of the existing bubbles, and the factors affecting the formation of bubbles in the housing sector for both Turkey and TR22 Region (Balıkesir-Çanakkale) are being investigated. Data covering 126 monthly housing price indices for the period between January 2010 and June 2020 were used. According to the SADF and GSADF test results, some evidence of housing bubbles for both Turkey and TR22 Region was reached. According to the results of the logit model applied in the study, the increase in the housing loan volume and the real estate interest rates as well as the decrease in the BIST-100 and M2 money supply, increase the probability of a housing price bubble for the TR22 Region. Additionally, the increase in the housing loan volume, real estate interest rates, BIST-100 and CPI as well as the decrease in the industrial production index, increase the probability of housing bubbles for Turkey. Considering those factors, the regulatory authorities in Turkey such as the BRSA and CBRT should take preventive measures to maintain price, financial and economic stability. In addition, those who invest in the housing sector should carefully monitor the existence and causes of price bubbles in this sector.

Supporting Institution

Balıkesir University Scientific Research Projects Coordinator.

Project Number

2019/070

References

  • Afşar, A. and Doğan, E. (2018). Analyzing Asset of Bubbles in the Housing Market with Right-Tailed Unit Root Tests: The Case of Turkey. Journal of Business Economics and Finance, 7(2), 139-147.
  • Ambrose, B. W., Eichholtz, P. and Lindenthal, T. (2013). House Prices and Fundamentals: 355 Years of Evidence. Journal of Money, Credit and Banking, 45(2–3), 477-491.
  • Asteriou, D. and Hall, S. G. (2016). Applied Econometrics (Third Edition). London: Palgrave Macmillan.
  • Atasever, G. (2016). Varlık Fiyatları Köpüğü: Muğla Konut Piyasası Üzerine Bir Değerlendirme. Akdeniz Üniversitesi İİBF Dergisi, 16(34), 1-17.
  • Barlevy, G. (2007). Economic Theory and Asset Bubbles. Economic Perspectives, Federal Reserve Bank of Chicago, 44-59.
  • Biggs, B. (2006). Hedge Hogging. New Jersey: John Wiley & Sons.
  • Black, A., Fraser, P. and Hoesli, M. (2006). House Prices, Fundamentals and Bubbles. Journal of Business Finance & Accounting, 33(9), 1535-1555
  • Case, K. E. and Shiller, R. J. (2003). Is There a Bubble in the Housing Market? Brookings Papers on Economic Activity, 2, 299-342.
  • Caspi, I. (2016). Testing for A Housing Bubble at the National and Regional Level: The Case of Israel. Federal Reserve Bank of Dallas, Working Paper No. 246.
  • Coşkun, Y. (2016). Konut Fiyatları ve Yatırımı: Türkiye İçin Bir Analiz. Niğde Üniversitesi İİBF Dergisi, 9(2), 201-217.
  • Coşkun, Y. and Jadevicious, A. (2017). Is there a Housing Bubble in Turkey? Real Estate Management and Valuation, 25(1), 48-73.
  • Coşkun, Y., Seven, Ü., Ertuğrul, H. M. and Alp, A. (2017). Housing Price Dynamics and Bubble Risk: The Case of Turkey. Housing Studies, 35(1), 1-37.
  • Çağlı, E. Ç. and Evrim Mandacı, P. (2017). Borsa İstanbul’da Rasyonel Balon Varlığı: Sektör Endeksleri Üzerine Bir Analiz. Finans Politik & Ekonomik Yorumlar Dergisi, 54(629), 63-76.
  • Diba, B. T. and Grossman, H. I. (1988). Explosive Rational Bubbles in Stock Prices? American Economic Review, 78(3), 520–530.
  • Eğilmez, M. (2017). Konut ve Balon Meselesinin Analizi. Retrieved July 20, 2020, from http://www.mahfiegilmez.com/2017/05/konut-ve-balon-meselesi.html.
  • Erol, I. and Ünal, U. (2015). Role of Construction Sector in Economic Growth: New Evidence from Turkey. Munich Personal RePEc Archive, Paper No. 68263.
  • Evrim Mandacı, P. E. and Çağlı, E. Ç. (2018). Türkiye Konut Piyasasında Balon Var Mı? İstatistiki Bölge Birimleri Üzerine Bir Analiz. Finans Politik & Ekonomik Yorumlar Dergisi, 55(646), 85-113.
  • Gökçe, A. and Güler, İ. (2020). Sağ-Yönlü ADF Sınamaları ile Ankara İlinde Konut Balonu Araştırması. Ankara Hacı Bayram Veli Üniversitesi İİBF Dergisi, Özel Sayı, 94-116.
  • Gujarati, D. (2016). Örneklerle Ekonometri (Translated by N. Bolatoğlu). Ankara: BB101 Yayınları.
  • Himmelberg, C., Mayer, C. and Sinai, T. (2005). Assessing High House Prices: Bubbles, Fundamentals and Misperceptions. Journal of Economic Perspectives, 19(4), 67-92.
  • Hlaváček, M. and Komárek, L. (2009). Housing Price Bubbles and their Determinants in the Czech Republic and its Regions. Czech National Bank, Working Paper Series 12.
  • Homm, U. and Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198-231.
  • İskenderoğlu, Ö. and Akdağ, S. (2019). Türkiye’de Reel Konut Fiyatlarında Balonların Varlığı Üzerine Uygulamalı Bir Analiz. Business and Economics Research Journal, 10(5), 1085-1093.
  • Kansu, A. (2017). Konut Balonundan Finansal Krize: ABD Mortgage Krizi. Ankara: Astana Yayınları.
  • Karasu, M. A. (2019). İnşaata Dayalı Büyüme Ekseninde Türkiye’de Konut Sorunu. Kırsal Kalkınma ve Kooperatifçilik in (Editors: A. Mengi ve D. İşçioğlu). Ankara Üniversitesi Yayınları No: 658, A. Ü. Siyasal Bilgiler Fakültesi Yayınları No: 62, pp. 669-693.
  • Kaya, A. (2012). Türkiye’de Konut Fiyatlarını Etkileyen Faktörlerin Hedonik Fiyat Modeli İle Belirlenmesi. TCMB Uzmanlık Yeterlilik Tezi.
  • Kilian, L. (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99(3), 1053–1069.
  • LeRoy, S. F. and Porter, R. D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica, 49(3), 555–574.
  • Malkiel, B. G. (2018). Borsada Rastgele Seyir (Translated by A. Perşembe). İstanbul: Scala Yayıncılık.
  • Miao, J. (2014). Introduction to Economic Theory of Bubbles. Journal of Mathematical Economics, 53, 130-136.
  • Mishkin, F. S. and Eakins, S. G. (2018). Financial Markets and Institutions. United Kingdom: Pearson Education Limited.
  • Özatay, F. (2015). Parasal İktisat: Kuram ve Politika. Ankara: Efil Yayınevi.
  • Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martinez-Garcia, E., Mack, A. and Grossman, V. (2016). Episodes of Exuberance in Housing Markets. The Journal of Real Estate Finance and Economics, 53(4), 419-449.
  • Phillips, P. C. B., Shi, S. and Yu, J. (2015a). Testing for Multiple Bubbles: Historical Episode of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043-1077.
  • Phillips, P. C. B., Shi, S. and Yu, J. (2015b). Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors. International Economic Review, 56(4), 1079-1133.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52(1), 201-226.
  • Shi, S. (2017). Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets. Economic Modelling, 66, 101-111.
  • Shiller, R. J. (1981). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? The American Economic Review, 71(3), 421-436.
  • Tarı, R. (2014). Ekonometri. Kocaeli: Umuttepe Yayınları.
  • Türkiye Katılım Bankaları Birliği (2019). Katılım Bankaları 2019. Retrieved September 29, 2020, from https://www.tkbb.org.tr/Documents/Yonetmelikler/Katilim-Bankalari-2019.pdf.
  • West, K. D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102(3), 553-580.
  • Zeren, F. and Ergüzel, O. Ş. (2015). Testing For Bubbles in the Housing Market: Further Evidence from Turkey. Financial Studies, 19 (1), 40-52.
  • www.bddk.org.tr, www.dallasfed.org, www.reidin.com.en, www.tcmb.gov.tr, www.tuik.gov.tr

KONUT FİYAT BALONLARI VE BALON OLUŞUMUNU ETKİLEYEN FAKTÖRLER: TÜRKİYE ÖRNEĞİ

Year 2021, Issue: 46, 271 - 292, 02.09.2021
https://doi.org/10.30794/pausbed.835374

Abstract

Fiyat balonları finansal krizler için öncü bir gösterge olabilmektedir. Tarihte önemli fiyat balonu vakalarının bazıları gayrimenkul ya da konut piyasasında gerçekleşmiştir. Bu çalışmada Türkiye geneli ve TR22 Bölgesi (Balıkesir-Çanakkale) için konut sektöründe fiyat balonunun varlığı, balon dönemleri ve balon oluşumunu etkileyen faktörler araştırılmaktadır. Çalışmada Ocak 2010-Haziran 2020 dönemine ait 126 adet aylık konut fiyat endeks verisi kullanılmıştır. Çalışmada uygulanan SADF ve GSADF test sonuçlarına göre hem Türkiye geneli hem de TR22 Bölgesi konut fiyat endekslerinde fiyat balonlarının varlığına ilişkin kanıtlara ulaşılmıştır. Yine çalışmada uygulanan logit model tahmin sonuçlarına göre, konut kredi hacmi ve konut reel faiz oranındaki artışlar ile BİST-100 ve M2 para arzındaki azalışlar TR22 Bölgesi için konut fiyat balonu oluşma olasılığını artırmaktadır. Diğer taraftan kredi hacmi, konut reel faiz oranı, BİST-100 ve TUFE artışları ile sanayi üretim endeksindeki azalışlar, Türkiye geneli için konut fiyat balonu oluşma olasılığını artırmaktadır. Bu durumda Türkiye’de BDDK, TCMB gibi düzenleyici otoriteler söz konusu faktörleri göz önünde bulundurarak fiyat istikrarı, ekonomik istikrar ve finansal istikrarı koruyucu önlemler almalıdırlar. Ayrıca konut sektörüne yatırım yapanlar, bu sektördeki fiyat balonlarının varlığını ve nedenlerini dikkatle izlemelidirler.

Project Number

2019/070

References

  • Afşar, A. and Doğan, E. (2018). Analyzing Asset of Bubbles in the Housing Market with Right-Tailed Unit Root Tests: The Case of Turkey. Journal of Business Economics and Finance, 7(2), 139-147.
  • Ambrose, B. W., Eichholtz, P. and Lindenthal, T. (2013). House Prices and Fundamentals: 355 Years of Evidence. Journal of Money, Credit and Banking, 45(2–3), 477-491.
  • Asteriou, D. and Hall, S. G. (2016). Applied Econometrics (Third Edition). London: Palgrave Macmillan.
  • Atasever, G. (2016). Varlık Fiyatları Köpüğü: Muğla Konut Piyasası Üzerine Bir Değerlendirme. Akdeniz Üniversitesi İİBF Dergisi, 16(34), 1-17.
  • Barlevy, G. (2007). Economic Theory and Asset Bubbles. Economic Perspectives, Federal Reserve Bank of Chicago, 44-59.
  • Biggs, B. (2006). Hedge Hogging. New Jersey: John Wiley & Sons.
  • Black, A., Fraser, P. and Hoesli, M. (2006). House Prices, Fundamentals and Bubbles. Journal of Business Finance & Accounting, 33(9), 1535-1555
  • Case, K. E. and Shiller, R. J. (2003). Is There a Bubble in the Housing Market? Brookings Papers on Economic Activity, 2, 299-342.
  • Caspi, I. (2016). Testing for A Housing Bubble at the National and Regional Level: The Case of Israel. Federal Reserve Bank of Dallas, Working Paper No. 246.
  • Coşkun, Y. (2016). Konut Fiyatları ve Yatırımı: Türkiye İçin Bir Analiz. Niğde Üniversitesi İİBF Dergisi, 9(2), 201-217.
  • Coşkun, Y. and Jadevicious, A. (2017). Is there a Housing Bubble in Turkey? Real Estate Management and Valuation, 25(1), 48-73.
  • Coşkun, Y., Seven, Ü., Ertuğrul, H. M. and Alp, A. (2017). Housing Price Dynamics and Bubble Risk: The Case of Turkey. Housing Studies, 35(1), 1-37.
  • Çağlı, E. Ç. and Evrim Mandacı, P. (2017). Borsa İstanbul’da Rasyonel Balon Varlığı: Sektör Endeksleri Üzerine Bir Analiz. Finans Politik & Ekonomik Yorumlar Dergisi, 54(629), 63-76.
  • Diba, B. T. and Grossman, H. I. (1988). Explosive Rational Bubbles in Stock Prices? American Economic Review, 78(3), 520–530.
  • Eğilmez, M. (2017). Konut ve Balon Meselesinin Analizi. Retrieved July 20, 2020, from http://www.mahfiegilmez.com/2017/05/konut-ve-balon-meselesi.html.
  • Erol, I. and Ünal, U. (2015). Role of Construction Sector in Economic Growth: New Evidence from Turkey. Munich Personal RePEc Archive, Paper No. 68263.
  • Evrim Mandacı, P. E. and Çağlı, E. Ç. (2018). Türkiye Konut Piyasasında Balon Var Mı? İstatistiki Bölge Birimleri Üzerine Bir Analiz. Finans Politik & Ekonomik Yorumlar Dergisi, 55(646), 85-113.
  • Gökçe, A. and Güler, İ. (2020). Sağ-Yönlü ADF Sınamaları ile Ankara İlinde Konut Balonu Araştırması. Ankara Hacı Bayram Veli Üniversitesi İİBF Dergisi, Özel Sayı, 94-116.
  • Gujarati, D. (2016). Örneklerle Ekonometri (Translated by N. Bolatoğlu). Ankara: BB101 Yayınları.
  • Himmelberg, C., Mayer, C. and Sinai, T. (2005). Assessing High House Prices: Bubbles, Fundamentals and Misperceptions. Journal of Economic Perspectives, 19(4), 67-92.
  • Hlaváček, M. and Komárek, L. (2009). Housing Price Bubbles and their Determinants in the Czech Republic and its Regions. Czech National Bank, Working Paper Series 12.
  • Homm, U. and Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198-231.
  • İskenderoğlu, Ö. and Akdağ, S. (2019). Türkiye’de Reel Konut Fiyatlarında Balonların Varlığı Üzerine Uygulamalı Bir Analiz. Business and Economics Research Journal, 10(5), 1085-1093.
  • Kansu, A. (2017). Konut Balonundan Finansal Krize: ABD Mortgage Krizi. Ankara: Astana Yayınları.
  • Karasu, M. A. (2019). İnşaata Dayalı Büyüme Ekseninde Türkiye’de Konut Sorunu. Kırsal Kalkınma ve Kooperatifçilik in (Editors: A. Mengi ve D. İşçioğlu). Ankara Üniversitesi Yayınları No: 658, A. Ü. Siyasal Bilgiler Fakültesi Yayınları No: 62, pp. 669-693.
  • Kaya, A. (2012). Türkiye’de Konut Fiyatlarını Etkileyen Faktörlerin Hedonik Fiyat Modeli İle Belirlenmesi. TCMB Uzmanlık Yeterlilik Tezi.
  • Kilian, L. (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99(3), 1053–1069.
  • LeRoy, S. F. and Porter, R. D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica, 49(3), 555–574.
  • Malkiel, B. G. (2018). Borsada Rastgele Seyir (Translated by A. Perşembe). İstanbul: Scala Yayıncılık.
  • Miao, J. (2014). Introduction to Economic Theory of Bubbles. Journal of Mathematical Economics, 53, 130-136.
  • Mishkin, F. S. and Eakins, S. G. (2018). Financial Markets and Institutions. United Kingdom: Pearson Education Limited.
  • Özatay, F. (2015). Parasal İktisat: Kuram ve Politika. Ankara: Efil Yayınevi.
  • Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martinez-Garcia, E., Mack, A. and Grossman, V. (2016). Episodes of Exuberance in Housing Markets. The Journal of Real Estate Finance and Economics, 53(4), 419-449.
  • Phillips, P. C. B., Shi, S. and Yu, J. (2015a). Testing for Multiple Bubbles: Historical Episode of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043-1077.
  • Phillips, P. C. B., Shi, S. and Yu, J. (2015b). Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors. International Economic Review, 56(4), 1079-1133.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52(1), 201-226.
  • Shi, S. (2017). Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets. Economic Modelling, 66, 101-111.
  • Shiller, R. J. (1981). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? The American Economic Review, 71(3), 421-436.
  • Tarı, R. (2014). Ekonometri. Kocaeli: Umuttepe Yayınları.
  • Türkiye Katılım Bankaları Birliği (2019). Katılım Bankaları 2019. Retrieved September 29, 2020, from https://www.tkbb.org.tr/Documents/Yonetmelikler/Katilim-Bankalari-2019.pdf.
  • West, K. D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102(3), 553-580.
  • Zeren, F. and Ergüzel, O. Ş. (2015). Testing For Bubbles in the Housing Market: Further Evidence from Turkey. Financial Studies, 19 (1), 40-52.
  • www.bddk.org.tr, www.dallasfed.org, www.reidin.com.en, www.tcmb.gov.tr, www.tuik.gov.tr
There are 43 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Hilmi Tunahan Akkuş 0000-0002-8407-1580

Project Number 2019/070
Publication Date September 2, 2021
Acceptance Date January 22, 2021
Published in Issue Year 2021 Issue: 46

Cite

APA Akkuş, H. T. (2021). HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(46), 271-292. https://doi.org/10.30794/pausbed.835374
AMA Akkuş HT. HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE. PAUSBED. September 2021;(46):271-292. doi:10.30794/pausbed.835374
Chicago Akkuş, Hilmi Tunahan. “HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 46 (September 2021): 271-92. https://doi.org/10.30794/pausbed.835374.
EndNote Akkuş HT (September 1, 2021) HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 46 271–292.
IEEE H. T. Akkuş, “HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE”, PAUSBED, no. 46, pp. 271–292, September 2021, doi: 10.30794/pausbed.835374.
ISNAD Akkuş, Hilmi Tunahan. “HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 46 (September 2021), 271-292. https://doi.org/10.30794/pausbed.835374.
JAMA Akkuş HT. HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE. PAUSBED. 2021;:271–292.
MLA Akkuş, Hilmi Tunahan. “HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 46, 2021, pp. 271-92, doi:10.30794/pausbed.835374.
Vancouver Akkuş HT. HOUSING PRICE BUBBLES AND FACTORS AFFECTING THE FORMATION OF BUBBLES: THE TURKISH CASE. PAUSBED. 2021(46):271-92.