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The Role of House Prices in the Monetary Transmission Mechanism

Year 2020, Volume: 28 Issue: 45, 63 - 86, 30.07.2020

Musa Bayır

https://doi.org/10.17233/sosyoekonomi.2020.03.05
Cited By: 2

Abstract

Housing markets have an essential role in the process leading up to the 2008 financial crisis. The problems in the housing markets started with monetary tightening. These developments revealed the importance of the relationship between monetary policy, housing markets, and the real sector. Besides, the role of housing prices in the monetary transmission mechanism has begun to examine. In this context, the paper aims to investigate the role of housing prices in the monetary transmission mechanism in the Turkish economy empirically. The analysis method of the study is Structural VAR. The analysis period is 2011:1-2019:4. According to the results of the analysis, monetary policy affects housing prices. However, housing prices have no impact on consumption and housing investment. When these two situations evaluated together, housing prices have no role in the monetary transmission mechanism. On the other hand, the analyses indicate that the Central Bank of the Republic of Turkey closely followed the housing prices. In this framework, it reacts rapidly to the appropriate policy response.

Keywords

House Prices Monetary Transmission Mechanism Structural VAR

References

  • Albagli, E. vd. (2018), "Channels of US Monetary Policy Spillovers into International Bond Markets", BIS Working Papers, 719, Bank for International Settlements, Basel, <https://doi.org/10.2139/ssrn.2684921>.
  • Ando, A. & Modigliani, F. (1963), "The Life-Cycle Hypothesis of Saving: Aggregate Implications and Tests", American Economic Review, 53, 55-84.
  • Aoki, K. vd. (2004), "House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach", Journal of Financial Intermediation, 13(4), 414–435, <https://doi.org/10.1016/j.jfi.2004.06.003>.
  • Assenmacher-Wesche, K., & Gerlach, S. (2008), "Financial Structure and the Impact of Monetary Policy on Asset Prices; Financial Structure and the Impact of Monetary Policy on Asset Prices", Swiss National Bank Working Papers, 2008-16.
  • Atalay, K. vd. (2016), "House Prices, Wealth and Consumption: New Evidence from Australia and Canada", The Review of Income and Wealth, 62(1), 69–91, <https://doi.org/10.1111/roiw.12145>.
  • Barata, J. vd. (2014), "What Have Central Banks in EMEs Learned about the International Transmission of Monetary Policy in Recent Years?", BIS Working Papers, 78f, Bank for International Settlements, Basel.
  • Bernanke, B. S. (1986), “Alternative Explanations of the Money Income Correlation”, Carnegie-Rochester Conference Series on Public Policy, 49-100.
  • Bernanke, B. S., & Blinder, A. S. (1992), "The Federal Funds Rate and the Channels of Monetary Transmission", The American Economic Review, 82(4), 901–921.
  • Bhattarai, S. vd. (2014), "Effects of US Quantitative Easing on Emerging Market Economies", Working Paper, 255, Federal Reserve Bank of Dallas.
  • Bjørnland, H. C., & Jacobsen, D. H. (2010), "The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies", Journal of Financial Stability, 6(4), 218–229, <https://doi.org/10.1016/j.jfs.2010.02.001>.
  • Carstensen, K. vd. (2009), "Monetary Policy Transmission and House Prices: European Cross Country Evidence", FINESS Working Paper, D.7.4, European Commission.
  • Clarida, R. vd. (2001), "Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach", American Economic Review, 91(2), 248–252.
  • Elbourne, A. (2008), "The UK Housing Market and the Monetary Policy Transmission Mechanism: An SVAR Approach", Journal of Housing Economics, 17(1), 65–87, <https://doi.org/10.1016/j.jhe.2007.09.002>.
  • Erdoğan, S. vd. (2018), "An Analysis on the Housing Price Channel: The Case of BRICT", Journal of Economics Library, 5(4), 358–370.
  • Federal Reserve Bank of St. Louis (2018), < https://www.stlouisfed.org>, 13.10.2018.
  • Friedman, M. (1957), "A Theory of the Consumption Function", Princeton University Press, Princeton University, Princeton.
  • Giuliodori, M. (2005), "The Role of House Prices in the Monetary Transmission Mechanism across European Countries", Scottish Journal of Political Economy, 52(4), 519–543, <https://doi.org/10.1111/j.1467-9485.2005.00354.x>.
  • Goodhart, C., & Hofmann, B. (2008), "House Prices, Money, Credit and the Macroeconomy", Working Paper Series, 888, European Central Bank, Frankfurt.
  • Guler, M. H. (2012), "Housing Wealth Effects Mechanism and the Monetary Policy Transmission in Turkey", Yayımlanmamış Yükseklisans Tezi, University of North Carolina.
  • Hong Kong Monetary Authority (2006), "The Housing Market Channel of the Monetary Transmission Mechanism in Hong Kong", BIS Papers, 35, Bank for International Settlements, Basel.
  • Kara, H. (2012), "Küresel Kriz Sonrası Para Politikası", Çalışma Tebliği, 2012/17, Türkiye Cumhuriyet Merkez Bankası, Ankara.
  • Kennedy, N., & Andersen, P. (1994), "Household Saving and Real House Prices: An International Perspective", BIS Working Paper, 20, Bank for International Settlements, Basel.
  • Kim, S., & Roubini, N. (2000), "Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach", Journal of Monetary Economics, 45(3), 561–586, <https://doi.org/10.1016/S0304-3932(00)00010-6>.
  • Kiss, G., & Vadas, G. (2005), "The Role of the Housing Market in Monetary Transmission", MNB Background Studies, Magyar Memzeti Bank, Budapeşte.
  • Lee, C.C. vd. (2013), "Interactions between House Prices, Stock Prices and Monetary Policy—Using Recursive VAR", American Journal of Industrial and Business Management, 3(8), 645–654, <https://doi.org/10.4236/ajibm.2013.38074>.
  • Ludvigson, S. vd. (2002), "Monetary Policy Transmission through the Consumption-Wealth Channel", FRBNY Economic Policy Review, Mayıs, 117–133, <http://ideas.repec.org/a/fip/fednep/y2002imayp117-133nv.8no.1.html>.
  • Milcheva, S., & Sebastian, S. (2010), "Housing Channels of Monetary Policy Transmission in European Industrial and Transition Countries", 17th Annual European Real Estate Society Conference, Milano.
  • Mishkin, F. S. (2007), "Housing and the Monetary Transmission Mechanism", NBER Working Paper Series, 13518, National Bureau of Economic Research, Cambridge. <https://doi.org/10.3386/w13518>.
  • Modigliani, F. & Ando, A. (1960), "The Permanent Income and the Life Cycle Hypothesis of Saving Behavior: Comparisons and Test", Proceedings of the Conference on Consumption and Saving, University of Pennsylvania, Philadelphia.
  • Musso, A. vd. (2011), "Housing, Consumption and Monetary Policy: How Different are the US and the Euro Area?", Journal of Banking and Finance, 35(11), 3019–3041, <https://doi.org/10.1016/j.jbankfin.2011.04.004>.
  • Ncube, M., & Ndou, E. (2011), "Monetary Policy Transmission, House Prices and Consumer Spending in South Africa: an SVAR Approach", Working Paper Series, 133, African Development Bank Group, Malabo.
  • Pfaff, B. (2008), "VAR, SVAR and SVEC Models: Implementation Within R Package Vars", Journal of Statistical Software, 27(4), <https://doi.org/10.18637/jss.v027.i04>.
  • Sims, C. (1986), “Are Forecasting Models Usable for Policy Analysis?”, Federal Reserve Bank of Minneapolis Quarterly Review, Winter, 2-16.
  • Svensson, L. E. O. (1997), "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets", European Economic Review, 41, 1111–1146.
  • Svensson, L. E. O. (1998), "Open-Economy Inflation Targeting", NBER Working Paper Series, 6545, National Bureau of Economic Research, Cambridge.
  • Taylor, J. B. (2007), "Housing and Monetary Policy", NBER Working Paper Series, 13682, National Bureau of Economic Research, Cambridge.
  • TCMB. (2018), < http://www.tcmb.gov.tr>, 13.10.2018.
  • TÜİK. (2018), < http://www.tuik.gov.tr>, 13.10.2018.
  • Yang, Z. vd. (2017), "Monetary Policy, House Prices, and Consumption in China: A National and Regional Study", International Real Estate Review, 20(1), 23–49.
  • Yıldırım, D. Ç., & Erdoğan, S. (2014), "Parasal Aktarım Mekanizması Konut Fiyatları Kanalı Üzerine Ampirik Bir Analiz", Sosyal Bilimler Araştırma Dergisi, 23, 19–32.

Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü

Year 2020, Volume: 28 Issue: 45, 63 - 86, 30.07.2020

Musa Bayır

https://doi.org/10.17233/sosyoekonomi.2020.03.05
Cited By: 2

Abstract

Konut piyasalarının 2008 finansal krizine giden süreçte önemli bir rolü bulunmaktadır. Konut piyasalarındaki olumsuzluklar ise para politikasındaki daralmayla başlamıştır. Bu gelişmeler para politikası, konut piyasaları ve reel sektör arasındaki ilişkinin önemini ortaya çıkarmıştır. Ayrıca, konut fiyatlarının parasal aktarımdaki rolü sorgulanmaya başlamıştır. Bu bağlamda, makale konut fiyatlarının Türkiye ekonomisinde parasal aktarım mekanizmasındaki rolünü ampirik olarak incelemeyi amaçlamaktadır. Çalışmanın analiz yöntemi Yapısal VAR’dır. Analiz dönemi 2011:1-2019:4 şeklindedir. Analiz sonuçlarına göre, para politikası konut fiyatlarını etkilemektedir. Ancak, konut fiyatlarının tüketim ve konut yatırımları üzerinde bir etkisi yoktur. Bu iki durum birlikte değerlendirildiğinde, konut fiyatlarının parasal aktarım mekanizmasında rolü bulunmamaktadır. Diğer taraftan, analizler Türkiye Cumhuriyet Merkez Bankası’nın konut fiyatlarını yakından takip ettiğini göstermektedir. Bu çerçevede, uygun politika tepkisini hızla vermektedir.

Keywords

Konut Fiyatları Parasal Aktarım Mekanizması Yapısal VAR

References

  • Albagli, E. vd. (2018), "Channels of US Monetary Policy Spillovers into International Bond Markets", BIS Working Papers, 719, Bank for International Settlements, Basel, <https://doi.org/10.2139/ssrn.2684921>.
  • Ando, A. & Modigliani, F. (1963), "The Life-Cycle Hypothesis of Saving: Aggregate Implications and Tests", American Economic Review, 53, 55-84.
  • Aoki, K. vd. (2004), "House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach", Journal of Financial Intermediation, 13(4), 414–435, <https://doi.org/10.1016/j.jfi.2004.06.003>.
  • Assenmacher-Wesche, K., & Gerlach, S. (2008), "Financial Structure and the Impact of Monetary Policy on Asset Prices; Financial Structure and the Impact of Monetary Policy on Asset Prices", Swiss National Bank Working Papers, 2008-16.
  • Atalay, K. vd. (2016), "House Prices, Wealth and Consumption: New Evidence from Australia and Canada", The Review of Income and Wealth, 62(1), 69–91, <https://doi.org/10.1111/roiw.12145>.
  • Barata, J. vd. (2014), "What Have Central Banks in EMEs Learned about the International Transmission of Monetary Policy in Recent Years?", BIS Working Papers, 78f, Bank for International Settlements, Basel.
  • Bernanke, B. S. (1986), “Alternative Explanations of the Money Income Correlation”, Carnegie-Rochester Conference Series on Public Policy, 49-100.
  • Bernanke, B. S., & Blinder, A. S. (1992), "The Federal Funds Rate and the Channels of Monetary Transmission", The American Economic Review, 82(4), 901–921.
  • Bhattarai, S. vd. (2014), "Effects of US Quantitative Easing on Emerging Market Economies", Working Paper, 255, Federal Reserve Bank of Dallas.
  • Bjørnland, H. C., & Jacobsen, D. H. (2010), "The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies", Journal of Financial Stability, 6(4), 218–229, <https://doi.org/10.1016/j.jfs.2010.02.001>.
  • Carstensen, K. vd. (2009), "Monetary Policy Transmission and House Prices: European Cross Country Evidence", FINESS Working Paper, D.7.4, European Commission.
  • Clarida, R. vd. (2001), "Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach", American Economic Review, 91(2), 248–252.
  • Elbourne, A. (2008), "The UK Housing Market and the Monetary Policy Transmission Mechanism: An SVAR Approach", Journal of Housing Economics, 17(1), 65–87, <https://doi.org/10.1016/j.jhe.2007.09.002>.
  • Erdoğan, S. vd. (2018), "An Analysis on the Housing Price Channel: The Case of BRICT", Journal of Economics Library, 5(4), 358–370.
  • Federal Reserve Bank of St. Louis (2018), < https://www.stlouisfed.org>, 13.10.2018.
  • Friedman, M. (1957), "A Theory of the Consumption Function", Princeton University Press, Princeton University, Princeton.
  • Giuliodori, M. (2005), "The Role of House Prices in the Monetary Transmission Mechanism across European Countries", Scottish Journal of Political Economy, 52(4), 519–543, <https://doi.org/10.1111/j.1467-9485.2005.00354.x>.
  • Goodhart, C., & Hofmann, B. (2008), "House Prices, Money, Credit and the Macroeconomy", Working Paper Series, 888, European Central Bank, Frankfurt.
  • Guler, M. H. (2012), "Housing Wealth Effects Mechanism and the Monetary Policy Transmission in Turkey", Yayımlanmamış Yükseklisans Tezi, University of North Carolina.
  • Hong Kong Monetary Authority (2006), "The Housing Market Channel of the Monetary Transmission Mechanism in Hong Kong", BIS Papers, 35, Bank for International Settlements, Basel.
  • Kara, H. (2012), "Küresel Kriz Sonrası Para Politikası", Çalışma Tebliği, 2012/17, Türkiye Cumhuriyet Merkez Bankası, Ankara.
  • Kennedy, N., & Andersen, P. (1994), "Household Saving and Real House Prices: An International Perspective", BIS Working Paper, 20, Bank for International Settlements, Basel.
  • Kim, S., & Roubini, N. (2000), "Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach", Journal of Monetary Economics, 45(3), 561–586, <https://doi.org/10.1016/S0304-3932(00)00010-6>.
  • Kiss, G., & Vadas, G. (2005), "The Role of the Housing Market in Monetary Transmission", MNB Background Studies, Magyar Memzeti Bank, Budapeşte.
  • Lee, C.C. vd. (2013), "Interactions between House Prices, Stock Prices and Monetary Policy—Using Recursive VAR", American Journal of Industrial and Business Management, 3(8), 645–654, <https://doi.org/10.4236/ajibm.2013.38074>.
  • Ludvigson, S. vd. (2002), "Monetary Policy Transmission through the Consumption-Wealth Channel", FRBNY Economic Policy Review, Mayıs, 117–133, <http://ideas.repec.org/a/fip/fednep/y2002imayp117-133nv.8no.1.html>.
  • Milcheva, S., & Sebastian, S. (2010), "Housing Channels of Monetary Policy Transmission in European Industrial and Transition Countries", 17th Annual European Real Estate Society Conference, Milano.
  • Mishkin, F. S. (2007), "Housing and the Monetary Transmission Mechanism", NBER Working Paper Series, 13518, National Bureau of Economic Research, Cambridge. <https://doi.org/10.3386/w13518>.
  • Modigliani, F. & Ando, A. (1960), "The Permanent Income and the Life Cycle Hypothesis of Saving Behavior: Comparisons and Test", Proceedings of the Conference on Consumption and Saving, University of Pennsylvania, Philadelphia.
  • Musso, A. vd. (2011), "Housing, Consumption and Monetary Policy: How Different are the US and the Euro Area?", Journal of Banking and Finance, 35(11), 3019–3041, <https://doi.org/10.1016/j.jbankfin.2011.04.004>.
  • Ncube, M., & Ndou, E. (2011), "Monetary Policy Transmission, House Prices and Consumer Spending in South Africa: an SVAR Approach", Working Paper Series, 133, African Development Bank Group, Malabo.
  • Pfaff, B. (2008), "VAR, SVAR and SVEC Models: Implementation Within R Package Vars", Journal of Statistical Software, 27(4), <https://doi.org/10.18637/jss.v027.i04>.
  • Sims, C. (1986), “Are Forecasting Models Usable for Policy Analysis?”, Federal Reserve Bank of Minneapolis Quarterly Review, Winter, 2-16.
  • Svensson, L. E. O. (1997), "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets", European Economic Review, 41, 1111–1146.
  • Svensson, L. E. O. (1998), "Open-Economy Inflation Targeting", NBER Working Paper Series, 6545, National Bureau of Economic Research, Cambridge.
  • Taylor, J. B. (2007), "Housing and Monetary Policy", NBER Working Paper Series, 13682, National Bureau of Economic Research, Cambridge.
  • TCMB. (2018), < http://www.tcmb.gov.tr>, 13.10.2018.
  • TÜİK. (2018), < http://www.tuik.gov.tr>, 13.10.2018.
  • Yang, Z. vd. (2017), "Monetary Policy, House Prices, and Consumption in China: A National and Regional Study", International Real Estate Review, 20(1), 23–49.
  • Yıldırım, D. Ç., & Erdoğan, S. (2014), "Parasal Aktarım Mekanizması Konut Fiyatları Kanalı Üzerine Ampirik Bir Analiz", Sosyal Bilimler Araştırma Dergisi, 23, 19–32.
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Musa Bayır 0000-0002-6877-4032

Publication Date July 30, 2020
Submission Date May 3, 2019
Published in Issue Year 2020 Volume: 28 Issue: 45

Cite

APA Bayır, M. (2020). Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü. Sosyoekonomi, 28(45), 63-86. https://doi.org/10.17233/sosyoekonomi.2020.03.05
AMA Bayır M. Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü. Sosyoekonomi. July 2020;28(45):63-86. doi:10.17233/sosyoekonomi.2020.03.05
Chicago Bayır, Musa. “Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü”. Sosyoekonomi 28, no. 45 (July 2020): 63-86. https://doi.org/10.17233/sosyoekonomi.2020.03.05.
EndNote Bayır M (July 1, 2020) Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü. Sosyoekonomi 28 45 63–86.
IEEE M. Bayır, “Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü”, Sosyoekonomi, vol. 28, no. 45, pp. 63–86, 2020, doi: 10.17233/sosyoekonomi.2020.03.05.
ISNAD Bayır, Musa. “Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü”. Sosyoekonomi 28/45 (July 2020), 63-86. https://doi.org/10.17233/sosyoekonomi.2020.03.05.
JAMA Bayır M. Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü. Sosyoekonomi. 2020;28:63–86.
MLA Bayır, Musa. “Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü”. Sosyoekonomi, vol. 28, no. 45, 2020, pp. 63-86, doi:10.17233/sosyoekonomi.2020.03.05.
Vancouver Bayır M. Konut Fiyatlarının Parasal Aktarım Mekanizmasındaki Rolü. Sosyoekonomi. 2020;28(45):63-86.

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