Time-Varying Role of House Prices on Monetary Policy in Türkiye

Year 2024, Volume: 32 Issue: 61, 21 - 36, 30.07.2024

Savaş Gayaker , Ahmet Güney

https://doi.org/10.17233/sosyoekonomi.2024.03.02

Abstract

The main focus of this study is examining the time-varying effects of house prices on monetary policy in Türkiye from February 2010 to November 2021. We analyse these effects using a time-varying parameter vector autoregressive model with stochastic volatility (TVP VAR-SV). The evidence indicates that responses of inflation to positive house price shocks decrease over time. The response of credit and interest rates to positive house price shocks increases after 2018. The results reveal that the responses of the Central Bank of the Republic of Türkiye (CBRT) to the changes in the housing market have changed over time.

Keywords

House Price, TVP VAR-SV, Monetary Policy

Türkiye’de Konut Fiyatlarının Para Politikası Üzerindeki Zamanla Değişen Rolü

Abstract

Bu çalışmanın amacı, Şubat 2010’dan Kasım 2021’e kadar Türkiye'de konut fiyatlarının para politikası üzerindeki zamanla değişen etkilerini incelemektir. Bu etkiler stokastik oynaklığa sahip zamanla değişen parametreli vektör otoregresif model (TVP VAR-SV) kullanılarak analiz edilmiştir. Elde edilen sonuçlar, enflasyonun pozitif konut fiyatı şoklarına verdiği tepkilerin zaman içinde azaldığını göstermektedir. Kredi ve faiz oranının pozitif konut fiyatı şoklarına tepkisi 2018’den sonra artmaktadır. Sonuçlar, Türkiye Cumhuriyet Merkez Bankasının (TCMB) konut piyasasındaki değişimlere verdiği tepkilerin zaman içinde değiştiğini ortaya koymaktadır.

Keywords

Konut Fiyatı, TVP VAR-SV, Para Politikası

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