THE EFFECT OF SELECTED MACROECONOMIC VARIABLES ON THE HOUSING PRICE INDEX IN TURKEY

Yıl 2023, , 802 - 813, 09.10.2023

Tülay Yazar Öztürk , Melike Akça

https://doi.org/10.29106/fesa.1363822

Öz

This study investigates how the house price is affected by macroeconomic variables such as interest rate, exchange rate, money supply and inflation rate. Housing supply and housing demand determines house price. On the one hand, housing supply dimensions covers contruction cost, existing land, housing stock. On the other hand, housing demand dimension involves interest rate, consumer price index as the indicator of inflation, income, population growth and employment rate. In order to measure the effects of macroeconomic variables more accurately, the housing price index variable determined by the Central Bank was used. Depending upon monthly data for the period 2010-2023 in Turkey, VAR models are used. In this way it is intended to find the direction and degree of the effect of selected macroeconomic variables on the house price index by performing impulse response function and variance decomposition analysis. According to this analysis findings, interest rate and exchange rate had a significant effect on the house price index. In line with the results obtained after the variance decomposition analysis, it was determined that the interest rate had a 19% effect and the exchange rate had a 14% effect on the house price index at the end of the 10th period.

Anahtar Kelimeler

House Price Index, Consumer Price Index, M1 Money Supply, Real Interest Rate, Real Exchange Rate

SEÇİLMİŞ MAKROEKONOMİK DEĞİŞKENLERİN TÜRKİYE’DEKİ KONUT FİYAT ENDEKSİ ÜZERİNDEKİ ETKİSİ

Öz

Bu çalışmada konut fiyatının faiz oranı, döviz kuru, para arzı ve enflasyon oranı gibi makroekonomik değişkenlerden nasıl etkilendiği araştırılmaktadır. Konut arzı ve konut talebi konut fiyatını belirleyen faktörlerdir. Bir yanda konut arzının boyutları; inşaat maliyetini, yatırıma hazır haldeki arsayı ve konut stokunu kapsamaktadır. Diğer yanda ise konut talebi boyutu; faiz oranı, enflasyonun göstergesi olan tüketici fiyat endeksini, geliri, nüfus artışını ve istihdam oranını içermektedir. Makroekonomik değişkenlerin etkilerinin daha doğru ölçülebilmesi amacıyla Merkez Bankası tarafından belirlenen konut fiyat endeksi değişkeni kullanılmıştır. Türkiye'de 2010-2023 dönemine ait aylık verilere dayalı olarak VAR modelleri kullanılmaktadır. Bu şekilde etki tepki fonksiyonu ve varyans ayrıştırma analizi yapılarak seçilen makroekonomik değişkenlerin konut fiyat endeksi üzerindeki etkisinin yönü ve derecesinin bulunması amaçlanmaktadır. Bu analiz bulgularına göre faiz oranı ve döviz kurunun konut fiyat endeksi üzerinde anlamlı etkisi olmuştur. Varyans ayrıştırma analizi sonrasında elde edilen sonuçlar doğrultusunda 10. dönem sonunda konut fiyat endeksi üzerinde faiz oranının %19, döviz kurunun ise %14 etkisinin olduğu tespit edilmiştir.

Anahtar Kelimeler

Konut Fiyat Endeksi, Tüketici Fiyat endeksi, M1 Para Arzı, Reel Faiz Oranı, Reel Döviz Kuru

Kaynakça

• Aktaş, C. (2010). Türkiye'de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki İlişkinin VAR Tekniğiyle Analizi. Z.K.Ü. Sosyal Bilimler Dergisi, 6(11), 123-140.
• Apergis, N. (2003). Housing Prices and Macroeconomics Factors: Prospects within the European Monetary Union. nternational Real Estate Review, 6(1), 63-74.
• Balcilar, M., Gupta, R., & Miller, S. M. (2014). Housing and the great depression. Applied Economics, 46(24), 2966-2981.
• Bahmani-Oskooee, M., & Wu, T. P. (2018). Housing prices and real effective exchange rates in 18 OECD countries: a bootstrap multivariate panel Granger causality. Economic Analysis and Policy, 60, 119-126.
• Bjørnland, H. C., & Henning, J. D. (2010). The role of house prices in the monetary policy transmission mechanism. Journal of Financial Stability, 6(4), 218-229.
• Bucchianeri, G. W. (2008). The Anatomy of a Housing Bubble: Overconfidence, Media and Politics. SSRN Electronic Journal.
• CBRT. (tarih yok). CBRT. https://www.tcmb.gov.tr adresinden alındı
• Chang, T., Balcilar, M., Gupta, R., Miller, S. M., & Li, X. L. (2015). The co-movement and causality between the US housing and stock markets in the time and frequency domains. Int Rev Econ Finance, 38, 220-223.
• Coşkun, Y. (2015). Housing development agency (TOKI) model and its financial sustainability [TOKİ Modeli ve Finansal Sisteminin Sürdürülebilirliği]. Muhasebe Bilim Dünyası Dergisi, 17(3), 617-638.
• 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.
• Dougherty, A., & Order, R. V. (1982). Inflation, Housing Costs, and the Consumer Price Index. The American Economic Review, 72(1), 154-164.
• Engsted, T., & Pedersen, T. Q. (2014). Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Journal of Macroeconomics, 42, 91-103.
• Erol, I., & Tirtiroğlu, D. (2014). The inflation-hedging properties of Turkish REITs. Applied Economics(42), 91-103. European Commission. (2012). Alert Mechanism Report 2013. Brussels: European Commission.
• Feng, P. (2022). The Correlation between Monetary Policy and Housing Price Change Based on a VAR Model. Mathematical Problems in Engineering, 04, 1-8.
• Glindro, E. T., Subhanij, T., Szeto, J., & Zhu, H. (2021). Determinants of House Prices in Nine Asia Pacific Economies. International Journal of Central Banking, 7(3), 163-204.
• Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180-205.
• Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 11-120.
• Gujarati, D. N., & Porter, D. C. (1999). Basic Econometrics. New York: The McGraw-Hill Series Economics.
• Gupta, R., Jurgilas, M., & Kabundi, A. (2010). The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach. Economic Modelling, 27(1), 315-323.
• Hofmann, B. (2004). Bank Lending and Property Prices: Some International Evidence. Working Papers from Hong Kong Institute for Monetary Research.
• Kearl, J. R. (1979). Inflation, Mortgage, and Housing. Journal of Political Economy, 87(5), 1115-1138.
• Kishor, N. K., & Marfatia, H. A. (2017). The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries. The Journal of Real Estate Finance and Economics(54), 237-268.
• Korkmaz, Ö. (2020). The relationship between housing prices and inflation rate in Turkey: Evidence from panel Konya causality test. International Journal of Housing Markets and Analysis, 13(3), 427-452.
• Mishkin, S. F. (1992). The economics of money banking and financial markets. New York: Harper Collins Publisher.
• Plakandras, V., Gupta, R., Katrakilidis, C., & Wohar, M. E. (2020). Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data. 2249-2285.
• Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1-48. Tarı, R., & Bozkurt, H. (2006). Türkiye'de İstikrarsız Büyümenin Var Modelleri İle Analizi. Ekonometri ve İstatistik(4), 12-28.
• Trimbath, S., & Montoya, J. (2002). A New Kind of Gold? Investment in Housing in Times of Economic Uncertainty. Milken Institute Working Paper No.30.
• Tsatsaronis, K., & Zhu, H. (2004). What Drives Housing Price. BIS Quarterly Review (March), 65-78.
• Vansteenkiste, I., & Hiebert, P. (2011). Do house price developments spillover across euro area countries? Evidence from a global VAR. Journal of Housing Economics, 20(4), 299-314.
• Yıldırım, M. O., & Ivrendi, M. (2018). House prices and the macroeconomic environment in Turkey: The examination of a dynamic relationship. Economic Annals-XXI, 62(215), 81-110.
• Yilmaz, B., & Selçuk-Kestel, A. S. (2019). Computation of hedging coefficients for mortgage default and prepayment options: Malliavin calculus approach. The Journal of Real Estate Finance and Economics, 59(4), 673-697.