Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi

Yıl 2015, Sayı: 601, 39 - 57, 01.03.2015

Sinem Güler Kangalli Uyar , Nihal Yayla

Öz

Çalışmada Türkiye’deki 26 bölge düzeyi için bölgesel konut fiyatlarında “dalgalanma etkisi” hipotezinin geçerliliği Merkez Bankası Veri Dağıtım Sistemi’nden elde edilen aylık (2010Ocak1-2014Ocak1), üçer aylık (2010Q1-2014Q1) ve yıllık frekanstaki konut fiyat endeksi veri setleri için incelenmektedir. İlk kez, İngiliz konut ekspertizleri tarafından İngiltere’nin güney doğusunda meydana gelen şokların zamanla İngiltere’nin kuzey batısındaki konut fiyatlarını etkilemesi olarak gözlemlenen bu etkinin varlığı Türkiye’de aylık konut fiyat endeksi veri seti için panel SURADF birim kök sınaması; üçer aylık veri seti için panel CADF birim kök sınaması ve yıllık veri seti için birinci nesil panel birim kök testleri ile incelenmiş ve durağan olan serilerin ortalamaya dönüş süreleri yarı-ömür analizi ile hesaplanmıştır. Durağanlık analizi sonuçlarına göre, aylık veri seti için TR21,TR71,TR72 ve TRC3 bölgelerinde ve üçer aylık veri seti için sadece TR71 bölgesinde dalgalanma etkisi hipotezinin geçerli olduğu; ancak, yıllık veri seti için hiçbir bölge düzeyinde dalgalanma etkisi hipotezinin geçerli olmadığı sonucuna ulaşılmıştır

Anahtar Kelimeler

Dalgalanma Etkisi Hipotezi, Bölgesel Konut Fiyatları, Yakınsama, İkinci Nesil Panel Birim Kök Testleri

The Analysis of Turkish House Price Dynamics in the Framework of Ripple Effect

Öz

The study focuses on the validity of “Ripple Effect” hypothesis on regional housing prices in 26 regions in Turkey, using monthly (2010Jan-2014Jan), quarterly (2010Q1-2014Q1) and annual House Price Index data obtained from Central Bank Data Distribution System. First, it was British housing experts who have observed the existence of this effect described as shocks occurred in South East England affecting housing prices in North West of England over time. Panel SURADF Unit Root Test for monthly data; Panel CADF Unit Root Test for quarterly data and First Generation Panel Unit Root Test for annual data are used to analyze the validity of this effect in Turkey. Also, mean reversion is calculated by half-life analysis. According to the results of stationarity analysis, Ripple Effect Hypothesis is valid for monthly data in TR21, TR71, TR72 and TRC3 region levels and for quarterly data in only TR71 region level, but any regional level Ripple Effect occurs for annual data

Anahtar Kelimeler

Ripple Effect Hypothesis, Regional Housing Prices, Convergence, Second Generation Panel Unit Root Tests

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