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

Yıl 2024, Cilt: 32 Sayı: 61, 21 - 36, 30.07.2024

Savaş Gayaker Ahmet Güney

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

Öz

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.

Anahtar Kelimeler

House Price, TVP VAR-SV, Monetary Policy

Türkiye’de Konut Fiyatlarının Para Politikası Üzerindeki Zamanla Değişen Rolü

Öz

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.

Anahtar Kelimeler

Konut Fiyatı, TVP VAR-SV, Para Politikası

Kaynakça

• Albuquerque, B. et al. (2020), “Monetary policy and US housing expansions: The case of time-varying supply elasticities”, Economics Letters, 195, 1-7.
• Bayir, M. (2020), “The Role of House Prices in the Monetary Transmission Mechanism”, Sosyoekonomi, 28(45), 63-86.
• Bernanke, B.S. (2009), “Four questions about the financial crisis”, Board of Governors of the Federal Reserve System Speech, Georgia: Morehouse College, Atlanta, 14 April 2009, <https://www.federalreserve.gov/newsevents/speech/bernanke20090414a.htm>, 25.05.2023.
• Bjørnland H.C. & J.D. Henning (2010), “The role of house prices in the monetary policy transmission mechanism in small open economies”, Journal of Financial Stability, 6(4), 218-229.
• Bjørnland, H.C. & D.H. Jacobsen (2013), “House Prices and Stock Prices: Different Roles in the US Monetary Transmission Mechanism”, The Scandinavian Journal of Economics, 115(4), 1084-1106.
• Brito, P. et al. (2016), “House prices and monetary policy”, Studies in Nonlinear Dynamics & Econometrics, 20(3), 251-277.
• Cai, W. & S. Wang (2018), “The time-varying effects of monetary policy on house prices in China: An application of TVP-VAR model with stochastic volatility”, International Journal of Business and Management, 13(4), 149-157.
• Chen, S-S. & T-Y. Lin (2022), “Revisiting the link between house prices and monetary policy”, The B.E. Journal of Macroeconomics, 22(2), 481-515.
• De Jong, P. & N. Shephard (1995), “The simulation smoother for time series models”, Biometrika, 82(2), 339-350.
• Dias, D.A. & J.B. Duarte (2019), “Monetary policy, housing rents, and inflation dynamics”, Journal of Applied Econometrics, 34(5), 673-987.
• Durbin, J. & S.J. Koopman (2002), “A simple and efficient simulation smoother for state space time series analysis”, Biometrika, 89(3), 603-615.
• Elbourne, A. (2008), “The UK housing market and the monetary policy transmission mechanism: An SVAR approach”, Journal of Housing Economics, 17(1), 65-87.
• Elliott, G. & A. Timmerman (2013), Handbook of Economic Forecasting Vol 2, Elsevier, Oxford.
• Estrella, A. (2005), “Why Does the Yield Curve Predict Output and Inflation?”, The Economic Journal, 115(505), 722-744.
• Giuliodori, M. (2002), “Monetary policy shocks and the role of house prices across European countries”, Working Papers 164, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Iacoviello, M. (2002). “House prices and business cycles in Europe: a VAR analysis”, Boston College Working Papers in Economics.
• Jarociński, M. & F. Smets (2008), “House prices and the stance of monetary policy”, European Central Bank Working Paper Series, No. 891.
• Jordà, Ò. Et al. (2020), “The effects of quasi-random monetary experiments”, Journal of Monetary Economics, 112(C), 22-40.
• Kara, H. (2012), “Monetary policy in Turkey after the global crisis”, Central Bank of Republic of Turkey Working Paper, No:12/17.
• Kutlu, Ş.Ş. (2021), “The role of house prices in monetary transmission mechanism: evidence from Turkish Economy”, Journal of Management and Economics, 28(3), 581-594.
• Mbazia, N. & M. Djelassi (2019), “Housing prices and money demand: empirical evidence in selected MENA countries”, Review of Middle East Economics and Finance, 15(1), 1-18.
• Mishkin, F.S. (2007), “Housing and the monetary transmission mechanism”, NBER Working Paper, No. w13518.
• Nakajima, J. (2011), “Time-Varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications”, Monetary and Economic Studies, 29, 107-142.
• Nakajima, J. et al. (2011), “Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy”, Journal of the Japanese and International Economies, 25(3), 225-245.
• Negro, M.D. & C. Otrok (2007), “99 Luftballons: monetary policy and the house price boom across U.S. States”, Journal of Monetary Economics, 54(7), 1962-1985.
• Nocera, A. & M. Roma (2018), “House prices and monetary policy in the Euro Area: Evidence from structural VARs”, Working Paper Series 2073, European Central Bank.
• Nocera, A. & M. Roma (2018), “House Prices and Monetary Policy in the Euro Area: Evidence from Structural VARs”, USC-INET Research Paper No. 18-13.
• Notarpietro, A. & S. Siviero (2015), “Optimal monetary policy rules and house prices: The role of financial frictions”, Journal of Money, Credit and Banking, 47(S1), 383-410.
• Plakandaras, V. et al. (2020), “Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data”, Empirical Economics, 58, 2249-2285.
• Robstad, Ø. (2018), “House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models”, Empirical Economics, 54(2), 461-483.
• Spiegelhalter, D.J. et al. (2002), “Bayesian measures of model complexity and fit”, Journal of the Royal Statistical Society Series B: Statistical Methodology, 64(4), 583-639.
• Tan, Z. & M. Chen (2013), “House prices as indicators of monetary policy: evidence from China”, Stanford University Working Paper, No.488.
• Tunc, C. & A. Gunes (2022), “Monetary policy and house prices in emerging markets”, International Journal of Housing Markets and Analysis, 16(5), 873-891.
• Tunc, C. (2020), “The effect of credit supply on house prices: evidence from Turkey”, Housing Policy Debate, 30(2), 228-242.
• Umar, M. et al. (2019), “Impact of monetary policy on house prices: case of Pakistan”, International Journal of Housing Markets and Analysis, 13(3), 503-512.
• Wadud, I.M. et al. (2012), “Monetary policy and the housing market in Australia”, Journal of Policy Modeling, 34(6), 849-863.
• World Bank Group (2014), “Turkey's transitions: integration, inclusion, institutions (Vol. 2)”, Main Report, Washington, D.C.
• Yıldırım, O. & M. İvrendi (2021), “Turkish housing market dynamics: an estimated DSGE model”, The Journal of Applied Economic Research, 15(2), 238-267.
• Zhang, X. & F. Pan (2021), “Asymmetric effects of monetary policy and output shocks on the real estate market in China”, Economic Modelling, 103, 405600.