AN ECONOMETRIC ANALYSIS ABOUT THE RELATIONSHIPS BETWEEN HOUSING PRICES, GROWTH AND MACROECONOMIC VARIBLES IN TURKEY

Yıl 2020, Cilt: 18 Sayı: 1, 176 - 200, 01.03.2020

Şerif Canbay Derya Mercan

https://doi.org/10.11611/yead.674472

Cited By: 9

Öz

This study provides implications for policy makers to formulate measures to transfer monetary policy changes to the economy through the housing prices channel in order to develop a stability more stable housing market and support economic development. For this purpose Vector Error Correction Model (VAR/VECM) is applied to test the process of housing prices channel for Turkey in the 2010Q1-2019Q2 period. The findings of Granger causality analysis imply that there are causality relationships in the short and long term from interest rates to credit volume and from credit volume to housing prices and consumer price index. There is also a causal relationship in the short and long term from growth to housing prices. However, a causality relationship has been determined in the short run from interest rates to growth. According to the results of the impulse-response analysis of the study, while a positive shock in interest rates and growth decreases housing prices, a positive shock in credit volume increases housing prices. On the other hand, house prices shocks increase growth and credit volume, and have a decreasing effect on interest rates and consumer price index.

Anahtar Kelimeler

Housing Prices Channel, Monetary Policy, Maki Cointegration Test, Vector Error Correction Model (VAR/VECM), Granger Causality Test

TÜRKİYE’DE KONUT FİYATLARI, BÜYÜME VE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİNİN EKONOMETRİK ANALİZİ

Öz

This study provides implications for policy makers to formulate measures to transfer monetary policy changes to the economy through the housing prices channel in order to develop a healthier and more stable housing market and support economic development. For this purpose Vector Error Correction Model (VAR/VECM) is applied to test the process of housing prices channel for Turkey in the 2010Q1-2019Q2 period. The findings of Granger causality analysis imply that there are causality relationships in the short and long term from interest rates to credit volume and from credit volume to housing prices and consumer price index. There is also a causal relationship in the short and long term from growth to housing prices. However, a causality relationship has been determined in the short run from interest rates to growth. According to the results of the impulse-response analysis of the study, while a positive shock in interest rates and growth decreases housing prices, a positive shock in credit volume increases housing prices. On the other hand, house prices shocks increase growth and credit volume, and have a decreasing effect on interest rates and consumer price index.

Anahtar Kelimeler

Konut Fiyatları Kanalı, Para Poitikası, Vektör Hata Düzeltme Modeli (VAR/VECM), Granger Nedensellik Testi

Kaynakça

• Assenmacher-Wesche, K. ve Gerlach, S. (2008) “Monetary Policy, Asset Prices and Macroeconomic Conditions: A Panel-VAR Study”, National Bank of Belgium Working Paper Research, 149: 1-37.
• Beltratti, A., ve Morana, C. (2010) “International House Prices and Macroeconomic Fluctuations”, Journal of Banking & Finance, 34(3): 533-545.
• Bjørnland, H. C. ve Jacobsen, D. H. (2008) “The Role of House Prices in the Monetary Policy Transmission Mechanism in the US”, Norges Bank, Working Paper No 2008/24
• Bjørnland, H. C. ve Jacobsen, D. H. (2013) “House Prices and Stock Prices: Different Roles in the US Monetary Transmission Mechanism”, The Scandinavian Journal of Economics, 115(4): 1084-1106.
• Cerutti, E., Dagher, J., ve Dell'Ariccia, G. (2017) “Housing Finance and Real-Estate Booms: A Cross-Country Perspective”, Journal of Housing Economics, 38: 1-13.
• Chang, T., Simo-Kengne, B. D., ve Gupta, R. (2014) “The Causal Relationship between House Prices and Growth in the Nine Provinces of South Africa: Evidence from Panel Granger Causality Tests”, Department of Economics, University of Pretoria, Working Paper Series 2013-17.
• Ciarlone, A. (2011) “Housing Wealth Effect in Emerging Economies”, Emerging Markets Review, 12(4): 399-417.
• Cooper, D. (2013). “House Price Fluctuations: The Role of Housing Wealth as Borrowing Collateral”, Review of Economics and Statistics, 95(4): 1183-1197.
• Giuliodori, M. (2004) “Monetary Policy Shocks and the Role of House Prices Across European Countries”, Netherlands Central Bank, Research Department, Working Paper No 15.
• Goodhart, C. ve Hofmann, B. (2008) “House Prices, Money, Credit, and the Macroeconomy”, Oxford Review of Economic Policy, 24(1): 180-205.
• Granger, C. (1969) “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica: Journal of the Econometric Society, 37(3): 424-438.
• HKMA (Hong Kong Monetary Authority) (2008) “The Housing Market Channel of the Monetary Transmission Mechanism in Hong Kong”, BIS Papers, 35: 221-234.
• Jarocinski, M. ve Smets, F. (2008) “House Prices and the Stance of Monetary Policy”, ECB Working Paper 891.
• Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3): 231-254.
• Jordà, Ò., Schularick, M., ve Taylor, A. M. (2015) “Betting the house”, Journal of International Economics, 96: 2-18.
• Lee, J. ve Strazicich M.C. (2003) “Minimum LM Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4): 1082-1089.
• Milcheva, S. ve Sebastian, S. (2010) “Housing Channels of Monetary Policy Transmission in European Industrial and Transition Countries”, European Real Estate Society, 159: 1-67.
• Mishkin, F. S. (2001) “The Transmission Mechanism and the Role of Asset Prices in Monetary Policy”, NBER Working Paper 8617, Cambridge, National Bureau of Economic Research.
• Simo-Kengne, B. D., Gupta, R., ve Bittencourt, M. (2013) “The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs”, Housing Studies, 28(8): 1133-1154.
• Özer, M., ve Kırca, M. (2014) “Turizm Gelirleri, İhracat ve İktisadi Büyüme Arasındaki İlişkilerin Zaman Serisi Analizi”, 3. Disiplinlerarası Turizm Araştırmaları Kongresi, 684-707, Aydın.
• Özgen, F. B. ve Güloğlu, B. (2004) “Türkiye'de İç Borçların İktisadi Etkilerinin VAR Tekniğiyle Analizi”, METU Studies in Development, 31(1): 93-114.
• Peltonen, T. A., Sousa, R. M., ve Vansteenkiste, I. S. (2012) “Wealth Effects in Emerging Market Economies”, International Review of Economics & Finance, 24: 155-166.
• Phillips, P. C., ve Perron, P. (1988) “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2): 335-346.
• Sims, C. A. (1980) “Macroeconomics and Reality”, Econometrica: Journal of the Econometric Society, 48(1): 1-48.
• Tillmann, P. (2013) “Capital Inflows and Asset Prices: Evidence from Emerging Asia”, Journal of Banking & Finance, 37(3): 717-729.
• Williams, J. (2015) “Measuring Monetary Policy’s Effect on House Prices”, FRBSF Economic Letter, No: 28.
• Wolters, J. (2007) “Introduction to Modern Time Series Analysis”, Springer-Verlag Berlin Heidelberg.
• Zammit, V. (2010) “Asymmetries in the Monetary Transmission Mechanism in the Euro Area: The Case of the Housing Market”, Bank of Valletta Review, 42: 76-107.