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Investigation Ofrelationshipbetween House Prices And Macroeconomic Variables In Turkey

Author

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  • ‹lkay Oner Bodurlar

    (Anadolu University)

Abstract

This study analyses the dynamic effects of macroeconomic variables (i.e. gross domestic product (GDP), money supply, short-run interest rates and exchange rates) on the house prices in Turkey for the period 2000-2006. Estimates of the long run relationship between house prices and macroeconomic variables are obtained using the Johansen cointegration test. The results of cointegration analysis suggest that there exists a long run relationship between house prices and macroeconomic variables. Vector Error Correction Model (VECM) is used to investigate of the short-run dynamic relationship between house prices and macroeconomic variables. The results of VEC Granger Causality/Block Exogeneity Wald Test show that thereis bi-directional causality between house prices and interest rates and exchange rates. It is observed that one-directional causality exists from gross domestic product and money supply to house prices.

Suggested Citation

  • ‹lkay Oner Bodurlar, 2008. "Investigation Ofrelationshipbetween House Prices And Macroeconomic Variables In Turkey," Anadolu University Journal of Social Sciences, Anadolu University, vol. 8(1), pages 223-238, June.
    • Handle: RePEc:and:journl:v:8:y:2008:i:1:p:223-238
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    File URL: http://www.anadolu.edu.tr/arastirma/hakemli_dergiler/sosyal_bilimler/pdf/2008-1/2008_01_13.pdf
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    More about this item

    Keywords

    House prices; Macroeconomic variables; Causality relation; VECM;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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