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House Prices And The Macroeconomic Environment In Turkey: The Examination Of A Dynamic Relationship

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  • Mustafa Ozan Yıldırım
  • Mehmet İvrendi

Abstract

The aim of this paper is to examine the dynamic relationship between house prices, income, interest rates, housing permits, and share prices in Turkey, using Structural Vector Autoregressive (SVAR) models. This paper uses both monthly and quarterly data for the Turkish economy and applies four different SVAR models to reveal this dynamic relationship over the 2003–2016 period. The results show statistically significant and substantial relationships between the variables. The analysis also shows that house prices and housing permits as housing market variables are very sensitive to monetary policy and income shocks. The key finding of the study for policymakers is that a change in mortgage rates is the factor that most changes house prices. The study also shows that the housing market plays an important role in transferring monetary policy to the real economy in Turkey

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  • Mustafa Ozan Yıldırım & Mehmet İvrendi, 2017. "House Prices And The Macroeconomic Environment In Turkey: The Examination Of A Dynamic Relationship," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 62(215), pages 81-110, October –.
    • Handle: RePEc:beo:journl:v:62:y:2017:i:215:p:81-110
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    Cited by:

    1. Mustafa Ozan Yıldırım & Mehmet İvrendi, 2021. "Turkish Housing Market Dynamics: An Estimated DSGE Model," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(2), pages 238-267, May.
    2. Mustafa Ozan Yıldırım & Özge Filiz Yağcıbaşı, 2019. "The Dynamics Of House Prices And Fiscal Policy Shocks In Turkey," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(220), pages 39-60, January –.
    3. S. Belgin Akçay & Mert Akyüz, 2024. "Why Did House Prices Go Up During COVID-19 Pandemic? Policy-Driven or Market-Driven?," International Real Estate Review, Global Social Science Institute, vol. 27(2), pages 303-328.

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    More about this item

    Keywords

    House Prices; Macroeconomic Shocks; Turkish Housing Market; Structural VAR;
    All these keywords.

    JEL classification:

    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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