Investigation of The Effect of Cds Premiums On Housing Prices in Turkey

Aybala Demir and Kerem Yavuz Arslanli

ERES from European Real Estate Society (ERES)

Abstract: The literature has shown that financial institutions and banks in countries give fewer loans due to the increases of financing costs with the increases in CDS premiums. As a result of this, a noticeable decrease in housing prices occurs. (Benbouzid, Mallick, & Pilbeam, 2018). In this context, this paper will examine which factors affect Turkey's CDS premium and how Turkey's CDS Premium affects housing prices. This article also covers the statistical relationship between global and local variables. In the studies carried out to determine the variables affecting Turkey's CDS premium, the volatility in CDS premium is more affected by global variables than local variables. However, it is thought that the higher volatility in premiums stems from political and economic problems. A VAR model will be established using a data sample from November 2010 to January 2022. Local variables are the housing price index, CDS premiums, growth rate, real effective exchange rate, stock and bond returns, interest rates, risk appetite, external debt balance, banking sector performance will be examined. Global variables, which are VIX, S&P 500, US bond market, global risk appetite, NASDAQ variables, will be examined.

Keywords: CDS premiums; House Prices; Turkey; VAR model (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2022-01-01
New Economics Papers: this item is included in nep-ara and nep-ure
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