Causal relationship between macroeconomic indicators and housing prices: Evidence from Turkey

Ali Hepsen

ERES from European Real Estate Society (ERES)

Abstract: The housing market is an essential part of a nation's economy and represents the most important component of the wealth accumulation. There is also a relatively recent, growing recognition about importance of the interactive nexus between house prices and macroeconomic variables. This casual relationship is apparently stronger in developed countries having strong real estate-finance linkages. But it would be also important to underline that globalization of the financial and real estate markets may also result similar outcomes in emerging countries. By utilizing Vector Error Correction Model (VECM) and Granger Causality Tests for the period (2007:6) to (2011:12), the primary purpose of this paper is to examine dynamic causal relationships between house prices and a wide range of macro-economic indicators (including rent values, volume of mortgage loans, consumer price index, monetary aggregate, Istanbul Stock Exchange REIT index, exchange rates, unemployment rate, construction cost index, consumer confidence index, construction permits, mortgage loan interest rate, gross domestic product, current account deficit and CDS spreads). In this context, the paper also empirically analyzes the negative impacts of global financial crisis into Turkish housing markets. To our knowledge, this paper is the first attempt to use actual country-wide house price index in an analysis related to Turkish housing markets.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2012-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2012-085 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2012_085

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().