INVESTIGATION OFRELATIONSHIPBETWEEN HOUSE PRICES AND MACROECONOMIC VARIABLES IN TURKEY

‹lkay Oner Bodurlar ()
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‹lkay Oner Bodurlar: Anadolu University

Anadolu University Journal of Social Sciences, 2008, vol. 8, issue 1, 223-238

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.

Keywords: House prices; Macroeconomic variables; Causality relation; VECM (search for similar items in EconPapers)
JEL-codes: C49 E30 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:and:journl:v:8:y:2008:i:1:p:223-238

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