Housing Market and Macroeconomic Fundamentals
Orhan Erdem (),
Hande Oruc and
Istanbul Stock Exchange Review, 2013, vol. 13, issue 51, 58-81
This paper uses vector error correction model (VECM) to identify the impacts of fundamental macroeconomic factors on the demand and supply sides of the Turkish housing market, between October 2007 and December 2011. Many researches argue that housing market and macroeconomic fundamentals such as interest rate, gross domestic product (GDP), housing prices and some others are cointegrated. In the light of the evidence on two cointegrating equations, error correction model is estimated to examine the effect of the variables on housing demand and supply in Turkey. While the dependent variable in demand side is mortgage credit volume, the dependent variable that is used to explain the supply side is construction permit. The study reveals that the macroeconomic variables have different impacts on the dynamic behavior of mortgage credit and construction permit. Additionally, the impulse response analysis which is based on structural VECM suggests that the housing market in Turkey is sensitive to the shocks in the economy. This paper also presents forecast error variance decompositions (FEVD) and indicates the important role of GDP per capita on mortgage credit in the long run.
Keywords: Housing supply; housing demand; cointegration; Turkey (search for similar items in EconPapers)
JEL-codes: C51 R31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:13:y:2013:i:51:p:58-81
Access Statistics for this article
More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().