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Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi

Yıl 2015, Sayı: 601, 39 - 57, 01.03.2015

Sinem Güler Kangalli Uyar Nihal Yayla

Öz

Çalışmada Türkiye’deki 26 bölge düzeyi için bölgesel konut fiyatlarında “dalgalanma etkisi” hipotezinin geçerliliği Merkez Bankası Veri Dağıtım Sistemi’nden elde edilen aylık (2010Ocak1-2014Ocak1), üçer aylık (2010Q1-2014Q1) ve yıllık frekanstaki konut fiyat endeksi veri setleri için incelenmektedir. İlk kez, İngiliz konut ekspertizleri tarafından İngiltere’nin güney doğusunda meydana gelen şokların zamanla İngiltere’nin kuzey batısındaki konut fiyatlarını etkilemesi olarak gözlemlenen bu etkinin varlığı Türkiye’de aylık konut fiyat endeksi veri seti için panel SURADF birim kök sınaması; üçer aylık veri seti için panel CADF birim kök sınaması ve yıllık veri seti için birinci nesil panel birim kök testleri ile incelenmiş ve durağan olan serilerin ortalamaya dönüş süreleri yarı-ömür analizi ile hesaplanmıştır. Durağanlık analizi sonuçlarına göre, aylık veri seti için TR21,TR71,TR72 ve TRC3 bölgelerinde ve üçer aylık veri seti için sadece TR71 bölgesinde dalgalanma etkisi hipotezinin geçerli olduğu; ancak, yıllık veri seti için hiçbir bölge düzeyinde dalgalanma etkisi hipotezinin geçerli olmadığı sonucuna ulaşılmıştır

Anahtar Kelimeler

Dalgalanma Etkisi Hipotezi Bölgesel Konut Fiyatları Yakınsama İkinci Nesil Panel Birim Kök Testleri

Kaynakça

  • ALEXANDER, Carol and Michael BARROW; (1994), “Season- ality and Cointegration of Regional House Prices in The UK,” Urban Studies, 31, pp.1667–1689.
  • ASHWORTH, John and Simon C. PARKER; (1997), “Modelling
  • Regional House Prices in The UK,” Scottish Journal of Political Economy, 44, pp.225–246. BALCILAR, Mehmet, Abebe BEYENE, Rangan GUPTA, Mo- naheng SELETENG; (2013), “‘Ripple’ Effects in South African
  • House Prices”, Urban Studies, 50(5), pp.876–894. BREITUNG, Jörg and Samarjit DAS; (2005), “Panel Unit Root
  • Tests Under Cross Sectional Dependence”, Statistica Neerlve- ica, 59(4), pp.414-433. BREUER, Janice Boucher, Robert MCNOWN and Myles S. WALLACE; (2001), “Misleading Inferences From Panel Unit
  • Root Tests with an Illustration From Purchasing Power Parity,” Review of International Economics, 9(3), pp.482– 493. BREUER, Janice Boucher, Robert MCNOWN and Myles S. WALLACE; (2002), “Series-Specific Unit Root Test with Panel
  • Data”, Oxford Bulletin of Economics and Statistics, 64(5), pp. 546. CANARELLA, Giorgio, Stephen M. MILLER and Stephen K. POLLARD; (2010), “Unit Roots and Structural Change: An Ap- plication to US House-Price Indices”, Working Paper No. 2010- , Department of Economics, University of Connecticut.
  • CHOI, In; (2001), “Unit Roots Tests for Panel Data”, Journal of International Money and Finance, 20, pp.229-272. CHUI, Lht and Kw CHAU; (2005), “An Empirical Study of the Relationship between Economic Growth, Real Estate Prices and Real Estate Investments in Hong Kong”, Surveying and Built Environment, 16(2), pp. 19-32.
  • CLAPP, John M. and Doğan TIRTIROGLU; (1994), “Positive Feedback Trading and Diffusion of Asset Price Changes: Evi- dence From Housing Transactions”, Journal of Economic Be- havior and Organization, 24, pp. 337–355. COOK, Steven; (2003), “The Convergence of Regional House
  • Prices in The UK,” Urban Studies, 40(11), pp.2285–2294.
  • COOK, Steven; (2005), “Regional House Price Behaviour in The UK: Application of a Joint Testing Procedure”, Physica A, , pp. 611–621. DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of The Estimators for Autoregressive Time Series with A Unit
  • Root, Journal of the American Statistical Association”, 74, pp. –431. ELLIOTT, Graham By, Thomas J. ROTHENBERG and James H. STOCK; (1996), “Efficient Tests for An Autoregressive Unit
  • Root,” Economic Record, 77, pp.252–269. GUISANNI, Bruno and George HADJIMATHOU; (1991), “Mod- elling Regional House Prices in The United Kingdom,” Papers in Regional Science, 70, pp.201–219.
  • GUPTA, Rangan and Stephen M. MILLER; (2012a), “‘Ripple effects’ and Forecasting Home Prices in Los Angeles, Las Ve- gas, and Phoenix”, The Annals of Regional Science, 48(3), pp. –782.
  • GUPTA, Rangan and Stephen M. MILLER; (2012b), “The Time
  • Series Properties of House Prices: A Case Study of The South- ern California Market”, Journal of Real Estate Finance and Economics, 44(3), pp. 339–361. HADRI, Kaddour; (2000), “Testing for Stationarity in Heterog- enous Panels”, Econometrics Journal, 3, pp.148–61.
  • HOLMES, Mark J.; (2007), “How Convergent are Regional
  • House Prices in the United Kingdom? Some New Evidence from Panel Data Unit Root Testing”, Journal of Economic and Social Research, 9(1), pp.1-17. IM, Kyung So, M. Hashem PESARAN and Yongcheol SHIN; (2003), “Testing for Unit Roots in Heterogeneous Panels”, Jour- nal of Econometrics, 115, pp. 53–74.
  • IM, Kyung So, M. Hashem PESARAN and Yongcheol SHIN; (1997), “Testing for Unit Roots in Heterogeneous Panels”, DAE Working Papers 9526, University of Cambridge.
  • KWIATKOWOSKI, Denis, Peter C.B. PHILLIPS, Peter SCHMIDT and Yongcheol SHIN; (1992), “Testing The Null Hy- pothesis of Stationarity Against The Alternative of A Unit Root,”
  • Journal of Econometrics, 54, pp.159–178. LEE, Junsoo and Mark C. STRAZICICH; (2003), “Minimum LM
  • Unit Root Test with Two Structural Breaks”, Review of Econom- ics and Statistics, 85, pp.1082–1089.
  • LEE, Chien-Chiang and Mei-Se CHIEN; (2011), “Empirical Modelling of Regional House Prices and the Ripple Effect”, Ur- ban Studies, 48(10), pp.2029–2047.
  • LEVIN, Andrew and Chien-Fu LIN, Chia-Shang James CHU; (2002), “Unit Root in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics, 108, pp.1-24. LIU, Chunlu, Zhen Qiang LUO, Le MA, David PICKEN; (2008)
  • “Identifying House Price Diffusion Patterns Among Australian State Capital Cities”, International Journal of Strategic Property Management, 12, pp. 237-250. MA, Le and Chunlu LIU; (2013), “Ripple Effects of House
  • Prices: Considering Spatial Correlations in Geography and Demography”, International journal of housing markets and analysis, 6(3), pp. 284-299. MACDONALD, Ronald and Mark P. TAYLOR; (1993), “Regional house prices in Britain: long-run relationships and short-run dynamics,” Scottish Journal of Po- litical Economy, 40, pp.43–55.
  • MADDALA, Gangadharrao Soundalyarao and Shaowen WU; (1999), A Comparative Study of Unit Root Tests with Panel
  • Data and A New Simple Test, Oxford Bulletin of Economics and Statistics, 61, pp. 631–652. MEEN, Geoff; (1999), “Regional House Prices and The Ripple
  • Effect: A New Interpretation”, Housing Studies, 14, pp.733–753. MEEN, Geoff; (2002), “The Time-Series Properties of House
  • Prices: A Transatlantic Divide?”, Journal of Housing Econom- ics, 11, pp. 1–23. PESARAN, M. Hashem; (2007), “A Simple Panel Unit Root
  • Test in The Presence of Cross Section Dependence”, Journal of Applied Econometrics, 22/2, pp.265-312. POLLAKOWSKI, Henry O. and Traci S. RAY; (1997), “Hous- ing Price Diffusion Patterns at Different Aggregation Levels: An
  • Examination of Housing Market Efficiency”, Journal of Housing Research, 8, pp.107–124. TAYLOR, Mark P. and Lucio SARNO; (1998), “The Behaviour of Real Exchange Rates During The Post-Bretton Woods Pe- riod”, Journal of International Economics, 46, pp.281-312.
  • TIRTIROGLU, Doğan; (1992), “Efficiency in Housing Markets: Temporal and Spatial Dimensions”, Journal of Housing Eco- nomics, 2, pp. 276–292. TSAI, Chun; (2014), “Ripple Effect in House Prices and Trading
  • Volume in The UK Housing Market: New Viewpoint and Evi- dence”, Economic Modelling, 40, s.68–75. WANG, Song-Tao, Yang ZAN and H-Y LIU; (2008), “Empirical
  • Study on Urban Housing Price Interactions Among Regional Markets in China”, Research on Financial and Economic Is- sues, 6, pp. 122–129. WEEKEN, Olaf; (2004), “Asset Pricing and The Housing Mar- ket”, Bank of England Quarterly Bulletin, 44(1), pp.32–41,.
  • FEI-XUE, Huang, Zhou YUN and Li CHENG; (2010), “Ripple Effect of Housing Prices Fluctuations among Nine Cities of China”, Management Science and Engineering, 4(3), 2010, pp. 54.
  • ZHANG, Dayong; (2010), “Testing Convergence on UK Re- gional House Prices: A Fractional Integration Approach”, Inter- national Conference on Applied Economics.

The Analysis of Turkish House Price Dynamics in the Framework of Ripple Effect

Yıl 2015, Sayı: 601, 39 - 57, 01.03.2015

Sinem Güler Kangalli Uyar Nihal Yayla

Öz

The study focuses on the validity of “Ripple Effect” hypothesis on regional housing prices in 26 regions in Turkey, using monthly (2010Jan-2014Jan), quarterly (2010Q1-2014Q1) and annual House Price Index data obtained from Central Bank Data Distribution System. First, it was British housing experts who have observed the existence of this effect described as shocks occurred in South East England affecting housing prices in North West of England over time. Panel SURADF Unit Root Test for monthly data; Panel CADF Unit Root Test for quarterly data and First Generation Panel Unit Root Test for annual data are used to analyze the validity of this effect in Turkey. Also, mean reversion is calculated by half-life analysis. According to the results of stationarity analysis, Ripple Effect Hypothesis is valid for monthly data in TR21, TR71, TR72 and TRC3 region levels and for quarterly data in only TR71 region level, but any regional level Ripple Effect occurs for annual data

Anahtar Kelimeler

Ripple Effect Hypothesis Regional Housing Prices Convergence Second Generation Panel Unit Root Tests

Kaynakça

  • ALEXANDER, Carol and Michael BARROW; (1994), “Season- ality and Cointegration of Regional House Prices in The UK,” Urban Studies, 31, pp.1667–1689.
  • ASHWORTH, John and Simon C. PARKER; (1997), “Modelling
  • Regional House Prices in The UK,” Scottish Journal of Political Economy, 44, pp.225–246. BALCILAR, Mehmet, Abebe BEYENE, Rangan GUPTA, Mo- naheng SELETENG; (2013), “‘Ripple’ Effects in South African
  • House Prices”, Urban Studies, 50(5), pp.876–894. BREITUNG, Jörg and Samarjit DAS; (2005), “Panel Unit Root
  • Tests Under Cross Sectional Dependence”, Statistica Neerlve- ica, 59(4), pp.414-433. BREUER, Janice Boucher, Robert MCNOWN and Myles S. WALLACE; (2001), “Misleading Inferences From Panel Unit
  • Root Tests with an Illustration From Purchasing Power Parity,” Review of International Economics, 9(3), pp.482– 493. BREUER, Janice Boucher, Robert MCNOWN and Myles S. WALLACE; (2002), “Series-Specific Unit Root Test with Panel
  • Data”, Oxford Bulletin of Economics and Statistics, 64(5), pp. 546. CANARELLA, Giorgio, Stephen M. MILLER and Stephen K. POLLARD; (2010), “Unit Roots and Structural Change: An Ap- plication to US House-Price Indices”, Working Paper No. 2010- , Department of Economics, University of Connecticut.
  • CHOI, In; (2001), “Unit Roots Tests for Panel Data”, Journal of International Money and Finance, 20, pp.229-272. CHUI, Lht and Kw CHAU; (2005), “An Empirical Study of the Relationship between Economic Growth, Real Estate Prices and Real Estate Investments in Hong Kong”, Surveying and Built Environment, 16(2), pp. 19-32.
  • CLAPP, John M. and Doğan TIRTIROGLU; (1994), “Positive Feedback Trading and Diffusion of Asset Price Changes: Evi- dence From Housing Transactions”, Journal of Economic Be- havior and Organization, 24, pp. 337–355. COOK, Steven; (2003), “The Convergence of Regional House
  • Prices in The UK,” Urban Studies, 40(11), pp.2285–2294.
  • COOK, Steven; (2005), “Regional House Price Behaviour in The UK: Application of a Joint Testing Procedure”, Physica A, , pp. 611–621. DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of The Estimators for Autoregressive Time Series with A Unit
  • Root, Journal of the American Statistical Association”, 74, pp. –431. ELLIOTT, Graham By, Thomas J. ROTHENBERG and James H. STOCK; (1996), “Efficient Tests for An Autoregressive Unit
  • Root,” Economic Record, 77, pp.252–269. GUISANNI, Bruno and George HADJIMATHOU; (1991), “Mod- elling Regional House Prices in The United Kingdom,” Papers in Regional Science, 70, pp.201–219.
  • GUPTA, Rangan and Stephen M. MILLER; (2012a), “‘Ripple effects’ and Forecasting Home Prices in Los Angeles, Las Ve- gas, and Phoenix”, The Annals of Regional Science, 48(3), pp. –782.
  • GUPTA, Rangan and Stephen M. MILLER; (2012b), “The Time
  • Series Properties of House Prices: A Case Study of The South- ern California Market”, Journal of Real Estate Finance and Economics, 44(3), pp. 339–361. HADRI, Kaddour; (2000), “Testing for Stationarity in Heterog- enous Panels”, Econometrics Journal, 3, pp.148–61.
  • HOLMES, Mark J.; (2007), “How Convergent are Regional
  • House Prices in the United Kingdom? Some New Evidence from Panel Data Unit Root Testing”, Journal of Economic and Social Research, 9(1), pp.1-17. IM, Kyung So, M. Hashem PESARAN and Yongcheol SHIN; (2003), “Testing for Unit Roots in Heterogeneous Panels”, Jour- nal of Econometrics, 115, pp. 53–74.
  • IM, Kyung So, M. Hashem PESARAN and Yongcheol SHIN; (1997), “Testing for Unit Roots in Heterogeneous Panels”, DAE Working Papers 9526, University of Cambridge.
  • KWIATKOWOSKI, Denis, Peter C.B. PHILLIPS, Peter SCHMIDT and Yongcheol SHIN; (1992), “Testing The Null Hy- pothesis of Stationarity Against The Alternative of A Unit Root,”
  • Journal of Econometrics, 54, pp.159–178. LEE, Junsoo and Mark C. STRAZICICH; (2003), “Minimum LM
  • Unit Root Test with Two Structural Breaks”, Review of Econom- ics and Statistics, 85, pp.1082–1089.
  • LEE, Chien-Chiang and Mei-Se CHIEN; (2011), “Empirical Modelling of Regional House Prices and the Ripple Effect”, Ur- ban Studies, 48(10), pp.2029–2047.
  • LEVIN, Andrew and Chien-Fu LIN, Chia-Shang James CHU; (2002), “Unit Root in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics, 108, pp.1-24. LIU, Chunlu, Zhen Qiang LUO, Le MA, David PICKEN; (2008)
  • “Identifying House Price Diffusion Patterns Among Australian State Capital Cities”, International Journal of Strategic Property Management, 12, pp. 237-250. MA, Le and Chunlu LIU; (2013), “Ripple Effects of House
  • Prices: Considering Spatial Correlations in Geography and Demography”, International journal of housing markets and analysis, 6(3), pp. 284-299. MACDONALD, Ronald and Mark P. TAYLOR; (1993), “Regional house prices in Britain: long-run relationships and short-run dynamics,” Scottish Journal of Po- litical Economy, 40, pp.43–55.
  • MADDALA, Gangadharrao Soundalyarao and Shaowen WU; (1999), A Comparative Study of Unit Root Tests with Panel
  • Data and A New Simple Test, Oxford Bulletin of Economics and Statistics, 61, pp. 631–652. MEEN, Geoff; (1999), “Regional House Prices and The Ripple
  • Effect: A New Interpretation”, Housing Studies, 14, pp.733–753. MEEN, Geoff; (2002), “The Time-Series Properties of House
  • Prices: A Transatlantic Divide?”, Journal of Housing Econom- ics, 11, pp. 1–23. PESARAN, M. Hashem; (2007), “A Simple Panel Unit Root
  • Test in The Presence of Cross Section Dependence”, Journal of Applied Econometrics, 22/2, pp.265-312. POLLAKOWSKI, Henry O. and Traci S. RAY; (1997), “Hous- ing Price Diffusion Patterns at Different Aggregation Levels: An
  • Examination of Housing Market Efficiency”, Journal of Housing Research, 8, pp.107–124. TAYLOR, Mark P. and Lucio SARNO; (1998), “The Behaviour of Real Exchange Rates During The Post-Bretton Woods Pe- riod”, Journal of International Economics, 46, pp.281-312.
  • TIRTIROGLU, Doğan; (1992), “Efficiency in Housing Markets: Temporal and Spatial Dimensions”, Journal of Housing Eco- nomics, 2, pp. 276–292. TSAI, Chun; (2014), “Ripple Effect in House Prices and Trading
  • Volume in The UK Housing Market: New Viewpoint and Evi- dence”, Economic Modelling, 40, s.68–75. WANG, Song-Tao, Yang ZAN and H-Y LIU; (2008), “Empirical
  • Study on Urban Housing Price Interactions Among Regional Markets in China”, Research on Financial and Economic Is- sues, 6, pp. 122–129. WEEKEN, Olaf; (2004), “Asset Pricing and The Housing Mar- ket”, Bank of England Quarterly Bulletin, 44(1), pp.32–41,.
  • FEI-XUE, Huang, Zhou YUN and Li CHENG; (2010), “Ripple Effect of Housing Prices Fluctuations among Nine Cities of China”, Management Science and Engineering, 4(3), 2010, pp. 54.
  • ZHANG, Dayong; (2010), “Testing Convergence on UK Re- gional House Prices: A Fractional Integration Approach”, Inter- national Conference on Applied Economics.
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Sinem Güler Kangalli Uyar

Nihal Yayla

Yayımlanma Tarihi 1 Mart 2015
Yayımlandığı Sayı Yıl 2015 Sayı: 601

Kaynak Göster

APA Uyar, S. G. K., & Yayla, N. (2015). Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi. Finans Politik Ve Ekonomik Yorumlar(601), 39-57.
AMA Uyar SGK, Yayla N. Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi. FPEYD. Mart 2015;(601):39-57.
Chicago Uyar, Sinem Güler Kangalli, ve Nihal Yayla. “Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi”. Finans Politik Ve Ekonomik Yorumlar, sy. 601 (Mart 2015): 39-57.
EndNote Uyar SGK, Yayla N (01 Mart 2015) Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi. Finans Politik ve Ekonomik Yorumlar 601 39–57.
IEEE S. G. K. Uyar ve N. Yayla, “Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi”, FPEYD, sy. 601, ss. 39–57, Mart 2015.
ISNAD Uyar, Sinem Güler Kangalli - Yayla, Nihal. “Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi”. Finans Politik ve Ekonomik Yorumlar 601 (Mart 2015), 39-57.
JAMA Uyar SGK, Yayla N. Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi. FPEYD. 2015;:39–57.
MLA Uyar, Sinem Güler Kangalli ve Nihal Yayla. “Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi”. Finans Politik Ve Ekonomik Yorumlar, sy. 601, 2015, ss. 39-57.
Vancouver Uyar SGK, Yayla N. Türkiye’de Konut Fiyatları Dinamiklerinin Dalgalanma Etkisi Hipotezi Çerçevesinde Analizi. FPEYD. 2015(601):39-57.