Vol. 9 No. 4 (2021): Business & Management Studies: An International Journal
Articles

Mortgage volume and macroeconomic factors: Evidence from Turkey

PDF
  • Tuğba Güneş,
  • Ayşen Apaydın
Tuğba Güneş
PhD Candidate, Ankara University, Graduate School of Natural and Applied Sciences, Department of Real Estate Development and Management, Ankara, Turkey
Bio
Ayşen Apaydın
Prof. Dr., Ankara University, Faculty of Applied Sciences, Department of Actuarial Sciences, Ankara, Turkey
Bio

Published 2021-12-25

How to Cite

Mortgage volume and macroeconomic factors: Evidence from Turkey. (2021). Business & Management Studies: An International Journal, 9(4), 1504-1520. https://doi.org/10.15295/bmij.v9i4.1939

Copyright (c) 2021 Tuğba Güneş- Ayşen Apaydın

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

How to Cite

Mortgage volume and macroeconomic factors: Evidence from Turkey. (2021). Business & Management Studies: An International Journal, 9(4), 1504-1520. https://doi.org/10.15295/bmij.v9i4.1939

Abstract

This paper investigates the impacts of several macroeconomic variables on Turkey's volume of mortgage loans. Johansen cointegration test, vector error correction model, Granger causality tests, variance decomposition, and impulse-response analysis is employed for the econometric analysis to show short and long-run relationships between the variables using time series monthly data from January 2010 to March 2020. Paper results demonstrate that growth of housing credit size negatively correlates with mortgage interest rates, US Dollar/Turkish Lira exchange rate and level of real estate supply. At the same time, there is a positive correlation with house prices. Causal relationships between mortgage volume and macroeconomic indicators are bidirectional for all variables, except for mortgage interest rates. There is a one-way causality relationship from mortgage rates to mortgage loan volume. Econometric analyses show that the recent steep depreciation in the Turkish Lira hurts the Turkish mortgage market. In conclusion, a stable economic environment is essential to build a robust mortgage market.

PDF

References

  1. Adams, Z., & Füss, R. (2010). Macroeconomic determinants of international housing markets. Journal of Housing Economics, 19(1), 38-50.
  2. Addae-Dapaah, K. (2014). Housing loan and the price of housing in Singapore. Journal of Business and Economics, 5(9), 1513-1524.
  3. Ahiadorme, J. W. (2016). Assessing the Interaction between the Macro Economy and the Mortgage Market: Evidence from Ghana. International Journal of Contemporary Applied Sciences, 3(10), 40-53.
  4. Akkay, R. C. (2021). The Macroeconomic Determinants of The Housing Prices in Turkey. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi(58), 241-264.
  5. Arestis, P., & González, A. R. (2014). Modelling the housing market in OECD countries. International Review of Applied Economics, 28(2), 131-153.
  6. Calza, A., Gartner, C., & Sousa, J. (2001). Modelling the demand for loans to the private sector in the Euro area. No. 55. Retrieved from
  7. CBRT. (2021a). Exchange Rates, https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket.
  8. CBRT. (2021b). Weighted Average Interest Rates For Banks Loans, The Central Bank of the Republic of Turkey, https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket.
  9. Chiquier, L., Hassler, O., & Lea, M. (2004). Mortgage securities in emerging markets. World Bank Policy Research Working Paper(3370).
  10. Chiquier, L., & Lea, M. J. (2009). Housing finance policy in emerging markets: World Bank Publications.
  11. Coskun, Y. (2016). Konut fiyatlari ve yatirimi: Türkiye için bir analiz. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 201-217.
  12. Dajcman, S. (2020). Demand for residential mortgage loans and house prices in the Euro Area. Economics & Sociology, 13(1), 40-51.
  13. Duan, J., Tian, G., Yang, L., & Zhou, T. (2021). Addressing the macroeconomic and hedonic determinants of housing prices in Beijing Metropolitan Area, China. Habitat International, 113, 102374.
  14. Erjona, R. (2014). Mortgage lending and house prices in Albania-a co-integrated analysis based on VECM. Eastern Journal of European Studies, 5(1), 79-98.
  15. Fabozzi, F. J., Bhattacharya, A. K., & Berliner, W. S. (2011). Mortgage-backed securities: products, structuring, and analytical techniques (Vol. 200): John Wiley & Sons.
  16. Freddie Mac. (2021). Primary Mortgage Market Survey, http://www.freddiemac.com/pmms/.
  17. Gattin-Turkalj, K., Ljubaj, I., Martinis, A., & Mrkalj, M. (2007). Estimating credit demand in Croatia. Croatian National Bank Paper, 1-36.
  18. Güneş, T., & Yildiz, Ü. (2016). Property valuation and taxation for improving local governance in Turkey. Land tenure journal, 15(2), 141-160.
  19. Habitat. (2021). Housing ensures sustainable development, SDG Booklet, .
  20. Hepsen, A., & Bas, N. K. (2009). Housing market activity and macroeconomic variables: an analysis of Turkish dwelling market under new mortgage system. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 38-46.
  21. Hort, K. (1998). The determinants of urban house price fluctuations in Sweden 1968–1994. Journal of Housing Economics, 7(2), 93-120.
  22. Hülagü, T., Kızılkaya, E., Özbekler, A., & Tunar, P. (2016). Türkiye Konut Fiyat Endeksi’nin Kalite Değişimi Etkisinden Arındırılması: Hedonik Konut Fiyat Endeksi. TCMB Ekonomi Notları, 1-15.
  23. İbicioğlu, M., & Karan, M. B. (2012). Konut kredisi talebini etkileyen faktörler: Türkiye üzerine bir uygulama. Ekonomi Bilimleri Dergisi, 4(1), 65-75.
  24. Jen-Shi, N., Shuen-Shi, H., & Yu, W. (2012). Interest rate, Unemployment rate, and Housing Market in US. Journal of Modern Accounting and Auditing, 8(6), 837.
  25. Johansen, S. (1995). Likelihood-based inference in co-integrated vector autoregressive models: Oxford University Press on Demand.
  26. Karadaş, H. A., & Salihoğlu, E. (2020). Seiçili Makroekonomik Değişkenlerin Konut Fiyatlarina Etkisi: Türkiye Örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 16(1), 63-80.
  27. Kirchgässner, G., Wolters, J., & Hassler, U. (2012). Introduction to modern time series analysis: Springer Science & Business Media.
  28. Kohl, S. (2021). Too much mortgage debt? The effect of housing financialization on housing supply and residential capital formation. Socio-Economic Review, 19(2), 413-440.
  29. Maysami, R. C., & Koh, T. S. (2000). A vector error correction model of the Singapore stock market. International Review of Economics & Finance, 9(1), 79-96.
  30. Ministry of Treasury and Finance. (2021). Turkish Economy, Republic of Turkey Ministry of Treasury and Finance, https://ms.hmb.gov.tr/uploads/2021/09/Ekonomi_Sunumu.pdf.
  31. Mogaka, A. J., Kiweu, J. M., & Kamau, R. G. (2015). The influence of macro economic factors on mortgage market growth in Kenya. Journal of Finance and Accounting, 3(4), 77-85
  32. Naoi, M., Tiwari, P., Moriizumi, Y., Yukutake, N., Hutchison, N., Koblyakova, A., & Rao, J. (2019). Household mortgage demand: a study of the UK, Australia and Japan. International Journal of Housing Markets and Analysis.
  33. Ohno, S., & Shimizu, J. (2015). Do exchange rate arrangements and capital controls influence international capital flows and housing prices in Asia? Journal of Asian Economics, 39, 1-18.
  34. Panagiotidis, T., & Printzis, P. (2016). On the macroeconomic determinants of the housing market in Greece: A VECM approach. International Economics and Economic Policy, 13(3), 387-409.
  35. Ramesh, A., & Kumar, S. (2017). Macro Economic Determinants of Bad Loans in Indian Mortgage Market. International Journal of Economic Research, 14(14), 285-290.
  36. Ravazzolo, F., & Vespignani, J. (2015). A new monthly indicator of global real economic activity.
  37. Renaud, B. (1999). The financing of social housing in integrating financial markets: a view from developing countries. Urban Studies, 36(4), 755-773.
  38. Shahini, I. (2014). The impact of economic growth in housing loans demand in Albania. European Scientific Journal, 10(19).
  39. Shukor, N. B. B. M., Said, R. B., & Majid, R. B. A. (2016). The Relationship between Housing Finance and Macroeconomics Variables in Malaysia. Paper presented at the MATEC Web of Conferences.
  40. Singh, S. S., Devi, T. L., & Roy, T. D. (2016). Time series analysis of index of industrial production of India. IOSR J. Math, 12(3), 1-7.
  41. TurkStat. (2021a). Address Based Population Registration System, https://biruni.tuik.gov.tr/medas/?kn=95&locale=en.
  42. TurkStat. (2021b). Building Permit Statistics, https://biruni.tuik.gov.tr/yapiizin/giris.zul?dil=ing.
  43. TurkStat. (2021c). GDP in Turkey, data.tuik.gov.tr/Bulten/Index?p=Donemsel-Gayrisafi-Yurt-Ici-Hasila-I.-Ceyrek:-Ocak---Mart,-2021-37181
  44. TurkStat. (2021d). House Sale Statistics, https://biruni.tuik.gov.tr/medas/?kn=95&locale=en.
  45. Ucal, M. S., & Gőkkent, G. (2009). Macroeconomic Factors Affecting Real Estate Markets in Turkey: A VAR Analysis Approach. Briefing Notes in Economics, 80.
  46. Uddin, M. G. S., & Norman, A. (2009). Causality between Industrial Production and Exports in Bangladesh. The Global Journal of Finance and Economics, 8(3), 77-87.
  47. Uysal, D., & Yiğit, M. (2016). Determinants of housing demand in Turkey (1970-2015): an empirical study. Selçuk University Journal of Vocational School of Social Sciences, 1(19), 185-209.
  48. Warnock, V. C., & Warnock, F. E. (2008). Markets and housing finance. Journal of Housing Economics, 17(3), 239-251.
  49. Yalciner, K. (2006). İpotek Karşılığı Menkulleştirilmiş Krediler Mortgage (İKMEK-MORTGAGE): Gazi Kitabevi.
  50. Yalciner, K., & Coskun, Y. (2014). Conditions of mortgage market development: a critical Emprical review for Turkey.