Analysis of The Relationship Between Housing Prices and Housıng Loan Interest Rates: The Wavelet Coherence Approach

Öznur Taşdöken

Article Details

Analysis of The Relationship Between Housing Prices and Housıng Loan Interest Rates: The Wavelet Coherence Approach

Authors:

Öznur Taşdöken

Publisher:

Dokuz Eylul University

Main Topics:

Zaman Serileri Analizi | Para Politikası | Makro İktisat (Diğer)

Journal:

İzmir İktisat Dergisi Vol.39 Issue 4, pp.1145-1160

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001331222

pISSN:

1308-8505

Keywords:

Abstract:

 A change in housing prices affects both the real economy and the financial economy. This effect is primarily rooted in households decisions to invest in housing as an asset or use it as a consumption good. Therefore, housing expenditure within the total expenditures of households also exerts an impact on the economy through the multiplier effect. Therefore, the housing market is a significant indicator in the economic and financial literature for analyzing the preferences of households regarding investment and consumption expenditures. Based on this, this study aims to estimate the dynamic correlation among the housing price index and the housing loan interest rate variables using monthly data from 2010:1 to 2023:05. To perform this estimation, the Wavelet coherence approach is used to conduct frequency analysis over time. Considering the results obtained from the analysis, it has been found that there is a dynamic strong correlation relationship among the variables between 2012 and 2013, and these variables have a dynamic positive correlation relationship during this time period. This finding is consistent with the studies in the literature on the relationship between interest rates and housing prices, as well as with the theory of interest rates and housing prices. Additionally, it indicates that monetary policies were effective during the years 2012-2013 and had an impact on the housing market. In the years 2014, 2020, and 2022, there is a dynamic strong correlation relationship among the variables; however, it has been concluded that there is a dynamic negative correlation relationship between housing prices and housing loan interest rate variables.

 A change in housing prices affects both the real economy and the financial economy. This effect is primarily rooted in households decisions to invest in housing as an asset or use it as a consumption good. Therefore, housing expenditure within the total expenditures of households also exerts an impact on the economy through the multiplier effect. Therefore, the housing market is a significant indicator in the economic and financial literature for analyzing the preferences of households regarding investment and consumption expenditures. Based on this, this study aims to estimate the dynamic correlation among the housing price index and the housing loan interest rate variables using monthly data from 2010:1 to 2023:05. To perform this estimation, the Wavelet coherence approach is used to conduct frequency analysis over time. Considering the results obtained from the analysis, it has been found that there is a dynamic strong correlation relationship among the variables between 2012 and 2013, and these variables have a dynamic positive correlation relationship during this time period. This finding is consistent with the studies in the literature on the relationship between interest rates and housing prices, as well as with the theory of interest rates and housing prices. Additionally, it indicates that monetary policies were effective during the years 2012-2013 and had an impact on the housing market. In the years 2014, 2020, and 2022, there is a dynamic strong correlation relationship among the variables; however, it has been concluded that there is a dynamic negative correlation relationship between housing prices and housing loan interest rate variables.

 A change in housing prices affects both the real economy and the financial economy. This effect is primarily rooted in households decisions to invest in housing as an asset or use it as a consumption good. Therefore, housing expenditure within the total expenditures of households also exerts an impact on the economy through the multiplier effect. Therefore, the housing market is a significant indicator in the economic and financial literature for analyzing the preferences of households regarding investment and consumption expenditures. Based on this, this study aims to estimate the dynamic correlation among the housing price index and the housing loan interest rate variables using monthly data from 2010:1 to 2023:05. To perform this estimation, the Wavelet coherence approach is used to conduct frequency analysis over time. Considering the results obtained from the analysis, it has been found that there is a dynamic strong correlation relationship among the variables between 2012 and 2013, and these variables have a dynamic positive correlation relationship during this time period. This finding is consistent with the studies in the literature on the relationship between interest rates and housing prices, as well as with the theory of interest rates and housing prices. Additionally, it indicates that monetary policies were effective during the years 2012-2013 and had an impact on the housing market. In the years 2014, 2020, and 2022, there is a dynamic strong correlation relationship among the variables; however, it has been concluded that there is a dynamic negative correlation relationship between housing prices and housing loan interest rate variables.

 Konut fiyatlarında meydana gelen bir değişim hem reel ekonomi hem de finansal ekonomi üzerinde etkili olmaktadır. Bu etkinin temelinde hane halkının varlık portföylerinde konutu yatırım harcaması veya tüketim malı olarak kullanmasından kaynaklanmaktadır. Dolayısıyla, hane halkının toplam harcamaları içerisinde konut harcaması aynı zamanda çarpan kanalıyla ekonomi üzerinde etkili olmaktadır. Bu nedenle, konut piyasası iktisat ve finans literatüründe hane halkının yatırım ve tüketim harcamaları ile ilgili tercihlerini analizi için önemli bir göstergedir. Buradan hareketle bu çalışmada 2010:1-2023:05 yıllarına ait aylık veriler kullanılarak konut fiyatları endeksi ile konut kredisi faiz oranı değişkenleri arasındaki dinamik korelasyon tahmin edilmektedir. Bu tahmin yapılırken zaman boyutuna bağlı olarak frekans analizi yapılması amacıyla Dalgacık uyum yaklaşımı kullanılmıştır. Analizden elde edilen sonuçlar dikkate alındığında, 2012-2013 yılları arasında değişkenler arasında güçlü dinamik korelasyon ilişkisi olduğunu ve bu değişkenlerin bu zaman aralığında pozitif dinamik korelasyon ilişkisine sahip olduğu bulgusuna ulaşılmıştır. Elde edilen bu bulgu literatürde faiz oranı ve konut fiyatı ilişkisi ile ilgili olarak yapılan çalışmalarla ve faiz oranı-konut fiyatları teorisiylede parallel sonuçlar vermektedir. Ayrıca, 2012-2013 yıllarında para politikaların etkin olduğunu ve konut piyasası üzerinde etkisinin olduğunu göstermektedir. 2014, 2020 ve 2022 yıllarında değişkenler arasında güçlü dinamik korelasyon ilişkisi bulunmakta, ancak konut fiyatı ile konut kredisi faiz oranı değişkenlerinin aralarında negatif dinamik korelasyon ilişkisi olduğu sonucuna ulaşılmıştır.

Article Details

Analysis of The Relationship Between Housing Prices and Housıng Loan Interest Rates: The Wavelet Coherence Approach

Authors:

Öznur Taşdöken

Publisher:

Dokuz Eylul University

Main Topics:

Zaman Serileri Analizi | Para Politikası | Makro İktisat (Diğer)

Journal:

İzmir İktisat Dergisi Vol.39 Issue 4, pp.1145-1160

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001331222

pISSN:

1308-8505

Wavelet Coherence Approach

Housing Loan Interest Rate

House Price İndexDalgacık Uyum Yaklaşımı

Konut Kredisi Faiz Oranı

Konut Fiyatı Endeksi

Issues

Article Details

Analysis of The Relationship Between Housing Prices and Housıng Loan Interest Rates: The Wavelet Coherence Approach

Authors: Öznur Taşdöken

Publisher: Dokuz Eylul University

Main Topics: Zaman Serileri Analizi | Para Politikası | Makro İktisat (Diğer)

Journal: İzmir İktisat Dergisi Vol.39 Issue 4, pp.1145-1160

Document Type: Article

Publication Date: 12/2024

Document Language: Turkish

Document ID (Org No.): 2001331222

pISSN: 1308-8505

Wavelet Coherence Approach

Housing Loan Interest Rate

House Price İndexDalgacık Uyum Yaklaşımı

Konut Kredisi Faiz Oranı

Konut Fiyatı Endeksi

Issues

Authors:

Öznur Taşdöken

Publisher:

Dokuz Eylul University

Main Topics:

Zaman Serileri Analizi | Para Politikası | Makro İktisat (Diğer)

Journal:

İzmir İktisat Dergisi Vol.39 Issue 4, pp.1145-1160

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001331222

pISSN:

1308-8505