Mehmet Balcılar , Ojonugwa Usman , Murat Yülek , Büşra Ağan , Bahar Erdal
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引用次数: 0
摘要
本研究分析了土耳其 26 个地区房价关联度的变化,并确定在 2010 年 1 月至 2022 年 4 月宏观经济不稳定时期,消费者情绪如何影响关联度。为此,我们使用拉索 VAR 模型估算了网络关联度,并使用滚动线性 VAR 模型对危机前和危机后时期进行了时变分析。我们的实证结果提供了房价高度关联性的证据,在危机后时期,图尔基耶各地区的房价关联度更高。结果进一步表明,安卡拉(TR51 地区)是危机前时期关联性的主要传播者,而伊斯坦布尔(TR10 地区)则是危机后时期关联性的主要传播者。总体而言,我们的研究结果表明,连通性程度与金融和经济不稳定时期相关,其特点是本币大幅贬值、通货膨胀率上升、借贷成本增加以及贷款重组和违约增加。此外,实证结果表明,在后危机时期,有大量证据表明消费者情绪对关联度有积极影响。这些实证结果得到了时变格兰杰因果检验结果的验证。
House price connectedness and consumer sentiment in an era of destabilizing macroeconomic conditions: Empirical evidence from Türkiye
This study analyzes changes in the connectedness of 26 regional house prices in Türkiye and determines how consumer sentiments affect connectedness in the era of destabilizing macroeconomic conditions over the period from January 2010 to April 2022. To this end, we estimate network connectedness using a Lasso VAR model and time-varying analyses using a rolling linear VAR model for the pre-crisis and post-crisis periods. Our empirical results provide evidence of a high connectedness of house prices, with a greater degree of connectedness witnessed during the post-crisis period across regions in Türkiye. The results further divulge that Ankara (region TR51) is a major transmitter of connectedness during the pre-crisis period, while Istanbul (region TR10) is a major transmitter of connectedness during the post-crisis period. By and large, our results show that the degree of connectedness is associated with the period of financial and economic destabilization, characterized by a significant depreciation of the local currency, rising inflation rates, and an increasing cost of borrowing accompanied by rising loan restructurings and defaults. Furthermore, the empirical results indicate substantial evidence of a positive impact of consumer sentiment on the degree of connectedness during the post-crisis period. These empirical results are validated by the results of the time-varying Granger causality tests.
期刊介绍:
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations