An Empirical Analysis of the Long-Run Relationship Among Regional House Prices in Turkey

18 Pages Posted: 27 Dec 2017

See all articles by Abdurrahman Nazif Catik

Abdurrahman Nazif Catik

Ege University Department of Economics

Utku Akseki

Ege University

Barış Alpaslan

Ege University

Date Written: December 26, 2017

Abstract

In this study, convergence among the house prices of the seven big cities in Turkey is investigated using monthly data covering the period January 2003 and June 2015. Linear unit root and unit root with structural breaks tests suggest that relative house prices are not stationary. Unit root with break tests identify statistically significant breakpoints in the house prices dated after the implementation of mortgage law. Multivariate and bivariate Johansen cointegration tests are applied to explore further the long-run relationship among the house prices. Although we found one cointegrating relationship among the seven regions for the whole period, the stability tests based on the recursive estimation of the cointegrated model indicate the presence of two different periods before and after the mortgage law. The multivariate and pairwise cointegration tests based on two subsamples report a remarkable decline in the number of cointegrating vectors after the enactment of the mortgage law and that might be taken as an evidence for the weakening the relationship among house prices.

Keywords: House Price Convergence, Structural Breaks, Cointegration, Turkey, Mortgage Law

JEL Classification: C22, C32, R30

Suggested Citation

Catik, Abdurrahman Nazif and Akseki, Utku and Alpaslan, Barış, An Empirical Analysis of the Long-Run Relationship Among Regional House Prices in Turkey (December 26, 2017). Available at SSRN: https://ssrn.com/abstract=3093230 or http://dx.doi.org/10.2139/ssrn.3093230

Abdurrahman Nazif Catik (Contact Author)

Ege University Department of Economics ( email )

Bornova, Izmir 35100
Turkey

HOME PAGE: http://akademik.ege.edu.tr/?q=en/bilgiler&id=3270

Utku Akseki

Ege University ( email )

Bornova
Izmir, 3504
Turkey

Barış Alpaslan

Ege University ( email )

Bornova
Izmir, 3504
Turkey

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