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Mortgage credit and house prices: the Turkish case

Author

Listed:
  • S. Belgin Akçay
  • Cagin Karul
  • Mert Akyuz
Abstract
Purpose - The purpose of this study is to examine whether there is a causal relationship between mortgage credit and house prices in Turkey. Design/methodology/approach - Granger causality test, Toda–Yamamoto causality test, Fourier Granger causality test and Fourier Toda–Yamamoto causality tests are applied. Findings - The findings show that there is a strong one-way causality between mortgage credit and house prices and that the developments in credit markets are more decisive in the relationship between mortgage credit and house prices than the developments in the housing markets. Practical implications - Considering a causal relationship between mortgage credit and house prices may contribute to more efficient use of the tools of both macroeconomic and microeconomic policies for the mortgage credit and housing markets in Turkey. Furthermore, by understanding the importance of the direction of causality between both dynamics, it may be possible to prevent and/or mitigate the negative effects of large house price movements on both Turkish housing and mortgage markets as well as on Turkish economy. Originality/value - To the best of the authors’ knowledge, the contribution of this study is to examine for the first time whether the causal relationship between mortgage credit and house prices in Turkey is mutual as well as to apply four different causality tests and to compare their results for the first time.

Suggested Citation

  • S. Belgin Akçay & Cagin Karul & Mert Akyuz, 2022. "Mortgage credit and house prices: the Turkish case," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(2), pages 318-335, March.
    • Handle: RePEc:eme:ijhmap:ijhma-11-2021-0127
    DOI: 10.1108/IJHMA-11-2021-0127
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    More about this item

    Keywords

    Causality; Mortgage credit; House price; Turkey; Housing; Housing markets; C32; G21; R21;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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