Mortgage volume and macroeconomic factors: Evidence from Turkey

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 sho...

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Bibliographic Details
Published in:Business & management studies: an international journal 2021-12, Vol.9 (4), p.1504-1520
Main Authors: Güneş, Tuğba, Apaydın, Ayşen
Format: Article
Language:English
Subjects:
American dollar
Capital markets
Climate change
Cointegration analysis
Econometrics
Economic growth
Economic indicators
Error correction & detection
Foreign exchange rates
GDP
Gross Domestic Product
Housing
Housing prices
Interest rates
International organizations
Literature reviews
Loans
Macroeconomics
Secondary mortgage market
Time series
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Summary: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.
ISSN:2148-2586
2148-2586
DOI:10.15295/bmij.v9i4.1939