House price connectedness and consumer sentiment in an era of destabilizing macroeconomic conditions: Empirical evidence from Türkiye
Yükleniyor...
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Borsa Istanbul Anonim Sirketi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study analyzes changes in the connectedness of 26 regional house prices in Turkiye 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 Turkiye. 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
Açıklama
Anahtar Kelimeler
House prices; Network analysis; Connectedness; Granger causality; Macroeconomic crisis; Turkiye
Kaynak
Borsa Istanbul Review
WoS Q Değeri
N/A
Scopus Q Değeri
N/A
