Analyzing asset of bubbles in the housing market with right-tailed unit root tests: the case of Turkey

Abstract

Purpose-Housing markets are linked to macroeconomic and financial stability. The creation of different financial instruments on residence, the presentation of residence as an assurance, the impact of residence prices on saving and consumption through the wealth effect are some of the housing market and general economic interactions. Developments in the residential sector must be carefully monitored for financial stability. The residential sector has usually played an important role in the global economy and financial sector bubbles. It has been observed that the wealth effect created by the housing bubble surpasses the effect of the stock bubble and that the housing bubble explosion causes more economic devastation compared to the other assets bubbles. While housing markets are increasingly buried in financial markets, the connections between them have strengthened. Such a situation can cause financial crises as a way of extinguishment of a housing bubble. In the case of housing bubbles, bank balance sheets are generally more affected by real estate and it is more likely that the decline in real estate prices are transmitted to the other sectors of the economy with the credit channel. When the housing price bubble burst, the collapse in the financial system is also reflected in the real sector. In this study, with reference to the real housing price index and the real rent price index, it has been investigated whether there is the housing bubble in Turkey. Methodology-Sup ADF and Generalized SADF (GSADF) tests were used to determine the asset of bubbles and to determine when the housing bubbles had occured. The data set obtained in the study extends from January 2010 to November 2017. Findings-The results reveal empirical evidence on the absence of speculative bubbles in the Turkish housing market. Conclusion-There is no data with reference to housing price to say that there is the housing bubble in Turkey during the period under study. Turkey blocked the creation of the housing bubble in the period under review with corrections through its internal dynamics.

Detection of price bubbles in Istanbul housing market using LSTM autoencoders: a district-based approach

“…According to their analysis, there is no evidence to support the existence of a price bubble in the mentioned housing markets. In addition, Afsar and Dogan ( 2018 ) reached a similar finding for the 2010-2017 period. They implemented ADF and Generalized SADF tests using real housing price index and rent index data and concluded that there was not a price bubble in the Turkish housing market.…”

Analyzing Multiple Bubbles in the Usdkzt Exchange Rate Using the Gsadf Test

“…Studies investigating the price bubbles in housing markets using the GSADF test: Zeren and Erguzel (2015), Engsted et al (2016), Shi et al(2016), Escobari and Jafarinejad (2016), Coskun and Jadevicius (2017) Afsar and Dogan (2018), Evrim et al (2018), Hu and Oxley (2018), Iskenderoglu and Akdag (2019), Gokce and Guler (2020), Abioglu (2020).…”

Testing bubbles formation at real‐time commodity prices

“…The study also found a significant evidence of a price bubble in the regional sense in the late 1980s. Afşar and Doğan (2018) carried the study that shows the presence of housing price bubble for Turkey by using the SADF and GSADF test method. Similarly, the study also found that there is a bubble in housing prices for the period of 2010–2017 in Turkey.…”