Konut Piyasalarında Makroekonomik Faktörlerin Etkisi: ABD Örneği

Year 2021, Volume: 36 Issue: 2, 259 - 273, 30.06.2021

Bilgi Yılmaz , Fatma Yerlikaya Özkurt Sevtap Kestel

https://doi.org/10.24988/ije.202136202

Abstract

Bu makale makroekonomik, finansal ve emtia piyasaları göstergelerinin konut piyasaları üzerindeki etkisini analiz etmektedir. Genelleştirilmiş Doğrusal Modeller (GDM) ve Çok Değişkenli Uyarlanabilir Regresyon Eğrileri (ÇDRE) tarafından üretilen modellerin yeterliliğini konut piyasası eğilimini tahmin etmek için bağımsız ölçüm yöntemlerine göre karşılaştırıyoruz. Araştırmalarımıza göre bu modeller ilk kez makroekonomik göstergelerin konut piyasaları üzerindeki etkisini ve konut piyasalarındaki eğilimine yönelik tahmini belirlemekte kullanılmaktadır. Ampirik çalışmalar, ABD konut piyasalarına odaklanmakta ve önerilen modellerin gösterimi Ocak 1999-Haziran 2018 periyodu arasında gözlemlenen aylık S\&P/Case-Shiller Ulusal Konut Fiyat İndeksine ve ABD macroeconomic faktörlerine uygulanmaktadır. Bu çalışma makro ekonomik göstergeler ve konut piyasaları arasındaki etkileşimi vurgulayarak ve konut piyasalarının mekanizmasını analiz ederek literatüre katkıda bulunmaktadır. Bulguları, konut fiyat eğilimlerinin daha doğru bir şekilde tahmin edildiğini ve bu modellerin açıklayıcı değişkenlerin ortak etkisini yakaladığını göstermektedir. Ayrıca, ÇDRE yönteminin tahmin ve geleceğe yönelik tahmin gücüne kıyasla GDM'den daha iyi performans gösterdiğini ortaya koymuştur.

Keywords

Konut Piyasası, Genelleştirilmiş Doğrusal Modeller, Çok Değişkenli Uyarlanabilir Regresyon Eğrileri

The Impact of Macro-Economic Drivers in Housing Markets: The US Case

Abstract

This paper analyzes the effect of macro-economic, financial and commodity market indicators on housing markets. We compare the efficiency of the models generated by Generalized Linear Models (GLM) and Multivariate Adaptive Regression Splines (MARS) according to method free measures for estimating the housing market trend. These models are used for the first time to identify the influence of macro-economic indicators on housing markets and the estimation of the trend in housing markets to our best knowledge. The empirical analysis focuses on the US housing market, and the illustration of the proposed models is done through the monthly historical realizations of S\&P/Case-Shiller National Home Price Index (HPI) and the US macro-economic indicators over the period from 1999-January to 2018-June. It contributes to the literature by highlighting the interaction between macro-economic indicators and housing markets and analyzing the mechanism of housing markets. The findings indicate that the house price trends are estimated with more accuracy and these models capture the joint influence of explanatory variables. Further, the MARS method is shown to outperform GLM compared to the prediction and forecasting power.

Keywords

Housing Market, Generalized Linear Models, Multivariate Adaptive Regression Splines

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