Topics in Middle Eastern and North African Economies

Document Type

Article

Publication Date

5-1-2017

Abstract

This paper investigates the housing-output growth nexus in Turkey by using quarterly data on real gross domestic product, real house prices and real gross fixed capital formation. The main aim of this paper is to identify indicators, for example, output and real capital formation, which potentially has strong causal relationship with housing prices in Turkey. The data set for this study spans the period; 1987:Q1 to 2016:Q2. Using full sample bootstrap Granger causality test and parameter stability test, we examine the stability of estimated Vector Autoregressive Regressions (VAR), and thus determined whether the full-sample Granger causality inference might be invalid. When the stability of the VAR model is rejected, the Granger non-causality tests are not valid. For this reason, the bootstrap rolling window estimation technique was used to evaluate the Granger causality between the housing variables and the output growth rate. The bootstrap rolling window estimation results show that there is no Granger causality relation in full sample. However, in some sub-periods, these variables have predictive ability for each other.

Journal Title

Topics in Middle Eastern and North African Economies

ISSN

2334-282X

Publisher

Middle East Economic Association and Loyola University Chicago

Volume

19

Issue

1

Comments

Presentation of the articles in the Topics in Middle Eastern and North African Economies was made possible by a limited license granted to Loyola University Chicago and Middle East Economics Association from the authors who have retained all copyrights in the articles.

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

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