Econometric analysis of the effect of macroekonomic faktors on housing price index

The housing price index is an important economic indicator reflecting the movements of housing prices in a country or region. The housing price index plays a vital role in shortand long-term investment decisions made by investors and banks. Many macroeconomic factors affect the housing price index, and it is crucial to investigate the impact of these macroeconomic factors on the housing price index. The aim of this study is to determine whether there is a relationship between selected macroeconomic factors and the housing price index, and to identify the effects of these factors on the index. In the study, macroeconomic variables such as the exchange rate of the dollar, gold prices, housing loan interest rates, deposit interest rates, and the real rent price index were used. Monthly data for the variables covering the period between 01/2010 and 06/2023 were analyzed using the Eviews 12.0 package program. According to the analysis results, it was determined that the variables became stationary at the I(1) level. Then, Johansen cointegration test was used to determine the cointegration relationship between the series. The results of the cointegration analysis reveal that there is a long-term equilibrium relationship between the housing price index and the macroeconomic factors, with at least two cointegration vectors. The Granger causality test was applied to observe the causality relationship between the variables. According to the analysis results, a bidirectional causality relationship was found between the housing price index and gold prices, as well as the exchange rate. A unidirectional causality relationship was found from the housing price index to the deposit interest rate and housing loan interest rate. Moreover, a unidirectional causality relationship was observed from the real rent price index to the housing price index. To determine the impact level of macroeconomic variables on the housing price index, the fully modified least squares (FMOLS) estimator based on cointegration analysis was used. According to this analysis, gold prices, deposit interest rates, and the real rent price index positively affect the housing price index, while the exchange rate of the dollar and housing loan interest rates negatively affect the housing price index.