Investigating the effect of mutual shocks of the housing price index and the volume of housing transactions in the provinces of Iran: with the GVAR approach

Document Type : RESEARCH PAPER

Authors

1 Assistant Professor, Department of Economics, Chabahar University of Maritime and Marine Sciences, Chabahar, Iran

2 Ph.D. Economic, Department of Economics, Faculty of Management and Economics, University of Tabriz, Tabriz

3 ecturer Academic Member of Economy , Baft Higher Education Center , Shahid Bahonar University of Kerman , Kerman , Iran

Abstract

In recent years, housing prices have enjoyed a significant growth in some periods, therefore, the extreme fluctuations in housing prices and their economic and social effects have caused extensive losses to households and the performance of other economic sectors and caused disruptions. It has been in the provision of consumer housing. Therefore, housing market shocks are of particular importance. Therefore, the aim of the present study is to investigate the effect of mutual shocks of the housing price index and the volume of housing transactions in the provinces of Iran during the years 2018-2019 using the Jever method. So that the results show that based on the reaction graphs of the housing index to housing index shocks and transaction volume, the housing price index of all provinces except seven provinces have reacted more to the shocks of Tehran's housing price index than to the shocks of Tehran's housing transaction volume. Based on the graphs of the reaction of transaction volume to the shocks of transaction volume and housing price index, the housing transaction volume index of all provinces, except for eleven provinces, reacted more to the shocks of Tehran's housing price index than to the shocks of Tehran's housing transaction volume. According to the variance analysis charts of the housing price index, most of the changes in the housing price index of thirteen provinces are caused by the changes in the Tehran housing transaction volume index, and most of the changes in the housing price index in other provinces are caused by the changes in the Tehran housing price index. According to the variance analysis diagrams of housing transaction volume, most of the changes in the housing transaction volume index of fourteen provinces are caused by the changes in the Tehran housing transaction volume index, and most of the changes in the housing transaction volume in other provinces are caused by the changes in the Tehran housing price index.

Highlights

Abiazani Khodadadi's god, hadisth. (2013) Analysis of housing market dynamics in Tehran Province. Thesis. Master in the field of industrial engineering with a focus on economic and social systems. Industrial Engineering Group, Ivanki non-governmental non-profit higher education institute. ]In Persian[.

Borsch-Supan, A., Heiss, F. & M. Seko (2001), "Housing Demand in Germany and Japan", Journal of Housing Economics, Vol. 10, PP. 229–252.

Chen, S., Wei, W., & Huang, P. (2019). The impact of monetary policy on housing prices in China. Available at SSRN 3355856.

Christou, C., Gupta, R., & Nyakabawo, W. (2019). Time-varying impact of uncertainty shocks on the US housing market. Economics Letters, 180, 15 -20.

Chudik, A., Pesaran, M., 2013. Econometric analysis of high dimensional VARs featuring a dominant unit. Economy. Rev. 32 (5–6), 592–649.
Chudik, A., Pesaran, M., 2016. Theory and practice of GVAR modeling. J. Econ. Surv. 30 (1), 165–197

Dees, S., Di Mauro, F., Pesaran, M., Smith, L., 2007. Exploring the international linkages of the Euro Area: a global VAR analysis. J. Appl. Econom. 22, 1–38.

DiPasquale, D. & W. Wheaton (1994), "Housing Market Dynamics and the Future of Housing Prices", Journal of Urban Economics, Vol. 35, PP. 1-27

Gallin, J. (2006), "The Long-Run Relationship Between House Prices and Income: Evidence from Local Housing Markets", Real State Economics, Vol. 34, No. 3, PP. 417-438.

Garriga, C., Manuelli, R., & Peralta -Alva, A. (2019). A macroeconomic model of price swings in the housing market. American Economic Review, 109(6), 2036 -72.

Gasparėnienė, L., Remeikienė, R., & Skuka, A. (2016). Assessment of the impact of macroeconomic factors on housing price level: Lithuanian case. Intellectual Economics, 10(2), 122-127.

Gelain P., Lansing K.J. and C. Mendicino (2013). “House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy”. Forthcoming, International Journal of Central Banking. pp. 219-276.

Gertler M.N. Kiyotaki (2010). “Financial Intermediation ac Credit Policy in Business Cycle Analysis, in Preparation for the Handbook of Monetary Economics.

 Gete, P. (2020). Expectations and the Housing Boom and Bust. An Open Economy View. Journal of Housing Economics, 101690.

Goodman, A. & T. Thibodeau (2008), "Where Are the Speculative Bubbles in US Housing Market?", Journal of Housing Economics, Vol 17, PP. 117-137.

Granziera, E., & Kozicki, S. (2015). House price dynamics: Fundamentals and expectations. Journal of Economic Dynamics and Control, 60, 152-165.

Hadi Zenouz, Behrouz (2018). Analysis of Iran's international sanctions in the framework of political economy, Ekhtaz Farda publication. ]In Persian[.

Iacoviello M. and S. Neri (2010). “Housing Market Spillovers: Evidence from an Estimated dsge Model”. American Economic Journal: Macroeconomics, 2(2), pp.125-164.

Kagaziyan, Sohaila; Naqdi, Yazdan; Pashaei, Hossein. (2014). Investigating the impact of exchange rate fluctuations on housing sector investment in Iran, Ezhariyat Eghanim Journal, 3(12), 181-196. ]In Persian[.

Khalili Iraqi, Seyyed Mansour; Mehrara, Mohsen and Seyedreza Azimi (2011). Investigating factors affecting housing prices in Iran using combined data, Economic Research and Policy Quarterly 20 (63), pp. 33-50. ]In Persian[.

Khoshe ghol ghrosi, Masoumeh; Afshari, Zahra; (2018). The impact of macroeconomic shocks on investment in the housing sector in Iran using the Bayesian vector autoregression method, Scientific Quarterly of Economics and Urban Management, 8, pp. 51-65. ]In Persian[.

Kohlscheen, E., Mehrotra, A. N., & Mihaljek, D. (2018). Residential investment and economic activity: evidence from the past five decades.

Kothari, Mohammad; (2012). Explaining a long-term structural model for Iran's housing market, master's thesis of social economic systems, Higher Institute of Education and Research of Management and Planning. ]In Persian[.

Luciani, M. (2015). Monetary policy and the housing market: A structural factor analysis. Journal of Applied Econometrics, 30(2), 199 -218.

Mahmoudi, the goddess; Nasralhi, Zahra and Kazem Yavari; (2018). Investigating the effect of housing market fluctuations on macroeconomics in Iran, Quarterly Journal of Applied Economic Theories, No. 1, pp. 278-249. ]In Persian[.

Malik, Homan; Delevingan, Sohrab; Almasi, Mojtabi; (2019). Investigating the effects of economic shocks in terms of housing financing in a DSGE model, Economic Research and Policy Quarterly, No. 94, pp. 289-331. ]In Persian[.

Mankiw, G. & D. Weil (1989), "The Baby Boom, the Baby Bust and the Housing Market", Regional Science and Urban Economics, Vol. 19, PP. 235–258

Meen, G. (2002), "The Time-Series Behavior of House Prices: A Transatlantic Divide?", Journal of Housing Economics, Vol. 11, PP. 1-23.

Meen, G. (2003), Housing Random Walks Complexity and the Macroeconomy, in Housing Economics and Public Policy edited by T. O’Sullivan and K. Gibb, Blackwell Publishing, PP. 90-109.

Mousavi, Mirhossein and Drodian, Hossein. (2001). Analysis of factors affecting housing prices in Tehran. Modeling scientific-research quarterly Economic, period, 3 issues, 91 pp. 149-172. ]In Persian[.

Mozafari, Zana; Farazmand, Hassan; Omid, Zahra. (2022). The effect of investment in the housing sector on the economic growth of Iran's provinces, volume 29, number 23, pages 86-54. ]In Persian[.

Mozafari, Zana; Farazmand, Hassan; Omidi, Zahra (2022). The effect of investment in the housing sector on the economic growth of Iran's provinces, economy, and regional development.Pages 54-86. ]In Persian[.

Nemati, Mohammad; Timuri, Iraj (2022). The impact of housing price and rent on macroeconomic variables in Iran, Journal of Urban Planning and Regional Development, Year 1, Number 1, Pages 27-41.  ]In Persian[.

Pesaran, M., Schuermann, T., Weiner, S., 2004. Modeling regional interdependencies using a global error-correcting macro econometricmacro-econometricmodel.J.Bus.Econ.Stat.22 (2), 129–162.

Qolizadeh, Ali Akbar; Sajjadi, Hassan; (2010). Estimation of housing investment function in urban areas of Iran with Tobin-Q approach. Journal of Economic Policy, 2(3), 71-105. ]In Persian[.

Salo, S. (1994), "Modelling the Finnish Housing Market", Economic Modelling, Vol. 11, No. 2, PP. 250-265.

Topel, R. & S Rosen (1988), Housing Investment in the United States, The Journal of Political Economy, Vol. 96, No. 4, PP. 718-740.

Wheaton, W. (1985), "Life Cycle Theory Inflation and the Demand for Housing, Journal of Urban Economics, Vol. 18, PP. 161-179.

 

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Main Subjects

References

Abiazani Khodadadi's god, hadisth. (2013) Analysis of housing market dynamics in Tehran Province. Thesis. Master in the field of industrial engineering with a focus on economic and social systems. Industrial Engineering Group, Ivanki non-governmental non-profit higher education institute. ]In Persian[.
Borsch-Supan, A., Heiss, F. & M. Seko (2001), "Housing Demand in Germany and Japan", Journal of Housing Economics, Vol. 10, PP. 229–252.
Chen, S., Wei, W., & Huang, P. (2019). The impact of monetary policy on housing prices in China. Available at SSRN 3355856.
Christou, C., Gupta, R., & Nyakabawo, W. (2019). Time-varying impact of uncertainty shocks on the US housing market. Economics Letters, 180, 15 -20.
Chudik, A., Pesaran, M., 2013. Econometric analysis of high dimensional VARs featuring a dominant unit. Economy. Rev. 32 (5–6), 592–649.
Chudik, A., Pesaran, M., 2016. Theory and practice of GVAR modeling. J. Econ. Surv. 30 (1), 165–197
Dees, S., Di Mauro, F., Pesaran, M., Smith, L., 2007. Exploring the international linkages of the Euro Area: a global VAR analysis. J. Appl. Econom. 22, 1–38.
DiPasquale, D. & W. Wheaton (1994), "Housing Market Dynamics and the Future of Housing Prices", Journal of Urban Economics, Vol. 35, PP. 1-27
Gallin, J. (2006), "The Long-Run Relationship Between House Prices and Income: Evidence from Local Housing Markets", Real State Economics, Vol. 34, No. 3, PP. 417-438.
Garriga, C., Manuelli, R., & Peralta -Alva, A. (2019). A macroeconomic model of price swings in the housing market. American Economic Review, 109(6), 2036 -72.
Gasparėnienė, L., Remeikienė, R., & Skuka, A. (2016). Assessment of the impact of macroeconomic factors on housing price level: Lithuanian case. Intellectual Economics, 10(2), 122-127.
Gelain P., Lansing K.J. and C. Mendicino (2013). “House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy”. Forthcoming, International Journal of Central Banking. pp. 219-276.
Gertler M.N. Kiyotaki (2010). “Financial Intermediation ac Credit Policy in Business Cycle Analysis, in Preparation for the Handbook of Monetary Economics.
 Gete, P. (2020). Expectations and the Housing Boom and Bust. An Open Economy View. Journal of Housing Economics, 101690.
Goodman, A. & T. Thibodeau (2008), "Where Are the Speculative Bubbles in US Housing Market?", Journal of Housing Economics, Vol 17, PP. 117-137.
Granziera, E., & Kozicki, S. (2015). House price dynamics: Fundamentals and expectations. Journal of Economic Dynamics and Control, 60, 152-165.
Hadi Zenouz, Behrouz (2018). Analysis of Iran's international sanctions in the framework of political economy, Ekhtaz Farda publication. ]In Persian[.
Iacoviello M. and S. Neri (2010). “Housing Market Spillovers: Evidence from an Estimated dsge Model”. American Economic Journal: Macroeconomics, 2(2), pp.125-164.
Kagaziyan, Sohaila; Naqdi, Yazdan; Pashaei, Hossein. (2014). Investigating the impact of exchange rate fluctuations on housing sector investment in Iran, Ezhariyat Eghanim Journal, 3(12), 181-196. ]In Persian[.
Khalili Iraqi, Seyyed Mansour; Mehrara, Mohsen and Seyedreza Azimi (2011). Investigating factors affecting housing prices in Iran using combined data, Economic Research and Policy Quarterly 20 (63), pp. 33-50. ]In Persian[.
Khoshe ghol ghrosi, Masoumeh; Afshari, Zahra; (2018). The impact of macroeconomic shocks on investment in the housing sector in Iran using the Bayesian vector autoregression method, Scientific Quarterly of Economics and Urban Management, 8, pp. 51-65. ]In Persian[.
Kohlscheen, E., Mehrotra, A. N., & Mihaljek, D. (2018). Residential investment and economic activity: evidence from the past five decades.
Kothari, Mohammad; (2012). Explaining a long-term structural model for Iran's housing market, master's thesis of social economic systems, Higher Institute of Education and Research of Management and Planning. ]In Persian[.
Luciani, M. (2015). Monetary policy and the housing market: A structural factor analysis. Journal of Applied Econometrics, 30(2), 199 -218.
Mahmoudi, the goddess; Nasralhi, Zahra and Kazem Yavari; (2018). Investigating the effect of housing market fluctuations on macroeconomics in Iran, Quarterly Journal of Applied Economic Theories, No. 1, pp. 278-249. ]In Persian[.
Malik, Homan; Delevingan, Sohrab; Almasi, Mojtabi; (2019). Investigating the effects of economic shocks in terms of housing financing in a DSGE model, Economic Research and Policy Quarterly, No. 94, pp. 289-331. ]In Persian[.
Mankiw, G. & D. Weil (1989), "The Baby Boom, the Baby Bust and the Housing Market", Regional Science and Urban Economics, Vol. 19, PP. 235–258
Meen, G. (2002), "The Time-Series Behavior of House Prices: A Transatlantic Divide?", Journal of Housing Economics, Vol. 11, PP. 1-23.
Meen, G. (2003), Housing Random Walks Complexity and the Macroeconomy, in Housing Economics and Public Policy edited by T. O’Sullivan and K. Gibb, Blackwell Publishing, PP. 90-109.
Mousavi, Mirhossein and Drodian, Hossein. (2001). Analysis of factors affecting housing prices in Tehran. Modeling scientific-research quarterly Economic, period, 3 issues, 91 pp. 149-172. ]In Persian[.
Mozafari, Zana; Farazmand, Hassan; Omid, Zahra. (2022). The effect of investment in the housing sector on the economic growth of Iran's provinces, volume 29, number 23, pages 86-54. ]In Persian[.
Mozafari, Zana; Farazmand, Hassan; Omidi, Zahra (2022). The effect of investment in the housing sector on the economic growth of Iran's provinces, economy, and regional development.Pages 54-86. ]In Persian[.
Nemati, Mohammad; Timuri, Iraj (2022). The impact of housing price and rent on macroeconomic variables in Iran, Journal of Urban Planning and Regional Development, Year 1, Number 1, Pages 27-41.  ]In Persian[.
Pesaran, M., Schuermann, T., Weiner, S., 2004. Modeling regional interdependencies using a global error-correcting macro econometricmacro-econometricmodel.J.Bus.Econ.Stat.22 (2), 129–162.
Qolizadeh, Ali Akbar; Sajjadi, Hassan; (2010). Estimation of housing investment function in urban areas of Iran with Tobin-Q approach. Journal of Economic Policy, 2(3), 71-105. ]In Persian[.
Salo, S. (1994), "Modelling the Finnish Housing Market", Economic Modelling, Vol. 11, No. 2, PP. 250-265.
Topel, R. & S Rosen (1988), Housing Investment in the United States, The Journal of Political Economy, Vol. 96, No. 4, PP. 718-740.
Wheaton, W. (1985), "Life Cycle Theory Inflation and the Demand for Housing, Journal of Urban Economics, Vol. 18, PP. 161-179.
 

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