Orhan Erdem

The Demand and Supply Model of Housing: Evidence from the Turkish Housing Market

This paper models the demand and supply sides of the housing market separately. In the empirical analysis, the vector error correction model (VECM) is preferred to identify the impacts of fundamental macroeconomic factors on the demand and supply sides of the Turkish housing market between the period of October 2007 and June 2012. It is found that the housing market and macroeconomic fundamentals, such as the interest rate, gross domestic product (GDP) and housing prices are cointegrated. In light of the evidence on two cointegrating equations, the error correction model is estimated to examine the effect of the variables on housing demand and supply in Turkey. While the dependent variable on the demand side is real mortgage credit volume, the dependent variable explaining the supply side is the number of construction permit. The study reveals that the macroeconomic variables have different impacts on the dynamic behavior of mortgage credit and construction permit numbers. Additionally, the impulse response analysis based on structural VECM suggests that the housing market in Turkey is sensitive to shocks in the economy. This study also presents forecast error variance decompositions (FEVD) and indicates the important role of real house prices and real GDP per capita on the housing market in the long run. Therefore, we point out the significance of policy implications of real prices and income in the Turkish housing market.

A tournament analysis of mutual funds in Turkey

This is an analysis of the mutual funds in Turkey with respect to their risk-altering behavior. Using the monthly returns and volatilities of 133 funds from 2002 to 2007, we divide each year in two parts and check whether or not the funds’ performance in the first part affects the behavior of mutual fund companies in the second part in terms of risk. We find sufficient evidence that the funds which have lower/higher performance in the first part of the year have higher/lower risk appetite for the second half of the year. The results have stronger significance if the year is divided from June or July. The results from the Turkish mutual funds market are generally in line with previous literature from developed countries.

Erken ödeme cezası için, %2 oranı yeterli midir?

Konut kredilerinde erken odemenin dogru fiyatlandirilmasi, hem bankalar ve finans kurumlar acisindan hem de ikinci el piyasada cikarilacak olan ipotege dayali tahvillerin fiyatlarinin belirlenebilmesi acisindan cok onemlidir. Turkiye’de mortgage piyasalarinin basariyla isletilebilmesi amaciyla Sermaye Piyasalari Kurulu (SPK) bir yasa tasarisi hazirladi ve bu tasari Şubat 2007’de T.B.M.M.’de kabul edilerek yasalasti. Bu makale yasada belirtilen erken odeme cezasinin finansal rasyonalitesini incelemektedir. Bu incelemede icin erken odemenin borclu icin bir opsiyon oldugundan hareket edilerek bu opsiyonun degisik cezalar altinda fiyatinin nasil degistigi analiz edilmektedir. Bu analiz icin iki degiskenli (bivariate binomial) opsiyon fiyatlama teknigi kullanilmaktadir. Yapilan hesaplar kanunda belirtilen %2’lik erken odeme cezasinin dusuk oldugunu gostermektedir. Bu oranin uzerinde cikan masrafi erken odeme yapandan direk tahsil edemeyecek olan finansal kurumlar ya kontrat faizlerini yuksek tutarak ya da “islem masrafi” gibi degisik isimler altinda tahsil etme yoluna gideceklerdir. Bu durumda erken odeme masrafinin dusuk tutulmasi, istemesek bile butun tuketicilere bu iki masraftan biri olarak yansitilacaktir.