ارزیابی نوسانات بازار مسکن و رابطه آن با ادوار تجاری در اقتصاد ایران

Abstract

The Investigation of Housing Fluctuations and its Relation with Business Cycles in Economy of Iran Hassan Tahsili, Ph.D. student, Faculty of Economics, Allameh University Abbas Shakeri Ph.D., Faculty of Economics, Allameh University Rrassol Ghasemi Assistant Professor, Faculty of Economics, Allameh University Mostafa Salimifar Professor. ,Ferdowsi University of Mashhad Esfanyar Jahangard Assistant Professor, Faculty of Economics, Allameh University Abstract Stylized facts show that, housing has a remarkable share of household expenditures. Because of housing value added is fifteen percent to Gross Domestic Product (GDP), and also the backward linkage between housing and other sectors is seventy percent, the role of housing in GDP is important . Therefore, it is vital to identify the nature of the housing market for the builders, consumers, and consequently for policymakers. The most important aspect of the housing market is its fluctuations that according many of researches are leading for business cycles. The subject of this study is the investigation of housing fluctuations and its relation with business cycles in economy of Iran from 1971 to 2009. The GDP have been considered as the reference variable, and building permits, housing construction, built area, residential investment, employment in the housing sector and housing prices are considered as the basic variables of housing market. First the logarithms of variables by using Hedrick–Prescott filter in two stages are decomposited to trend, stochastic and cycle. Then, we examined the relationship between cycles of variables by using volatility, persistence and co movement indexes. Results show that there is a most volatility in residential investment and most relative volatility in residential investment, employment in the housing and housing construction. Additional, estimated correlation coefficient indicates that all variables have high stability. Also, Granger causality test indicates: i) there is no causality between permits and GDP, ii) there is a causality of housing price to GDP iii) and there is a causality of GDP to other housing variables. In final section turning points analysis shows that housing variables (except permits) have co- movement with GDP. Residential investment and housing price are coincident with GDP, but the housing construction and employment in the housing are delayed. Keywords: gross domestic product, housing market, Hedrick–Prescott filter, cross correlation, turning points.