A new approach to modeling factors affecting housing prices (TVP-DMA&TVP-FAVAR approach)

اقتصاد پولی مالی

Article 3, Volume 31, Issue 27, January 2024

Document Type: Original Article

DOI: 10.22067/mfe.2024.82801.1304

Authors

Fariba Heydari^{* 1}; Kamran Nadri²; Gholamali Haji³

¹Student

²Assistant professor, of University of Imam Sadegh

³Assistant professor, of Islamic Azad University of Arak

Abstract

Changes in housing prices can cause booms and Recession in the housing sector, the consequences of which affect the economy. Considering the importance of this issue, identifying the factors affecting housing prices can help policy makers and planners in formulating relevant policies. Focusing on this goal, this research has examined a significant number of variables that are likely to affect the fluctuations of housing prices in the country..
In this research, 24 variables affecting housing prices were included in the model, and finally, using the dynamic averaging model approach, the most important variables affecting housing prices were determined.
Based on the results of dynamic averaging, the most important variables affecting housing prices in Iran's economy are inflation variables, exchange rate, liquidity, economic growth, banks' payment facilities for housing, outstanding claims and increase in bank debt, the amount of fixed assets of banks, land price index in Tehran, sanctions index, population, housing tax, urbanization coefficient and construction materials price index. Based on the results of the model, the variables of inflation, exchange rate, liquidity, banks' payment facilities for housing, the amount of fixed assets of banks, land price index in Tehran, sanctions index, population, urbanization coefficient and the price index of construction materials have a positive effect and economic growth variables, claims Delayed and increased bank debt and housing tax have a negative effect on housing prices.
Based on the results of inflation, they have the highest percentage of variance decomposition and changes on the housing price variable; Also, based on the results of the TVP-VAR model, it was observed that the shock effect of selected effective variables on housing prices has increased in the last decade.

Keywords

Housing Bubble; Dynamic Averaging; Time Variable Parameter

References