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Papers by İsmail Cem Özgüler

Ege Academic Review, Jul 1, 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

International Journal of Housing Markets and Analysis, Jan 31, 2022

Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics amo... more Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics among seven big cities with a unique monthly data set over 2003–2019. The secondary purpose is to examine bubble dynamics within the price convergence framework through alternative tests. Design/methodology/approach The paper conducts two autoregressive distributed lag (ARDL) cointegration estimates for housing prices and rents and applies conditional error correction model to investigate the long-run drivers of the Turkish housing market. The authors compare ARDL cointegration in-sample forecasts and discounted cash flow (DCF) estimates with actual prices to determine the timing, magnitude and collapse period(s) of bubbles within the price convergence framework. In particular, the generalized sup augmented Dickey–Fuller (GSADF) approach time stamps multiple explosive price behaviors. Findings The ARDL results confirm the theory of investment value by addressing mortgage rates, the price-to-rent ratio and rents as the fundamental factors of house prices. The price-to-rent ratio offers a comparison mechanism among houses deciding to buy a new house in which rents increase monthly real estate investment returns, and mortgage rates act as the discount rate. One key finding is that these dynamics have a greater impact on house prices than mortgage rates. Furthermore, the ARDL, DCF and GSADF findings exhibit temporal overvaluations rather than bubble signals, implying that housing price appreciations, including explosive behaviors, are consistent with fundamental advances. Originality/value This paper is considered to be innovative in determining housing market dynamics through two different ARDL estimates for the Turkish housing price index and rents in real terms as dependent variables. The authors compare the boom and collapse periods of the real housing price index and its fundamentals via the GSADF test. A final key feature of this research is its extensive data set, with 11 different regressors between 2003 and 2019.

International Journal of Housing Markets and Analysis, 2022

Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics amo... more Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics among seven big cities with a unique monthly data set over 2003–2019. The secondary purpose is to examine bubble dynamics within the price convergence framework through alternative tests. Design/methodology/approach The paper conducts two autoregressive distributed lag (ARDL) cointegration estimates for housing prices and rents and applies conditional error correction model to investigate the long-run drivers of the Turkish housing market. The authors compare ARDL cointegration in-sample forecasts and discounted cash flow (DCF) estimates with actual prices to determine the timing, magnitude and collapse period(s) of bubbles within the price convergence framework. In particular, the generalized sup augmented Dickey–Fuller (GSADF) approach time stamps multiple explosive price behaviors. Findings The ARDL results confirm the theory of investment value by addressing mortgage rates, the price-to...

Turk Bankacilik sektorunde 2007-2013 yillari itibariyle takipteki krediler ile takipteki krediler... more Turk Bankacilik sektorunde 2007-2013 yillari itibariyle takipteki krediler ile takipteki kredilerin belirleyicileri arasindaki iliskiyi arastirmayi amaclayan bu calisma, hem makroekonomik hem de banka-ozellikli degiskenlerin kredilerin kalitesi uzerinde etkisi oldugu hipotezi uzerine kurgulanmistir. Takipteki kredileri etkileyen banka-ozellikli degiskenler, banka kartlarinin hacmi, toplam tasarruf mevduati; makroekonomik degiskenler ise TCMB gecelik borc verme faiz orani, issizlik orani, enflasyon, kisi basina GSYIH ve cari acik olarak tespit edilmistir. Seriler arasindaki uzun donemli dinamik iliski Johansen-Juselius (1990) esbutunlesme testleri ile kisa donemli iliski Granger Nedensellik testi ile nedenselligin yonu ise Vektor Hata Duzeltme Modeli kullanilarak kullanilarak test edilmistir. Calismanin bulgulari, Turk Bankacilik sektorunde takipteki krediler ve belirleyicileri arasinda tutarli ve uzun donemli bir iliskinin var oldugunu gostermektedir. Vektor Hata Duzeltme Modeli kul...

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Ege Academic Review, Jul 1, 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

International Journal of Housing Markets and Analysis, Jan 31, 2022

Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics amo... more Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics among seven big cities with a unique monthly data set over 2003–2019. The secondary purpose is to examine bubble dynamics within the price convergence framework through alternative tests. Design/methodology/approach The paper conducts two autoregressive distributed lag (ARDL) cointegration estimates for housing prices and rents and applies conditional error correction model to investigate the long-run drivers of the Turkish housing market. The authors compare ARDL cointegration in-sample forecasts and discounted cash flow (DCF) estimates with actual prices to determine the timing, magnitude and collapse period(s) of bubbles within the price convergence framework. In particular, the generalized sup augmented Dickey–Fuller (GSADF) approach time stamps multiple explosive price behaviors. Findings The ARDL results confirm the theory of investment value by addressing mortgage rates, the price-to-rent ratio and rents as the fundamental factors of house prices. The price-to-rent ratio offers a comparison mechanism among houses deciding to buy a new house in which rents increase monthly real estate investment returns, and mortgage rates act as the discount rate. One key finding is that these dynamics have a greater impact on house prices than mortgage rates. Furthermore, the ARDL, DCF and GSADF findings exhibit temporal overvaluations rather than bubble signals, implying that housing price appreciations, including explosive behaviors, are consistent with fundamental advances. Originality/value This paper is considered to be innovative in determining housing market dynamics through two different ARDL estimates for the Turkish housing price index and rents in real terms as dependent variables. The authors compare the boom and collapse periods of the real housing price index and its fundamentals via the GSADF test. A final key feature of this research is its extensive data set, with 11 different regressors between 2003 and 2019.

International Journal of Housing Markets and Analysis, 2022

Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics amo... more Purpose The purpose of this study is to determine the Turkish housing price and rent dynamics among seven big cities with a unique monthly data set over 2003–2019. The secondary purpose is to examine bubble dynamics within the price convergence framework through alternative tests. Design/methodology/approach The paper conducts two autoregressive distributed lag (ARDL) cointegration estimates for housing prices and rents and applies conditional error correction model to investigate the long-run drivers of the Turkish housing market. The authors compare ARDL cointegration in-sample forecasts and discounted cash flow (DCF) estimates with actual prices to determine the timing, magnitude and collapse period(s) of bubbles within the price convergence framework. In particular, the generalized sup augmented Dickey–Fuller (GSADF) approach time stamps multiple explosive price behaviors. Findings The ARDL results confirm the theory of investment value by addressing mortgage rates, the price-to...

Turk Bankacilik sektorunde 2007-2013 yillari itibariyle takipteki krediler ile takipteki krediler... more Turk Bankacilik sektorunde 2007-2013 yillari itibariyle takipteki krediler ile takipteki kredilerin belirleyicileri arasindaki iliskiyi arastirmayi amaclayan bu calisma, hem makroekonomik hem de banka-ozellikli degiskenlerin kredilerin kalitesi uzerinde etkisi oldugu hipotezi uzerine kurgulanmistir. Takipteki kredileri etkileyen banka-ozellikli degiskenler, banka kartlarinin hacmi, toplam tasarruf mevduati; makroekonomik degiskenler ise TCMB gecelik borc verme faiz orani, issizlik orani, enflasyon, kisi basina GSYIH ve cari acik olarak tespit edilmistir. Seriler arasindaki uzun donemli dinamik iliski Johansen-Juselius (1990) esbutunlesme testleri ile kisa donemli iliski Granger Nedensellik testi ile nedenselligin yonu ise Vektor Hata Duzeltme Modeli kullanilarak kullanilarak test edilmistir. Calismanin bulgulari, Turk Bankacilik sektorunde takipteki krediler ve belirleyicileri arasinda tutarli ve uzun donemli bir iliskinin var oldugunu gostermektedir. Vektor Hata Duzeltme Modeli kul...

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.

Ege Akademik Bakis (Ege Academic Review), 2015

This paper investigates the linkages among the nonperforming loans and different macroeconomic an... more This paper investigates the linkages among the nonperforming loans and different macroeconomic and bank-specific factors in the Turkish banking sector over the period 2007-2013. The study is motivated by the hypothesis that both different macroeconomic and bank-specific variables have an effect on the quality of the loans. The long run relationship among the non-performing loans and these variables is analyzed by using Johansen-Juselius (1990) cointegration tests; short-run dynamics is tested through Granger Causality test, and the direction of the causality, through the Vector Error Correction Model (VECM). The results show that there exists consistent and strong long-run relationship among the nonperforming loans, macroeconomic variables and bank-specific factors. However, the short-term causal relationships are considerably limited, and, where they exist, especially unidirectional.