Time-varying effects of factors influencing speculation in Iran's housing market: state-space models

Abstract

Investigating the behavior of speculators is very important in explaining the phenomena of the Iranian housing market. Many of the undesirable phenomena that occur in the housing market are for speculation. In this research, time-varying effects of factors influencing speculation in Iran's housing market have been investigated using state-space models for the period 1991 to 2020. The speculation index is estimated by Roehner. The results show that the shock of the housing tax has reduced speculation in the housing market. In the short and long term, the stock market shock had a small and different effect on speculation in the housing market in different years, respectively. The effect of the unofficial real exchange rate shock on speculation in Iran's housing market was positive. In the short and long term, the effect of this shock was small and more, respectively. According to the results, the real interest rate shock had a positive effect in the first two periods and then a negative effect on speculation in the Iranian housing market. The shock caused by the real housing yield rate has different effects on speculation. Still, overall it has caused an increase in speculation in the Iranian housing market. Based on the results, the shock caused by speculation in the parallel markets of the housing market (currency and stock markets) has caused an increase in speculation in the housing market.

Keywords

• speculation
• housing market
• state-space-model
• iran