اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

تاثیر زمان متغیر شوک‌های عدم اطمینان بر بازار مسکن در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان
یونس بریانی
حسن حیدری
سید جمال الدین محسنی زنوزی
گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران
10.22034/efp.2026.2082560.1008
چکیده
این مطالعه به بررسی تأثیر زمان‌متغیر شوک‌های نااطمینانی بر بازار مسکن ایران با بهره‌گیری از داده‌های فصلی دوره ۱۳۷۱:۱ تا ۱۴۰۲:۴ می‌پردازد. الگوی TVP-FAVAR برای استخراج ضرایب متغیر در طول زمان و متغیر پروانه‌های ساختمانی به‌عنوان شاخص پیش‌نگر عرضه مسکن به‌کار رفته است. نتایج حاکی از اثر منفی، معنادار و شدیداً زمان‌متغیر نااطمینانی بر پروانه‌های ساختمانی است. عمق و ماندگاری این اثر از دهه ۱۳۹۰ و مقارن با تشدید تحریم‌ها و جهش‌های ارزی افزایش چشمگیری یافته است، به‌گونه‌ای که واکنش منفی نه‌تنها در افق کوتاه‌مدت، بلکه در میان‌مدت و بلندمدت نیز پایدار مانده است. این یافته‌ها با سازوکار اختیار واقعی و کانال اصطکاک‌های اعتباری سازگار بوده و نشان می‌دهند نااطمینانی مزمن، افق برنامه‌ریزی سازندگان را به‌طور ساختاری تخریب می‌کند. همچنین، یک سازوکار دوگانه شناسایی شد: نااطمینانی هم‌زمان از مسیر تقاضای سفته‌بازانه، قیمت‌ها را افزایش داده و از مسیر انقباض پروانه‌ها، عرضه آتی را محدود می‌کند؛ چرخه‌ای خودتقویت‌شونده که بازار را از کارکرد تأمین سرپناه دور می‌سازد. ثبات‌بخشی به سیاست‌های ارزی و پولی، طراحی ابزارهای تأمین مالی پوشش‌دهنده ریسک، و هماهنگی سیاستی برای گسست این چرخه، دلالت‌های اصلی پژوهش را تشکیل می‌دهند. در این راستا، اتخاذ نظام ارزی مبتنی بر قاعده، شفافیت‌بخشی به سیاست پولی برای مهار انتظارات تورمی، و ایجاد صندوق‌های تضمین ریسک ساخت‌وساز و بیمه نوسانات نرخ ارز برای نهاده‌های ساختمانی می‌تواند با کاهش ریسک ادراک‌شده توسط سازندگان، افق برنامه‌ریزی سرمایه‌گذاری را حتی در مقاطع نااطمینانی حفظ کرده و از تشدید بحران عرضه در آینده جلوگیری نماید.

چکیده تصویری

تاثیر زمان متغیر شوک‌های عدم اطمینان بر بازار مسکن در ایران
کلیدواژه‌ها
شوک‌های عدم‌اطمینان
بازار مسکن
سیاست های اقتصادی
متغیرهای کلان اقتصادی
موضوعات

عنوان مقاله English

Time-Varying Effects of Uncertainty Shocks on Iran’s Housi

نویسندگان English

Younes Baryani
Hasan Heydari
Seyyed Jamaluddin Mohseni Zenozi
Department of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran
چکیده English

This study investigates the time-varying impact of uncertainty shocks on Iran's housing market, employing a Time-Varying Parameter Factor-Augmented Vector Autoregression (TVP-FAVAR) model using seasonal (quarterly) data over the period from 1992 Q1 (1371:1) to 2024 Q4 (1402:4). Focusing on building permits as a forward-looking indicator of construction activity, the empirical results reveal a negative, significant, and markedly time-varying effect of economic policy uncertainty on housing supply. The findings demonstrate that the magnitude and persistence of this adverse effect have intensified considerably since the 2010s, coinciding with periods of heightened sanctions, currency crises, and mounting macroeconomic instability. The response of building permits to uncertainty shocks exhibits a distinct non-linear pattern, with deeper and more prolonged contractions during episodes of chronic uncertainty compared to relatively moderate responses observed in earlier decades. Theoretically, the results align with the real options framework, wherein heightened uncertainty increases the option value of delaying irreversible construction investments, while also operating through credit frictions and precautionary savings channels. The study further uncovers a dual mechanism in Iran's housing market: uncertainty simultaneously stimulates speculative demand and price inflation while contracting future supply through reduced construction permits, thereby creating a self-reinforcing cycle of instability. These findings underscore that stabilizing the macroeconomic environment, particularly exchange rate and monetary policies, constitutes a prerequisite for reviving housing construction activity, and that piecemeal housing sector interventions are unlikely to prove effective without broader macroeconomic stability.

کلیدواژه‌ها English

Uncertainty Shocks
Housing Market
Economic Policies
Macroeconomic Variables
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Baek, I. , Liu, J., & Noh, S. (2024). Real estate uncertainty and financial conditions over the business cycle. International Review of Economics & Finance, 89, 656-675.
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Baek, I. , Liu, J., & Noh, S. (2024). Real estate uncertainty and financial conditions over the business cycle. International Review of Economics & Finance, 89, 656-675.
Balcilar, M. , Roubaud, D., Uzuner, G., & Wohar, M. E. (2021). Housing sector and economic policy uncertainty: A GMM panel VAR approach. International Review of Economics & Finance, 76, 114-126.
Bernanke, B. S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85–106.
Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685.
Cepni, O. , Marfatia, H. A., & Gupta, R. (2025). The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom. Humanities and Social Sciences Communications, 12(1), 195.
Christou, C. , Gupta, R., & Nyakabawo, W. (2019). Time-varying impact of uncertainty shocks on the US housing market. Economics Letters, 15–20.
Dixit, A. K. , & Pindyck, R. S. (1994). Investment Under Uncertainty. Princeton University Press.
Durmaz, N. , & Sun, F. (2025). Does economic policy uncertainty affect housing prices? Evidence from Asia Pacific countries. Journal on International Studies, 18(1), 9-21.
El Montasser, G. , Ajmi, A. N., Chang, T., Simo-Kengne, B. D., Andre, C., & Gupta, R. (2016). Cross country evidence on the causal relationship between policy uncertainty and house prices. Journal of Housing Research, 25(2), 195–211.
Firoozjaei, B., Aghaei, M., & Vaez Barzani, M. (2024). Asymmetric effects of economic policies on the public housing sector using a dynamic stochastic general equilibrium approach. Iqtisād va Tijārat-i Nuvīn (Modern Economics and Trade), 15(2), 29-68 (In Persian).
Gholizadeh, A. A. , & Sajjadi, H. (2010). Estimating the housing investment function in urban areas of Iran using the Tobin's Q approach. Economic Policy Making, 3, 71–106 (In Persian).
Gilchrist, S. , Sim, J. W., & Zakrajšek, E. (2014). Uncertainty, Financial Frictions, and Investment Dynamics. NBER Working Paper No. 20038.
Golpaygani, A. R., Mirjalili, S. H., & Afshari, Z. (2026). The impact of the economic uncertainty index on the growth rate of prices and changes in the number of housing transactions in Iran. Naz̤ariyyahā-yi Kārburdī-i Iqtisād (Applied Theories of Economics), 13(4), 123-148. (In Persian).
Holland, A. S. , Ott, S. H., & Riddiough, T. J. (2009). The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data. Real Estate Economics, 37(3), 441–472.
Huang, M. (2025). Shock Waves: Mapping the Impact of Uncertainty on US Urban Housing Markets.
Jurado, K. , Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177–1216.
Kamali Dehkordi, P. (2021). Analysis of the effect of currency shock, economic sanctions and oil prices on the housing market (Using structural vector-autoregressive SVAR). Quarterly Journal of Applied Theories of Economics, 7(4), 27-56 (In Persian).
Lashkari, M., & Ashraf Ganjavi, R. (2025). Investigating the impact of uncertainty of factors affecting the housing price index with emphasis on the stock market index. Iqtisād va Barnāmahʹrīzī-i Shahrī (Economics and Urban Planning), 6(2), 100-113. (In Persian).
Mohseni Zanouzi, S. J. , Asgari, H., & Ebrahimi, M. H. (2015). The impact of fiscal policy on asset prices and its uncertainty in Iran. Scientific-Research Journal of Asset Management and Financing, 3(3), 107-130 (In Persian).
Mumtaz, H. , & Theodoridis, K. (2018). The changing transmission of uncertainty shocks in the U.S. Journal of Business & Economic Statistics, 36(2), 239–252.