dc.contributor.author |
Simo-Kengne, Beatrice Desiree
|
|
dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Reid, Monique
|
|
dc.contributor.author |
Aye, Goodness Chioma
|
|
dc.date.accessioned |
2013-06-05T08:59:34Z |
|
dc.date.available |
2013-06-05T08:59:34Z |
|
dc.date.issued |
2013-05 |
|
dc.description.abstract |
This paper examines asymmetries in the impact of monetary policy on the middle segment of
the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector
autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle.
The results suggest that monetary policy is not neutral as house price growth decreases substantially with
a contractionary monetary policy. We find that the impact of monetary policy is larger in bear regime than
in bull regime; indicating the role of information asymmetry in reinforcing the financial constraint of
economic agents. As expected, monetary policy reaction to a positive house price shock is found to be
stronger in the bull regime. This suggests that central banks react more in bull regime in order to prevent
potential crisis related to the subsequent bust in house prices bubbles which are more prominent in bull
markets. These results substantiate important asymmetries in the dynamics of house prices in relation to
monetary policy, vindicating the advantages of generating regime dependent impulse response functions. |
en_US |
dc.description.librarian |
hb2013 |
en_US |
dc.description.librarian |
ff2013 |
|
dc.description.uri |
www.elsevier.com/locate/ecmod |
en_US |
dc.identifier.citation |
Simo-Kengne, BD, Balcilar, M, Gupta, R, Reid, M & Aye, GC 2013, 'Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model', Economic Modeling, vol. 32, no. 1, pp. 161-171. |
en_US |
dc.identifier.issn |
0264-9993 (print) |
|
dc.identifier.issn |
1873-6122 (online) |
|
dc.identifier.other |
10.1016/j.econmod.2013.02.006 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/21589 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Elsevier |
en_US |
dc.rights |
© 2013 Elsevier. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economic Modelling, vol. 32, no. 1, 2013, DOI.org/ 10.1016/j.econmod.2013.02.006. |
en_US |
dc.subject |
Monetary policy |
en_US |
dc.subject |
House prices |
en_US |
dc.subject |
Regime switching |
en_US |
dc.subject.lcsh |
Monetary policy -- South Africa |
en |
dc.subject.lcsh |
Housing -- Prices -- South Africa |
en |
dc.title |
Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model |
en_US |
dc.type |
Postprint Article |
en_US |