dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Jurgilas, Marius
|
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dc.contributor.author |
Kabundi, Alain
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dc.date.accessioned |
2010-04-14T06:13:54Z |
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dc.date.available |
2010-04-14T06:13:54Z |
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dc.date.issued |
2010-01 |
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dc.description.abstract |
This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated using a large data set comprising of 246 quarterly series over the period 1980:01 to 2006:04. The results based on the impulse response functions indicate that, in general, house price inflation responds negatively to monetary policy shock, but the responses are heterogeneous across the middle-, luxury- and affordable-segments of the housing market. The luxury-, large-middle- and medium-middle-segments are found to respond much more than the small-middle- and the affordable-segments of the housing market. More importantly, we find no evidence of the home price puzzle, observed previously by other studies that analyzed house prices using small-scale models. We put this down to the benefit gained from using a large information set. |
en |
dc.identifier.citation |
Gupta, R, Jurgilas, M & Kabundi, A 2010, 'The effect of monetary policy on real house price growth in South Africa: a factor-augmented vector autoregression (FAVAR) approach', Economic Modelling, vol. 27, no. 1, pp. 315-323. [http://www.sciencedirect.com/science/journal/02649993] |
en |
dc.identifier.issn |
0264-9993 |
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dc.identifier.other |
10.1016/j.econmod.2009.09.011 |
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dc.identifier.uri |
http://hdl.handle.net/2263/13912 |
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dc.language.iso |
en |
en |
dc.publisher |
Elsevier |
en |
dc.rights |
Elsevier |
en |
dc.subject |
Factor augmented vector autoregression (FAVAR) |
en |
dc.subject.lcsh |
Monetary policy -- South Africa -- Mathematical models |
en |
dc.subject.lcsh |
Housing -- Prices -- South Africa |
en |
dc.subject.lcsh |
Real property -- Prices -- South Africa |
en |
dc.title |
The effect of monetary policy on real house price growth in South Africa : a factor-augmented vector autoregression (FAVAR) approach |
en |
dc.type |
Postprint Article |
en |