Housing and the business cycle in South Africa

dc.contributor.authorAye, Goodness Chioma
dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorBosch, Adel
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2014-08-12T06:03:43Z
dc.date.available2014-08-12T06:03:43Z
dc.date.issued2014-05
dc.description.abstractThis paper examines the housing-output growth nexus in South Africa by accounting for the time variationin the causal link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real grossdomestic product, real house prices, real gross fixed capital formation and number of building plans passed.Our data span 1971Q2–2012Q2. Using full sample bootstrap Granger causality tests, we find a uni-directionalcausality from output to number of building plans passed; a uni-directional causality from real house price tooutput and a bi-directional causal link between residential investment and output. However, using parameterstability tests, we show that estimated VARs are unstable, thus full-sample Granger causality inference maybe invalid. Hence, we use a bootstrap rolling window estimation to evaluate Granger causality between thehousing variables and the growth rate. In general, we find that the causality from housing to output and, viceversa, differ across different sample periods due to structural changes. Specifically speaking, house price isfound to have the strongest causal relationship with output compared to residential investment and numberof building plans passed, with real house price showing predictive ability in all but one downward phase ofthe business cycle during this period.en_US
dc.description.librarianhb2014en_US
dc.description.urihttp://elsevier.com/locate/jpmen_US
dc.identifier.citationAye, GC, Balcilar, M, Bosch, A & Gupta, R 2014, 'Housing and the business cycle in South Africa', Journal of Policy Modeling, vol. 36, no. 3, pp. 471-491.en_US
dc.identifier.issn0161-8938 (print)
dc.identifier.issn1873-8060 (online)
dc.identifier.other10.1016/j.jpolmod.2014.03.001
dc.identifier.urihttp://hdl.handle.net/2263/41166
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2014 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of Policy Modeling. 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 Journal of Policy Modeling, vol. 36, no. 3, pp. 471-491, 2014. doi : 10.1016/j.jpolmod.2014.03.001.en_US
dc.subjectHouse priceen_US
dc.subjectResidential investmenten_US
dc.subjectBootstrapen_US
dc.subjectTime varying causalityen_US
dc.subjectGross domestic product (GDP)en_US
dc.titleHousing and the business cycle in South Africaen_US
dc.typePostprint Articleen_US

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