The effect of monetary policy on real house price growth in South Africa : a factor-augmented vector autoregression (FAVAR) approach
dc.contributor.author | Gupta, Rangan | |
dc.contributor.author | Jurgilas, Marius | |
dc.contributor.author | Kabundi, Alain | |
dc.date.accessioned | 2010-04-14T06:13:54Z | |
dc.date.available | 2010-04-14T06:13:54Z | |
dc.date.issued | 2010-01 | |
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 | |
dc.identifier.other | 10.1016/j.econmod.2009.09.011 | |
dc.identifier.uri | http://hdl.handle.net/2263/13912 | |
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 |