The effect of monetary policy on real house price growth in South Africa : a factor-augmented vector autoregression (FAVAR) approach

dc.contributor.authorGupta, Rangan
dc.contributor.authorJurgilas, Marius
dc.contributor.authorKabundi, Alain
dc.date.accessioned2010-04-14T06:13:54Z
dc.date.available2010-04-14T06:13:54Z
dc.date.issued2010-01
dc.description.abstractThis 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.citationGupta, 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.issn0264-9993
dc.identifier.other10.1016/j.econmod.2009.09.011
dc.identifier.urihttp://hdl.handle.net/2263/13912
dc.language.isoenen
dc.publisherElsevieren
dc.rightsElsevieren
dc.subjectFactor augmented vector autoregression (FAVAR)en
dc.subject.lcshMonetary policy -- South Africa -- Mathematical modelsen
dc.subject.lcshHousing -- Prices -- South Africaen
dc.subject.lcshReal property -- Prices -- South Africaen
dc.titleThe effect of monetary policy on real house price growth in South Africa : a factor-augmented vector autoregression (FAVAR) approachen
dc.typePostprint Articleen

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