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Title The Effect of monetary policy on real house price growth in South Africa: a factor augmented vector autoregression (FAVAR) approach
Full text http://hdl.handle.net/2263/9110
Date 2009
Author(s) Gupta, Rangan; Kabundi, Alain
Contributor(s) rangan.gupta@up.ac.za.
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 based on 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.
Subject(s) Monetary policy; Real house price growth; Factor augmented vector autoregression (FAVAR); Monetary policy -- South Africa; Housing -- Prices -- South Africa
Language en
Publisher University of Pretoria, Department of Economics
Relation Working Paper (University of Pretoria, Department of Economics); 2009-05
Type of publication Working Paper
Rights University of Pretoria, Department of Economics
Identifier Gupta, R & Kabundi, A 2009, 'The Effect of monetary policy on real house price growth in South Africa: a factor augmented vector autoregression (FAVAR) approach', University of Pretoria, Department of Economics, Working paper series, no. 2009-05. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]
Repository Pretoria - University of Pretoria, UPSpace
Added to C-A: 2009-06-22;10:14:15