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Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach

Andre, Christophe; Gil-Alana, Luis A.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This paper analyses comovement in housing prices across the euro area. We use techniques based on the concepts of fractional integration and cointegration. Our results indicate that all the individual log-real price indices series display orders of integration which are above one, implying long...

Persistent link: https://www.econbiz.de/10010739945

“Ripple Effects” and Forecasting Home Prices In Los Angeles, Las Vegas, and Phoenix

Gupta, Rangan; Miller, Stephen M. - Department of Economics, Faculty of Economic and … - 2009

We examine the time-series relationship between housing prices in Los Angeles, Las Vegas, and Phoenix. First, temporal Granger causality tests reveal that Los Angeles housing prices cause housing prices in Las Vegas (directly) and Phoenix (indirectly). In addition, Las Vegas housing prices cause...

Persistent link: https://www.econbiz.de/10005773186

Bubbles in South African House Prices and their Impact on Consumption

Das, Sonali; Gupta, Rangan; Kanda, Patrick T - Department of Economics, Faculty of Economic and … - 2010

:Q3, based on the unit root test developed by Phillips et al. 2010. This test allows us to detect whether a bubble exists … indicate significant spillovers, though there is no evidence of the effect being higher during the bubble period. Finally, we … deceleration but not to acceleration, with this effect also not showing any evidence of being higher during the identified bubble …

Persistent link: https://www.econbiz.de/10008534509

Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test

Emirmahmutoglu, Furkan; Balcilar, Mehmet; Apergis, Nicholas - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...

Persistent link: https://www.econbiz.de/10011149765

The Time-Series Linkages between US Fiscal Policy and Asset Prices

Montasser, Ghassen El; Gupta, Rangan; Jooste, Charl; … - Department of Economics, Faculty of Economic and … - 2015

This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...

Persistent link: https://www.econbiz.de/10011212744

House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data

Simo-Kengne, Beatrice D.; Bittencourt, Manoel; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011

This paper empirically examines the effect of house price changes on economic growth across provinces in South Africa. The economic impact of house prices is estimated using a panel data set that covers all nine provinces in South Africa from 1996 to 2010. We find that when heterogeneity,...

Persistent link: https://www.econbiz.de/10009225818

Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure

Apergis, Nicholas; Simo-Kengne, Beatrice D.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This empirical study analyses the long run behaviour of provincial house prices in South Africa based on the club convergence and clustering procedure of Phillips and Sul (2007). Using quarterly data covering the period of 1974Q1 to 2012Q4, 1976Q2 to 2012Q4, 1974Q1 to 2012 Q4 and 1977Q3 to...

Persistent link: https://www.econbiz.de/10010764582

The Causal Relationship between House Prices and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests

Chang, Tsangyao; Simo-Kengne, Beatrice D.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This paper analyses the causal relationship between housing activity and growth in nine provinces of South Africa for the period 1995-2011, using panel causality analysis, which accounts for cross-section dependency and heterogeneity across provinces. Our empirical results support unidirectional...

Persistent link: https://www.econbiz.de/10010734412

THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs

Simo-Kengne, Beatrice D.; Gupta, Rangan; Bittencourt, Manoel - Department of Economics, Faculty of Economic and … - 2012

This paper provides an empirical analysis of the role of house prices in determining the dynamic behaviour of consumption in South Africa using a panel vector autoregression (PVAR) approach to provincial level panel data covering the period of 1996 to 2010. With the shocks being identified using...

Persistent link: https://www.econbiz.de/10009654183

Relationship between House Prices and Inflation in South Africa: An ARDL Approach

Inglesi-Lotz, Roula; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011

This paper investigates the long-run impact of inflation on homeowner equity in South Africa by analysing the relationship between house prices and the prices of non-housing goods and services. Quarterly data series are collected for the luxury, large middle-segment, medium middle-segment, small...

Persistent link: https://www.econbiz.de/10010545740