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Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - Department of Economics, Faculty of Economic and … - 2012

house price shock over the entire sample, with the effect being stronger post financial liberalization. On the other hand, a … positive delayed response of nominal interest rate followed a house price shock, with the effect being weaker post financial …

Persistent link: https://www.econbiz.de/10010552942

Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure

Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2011

demand shock in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices … left unrestricted. The results suggest that consumption responds positively and significantly to a house price shock in … follows a house price shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond …

Persistent link: https://www.econbiz.de/10009323420

Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2012

This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

Persistent link: https://www.econbiz.de/10010658702

Oil Price Uncertainty and Manufacturing Production in South Africa

Aye, Goodness C.; Dadam, Vincent; Gupta, Rangan; Mamba, … - Department of Economics, Faculty of Economic and … - 2013

Given the rapid rise and volatility of oil prices, the paper investigates the effect of oil price uncertainty on the South African manufacturing production using monthly observations covering the period 1974:02 to 2012:12. In addition, we quantify the responses of manufacturing production to...

Persistent link: https://www.econbiz.de/10010711934

Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach

Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012

VAR, the nonlinear VAR has a bigger impact of a monetary policy shock on output and price. In general, we conclude that …

Persistent link: https://www.econbiz.de/10009397137

Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011

This paper provides empirical evidence on the long- and short-run relationships between real house and stock prices of South Africa. Standard linear tests may not detect the existence of long- and short-run relationships between time series especially in the presence of structural shifts or...

Persistent link: https://www.econbiz.de/10009401049

MACRO SHOCKS AND HOUSE PRICES IN SOUTH AFRICA

Simo-Kengne, Beatrice D.; Gupta, Rangan; Aye, Goodness C. - Department of Economics, Faculty of Economic and … - 2013

This paper analyses the economic sources underlying the comovement of real house prices in South Africa. We use quarterly provincial-level data from 1974:Q1 to 2011:Q4. First, we disentangle the national component of real house price movements from the local (provincial or region-specific)...

Persistent link: https://www.econbiz.de/10010667462

Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach

Nyakabawo, Wendy; Miller, Stephen M.; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2013

This paper examines the causal relationships between the real house price index and real GDP per capita in the U.S., using the bootstrap Granger (temporal) non-causality test and a fixed-size rolling-window estimation approach. We use quarterly time-series data on the real house price index and...

Persistent link: https://www.econbiz.de/10010891729

Housing and the Business Cycle in South Africa

Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013

This paper examines the housing-output growth nexus in South Africa by accounting for the time variation in the causal link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real gross domestic product, real house prices, real gross fixed capital formation and...

Persistent link: https://www.econbiz.de/10010748379

Housing and the Great Depression

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - Department of Economics, Faculty of Economic and … - 2013

This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from...

Persistent link: https://www.econbiz.de/10010754109