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IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL

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

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) models in which parameters change according to the phase of the housing cycle. The results...

Persistent link: https://www.econbiz.de/10010603882

Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model

Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - In: Economic Modelling 32 (2013) C, pp. 161-171

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle. The results...

Persistent link: https://www.econbiz.de/10010664390

Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode

Kengne, Beatrice D. Simo -; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2012

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) in which parameters change according to the phase of the housing cycle. The results suggest...

Persistent link: https://www.econbiz.de/10010582201