Showing 1 - 10 of 16
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
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
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
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
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
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
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
This paper analyses the relationship between house prices and the trade balance in South Africa using an agnostic identification procedure. This method allows a housing demand shock to be identified in an eight-variable VAR model by imposing sign restrictions on the impulse responses of consumer...
Persistent link: https://www.econbiz.de/10010604670
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/10010891035
This paper investigates whether changes in monetary transmission mechanism respond to variations in asset prices. We distinguish between bull and bear markets and employ a TVP- VAR approach with stochastic volatility to assess the evolution of the monetary policy in relation to housing and stock...
Persistent link: https://www.econbiz.de/10010891043