کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5055900 | 1371503 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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![عکس صفحه اول مقاله: The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach](/preview/png/5055900.png)
چکیده انگلیسی
This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated using 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 27, Issue 1, January 2010, Pages 315-323
Journal: Economic Modelling - Volume 27, Issue 1, January 2010, Pages 315-323
نویسندگان
Rangan Gupta, Marius Jurgilas, Alain Kabundi,