Could we have predicted the recent downturn in the South African housing market?

Das, Sonali; Gupta, Rangan; Kabundi, Alain

doi:10.1016/j.jhe.2009.04.004

Cited by 27 publications

(14 citation statements)

References 39 publications

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“…If, however, stronger effects come from longer lags, the data can override this initial restriction. Researchers impose the constraints by specifying normal prior 9 The discussion in this section relies heavily on LeSage (1999), Gupta and Sichei (2006), Gupta (2006), Gupta andMiller (2009a, 2009b), and Das et al, (2009 We estimate the alternative BVARs using Theil' s (1971) mixed estimation technique.…”

Section: Var Bvar and Lbvarmentioning

confidence: 99%

Forecasting the US real house price index: Structural and non-structural models with and without fundamentals

2011

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Section: Var Bvar and Lbvarmentioning

confidence: 99%

Forecasting the US real house price index: Structural and non-structural models with and without fundamentals

2011

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“…(Forni et al, 2003;Stock and Watson, 2003;Gupta and Das, 2010;Das et al, 2009;Gupta and Hartley, 2013). The housing construction sector represents a large part of total economic activity expressed in the GDP.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Forecasting the U.S. real house price index

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“…A number of studies have been conducted for the South African housing sector focusing on forecasting housing prices, impact of monetary policy on housing prices, "ripple" effects and convergence, and the impact of housing prices on consumption (a few recent examples: Burger and van Rensburg, 2008;Gupta & Das, 2008;Das, Gupta, & Kabundi, 2009;Gupta, Jurgilas, & Kabundi, 2010;Das, Gupta, & Kaya, 2010;Balcilar, Gupta, & Shah, 2011;Balcilar, Beyene, Gupta, & Seleteng, forthcoming; Das, Gupta and Kanda, 2011), however, none of the papers have shed light into the relationship between housing and general prices in South Africa to date.…”

Section: Introductionmentioning

confidence: 99%

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

Inglesi‐Lotz

Gupta

2013

International Journal of Strategic Property Management

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This paper investigates whether house prices provide a suitable hedge against inflation in South Africa by analysing the long-run 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 middle-segment and the entire middle segment of house prices, as well as, the consumer price index excluding housing costs for the period 1970:Q1-2011:Q1. Based on autoregressive distributed lag (ARDL) models, the empirical results indicate long-run cointegration between the house prices of all the segments and the consumer price index excluding housing costs. Moreover, the long-run elasticity of house prices with respect to prices of nonhousing goods and services, i.e., the Fisher coefficient is greater than one for the luxury segment, virtually equal to one for the small middle-segment, and less than one for the large and medium middle-segments, as well as the affordable segments. More importantly though, the estimated Fisher coefficients are not statistically different from unity -a result consistent with the proposed theoretical framework relating housing prices and consumer prices excluding housing expenditure. In general, we infer that house prices in South Africa provide a stableinflation hedge in the long-run.

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Could we have predicted the recent downturn in the South African housing market?

Cited by 27 publications

References 39 publications

Forecasting the US real house price index: Structural and non-structural models with and without fundamentals

Forecasting the US real house price index: Structural and non-structural models with and without fundamentals

Forecasting the U.S. real house price index

The Long-Run Relationship Between House Prices and Inflation in South Africa: An Ardl Approach

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