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 Desiree; Balcılar, Mehmet; Gupta, Rangan; Reid, Monique; Aye, Goodness C.

doi:10.1016/j.econmod.2013.02.006

Cited by 38 publications

(22 citation statements)

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“…2011;Ncube and Ndou 2011;Aye, Gupta, and Modise 2012;Peretti, Gupta, and Inglesi-Lotz 2012;and Simo-Kengne, Gupta, and Bittencourt forthcoming). Also, the timevarying approaches of Aye, Gupta, and Modise (2012) and Peretti, Gupta, and Inglesi-Lotz (2012) show that the South African economy began slowing by the end of 2007, as the stock and housing markets entered deep bear markets (Venter 2011 andSimo-Kengne et al 2013).…”

Section: Introductionmentioning

confidence: 99%

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

et al. 2012

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This study assesses how fiscal policy affects the dynamics of asset markets, using Bayesian vector autoregressive models. We use sign restrictions to identify government revenue and government spending shocks, while controlling for generic business cycle and monetary policy shocks. Using South African quarterly data from 1966:Q1 to 2011:Q2, we find that fiscal spending shocks affect stock prices more than house prices. Both spending and revenue shocks affect stock prices whereas only revenue shocks affect house prices.

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Section: Introductionmentioning

confidence: 99%

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

et al. 2012

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“…Switching regressions are models allowing the estimated parameters to change depending on the realization of one among many unobservable states. This approach developed by Golfeld and Quandt (1973) is now commonly used for the estimation of asymmetries in economic patterns (Simo-Kengne et al 2013). In this paper, it is assumed that throughout period from January 1982 to February 2019, US crude oil production switches between two unobservable states: bull market corresponding to high oil production and bear market corresponding to low oil production.…”

Section: Markov-switching Modelmentioning

confidence: 99%

A Markov-switching dynamic regression analysis of the asymmetries related to the determinants of US crude oil production between 1982 and 2019

Temkeng

Fofack

2021

Pet. Sci.

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The structural changes brought about by shale oil revolution have inspired this paper of which the aim is to analyze the potential asymmetries related to the determinants of crude oil production in the USA. Thus, using a Markov-switching dynamic regression model in which parameters change when oil production moves from one regime to the other, it is found that for both oil production and oil relative importance, the regime that was dominant during the 1980s and the early 1990s when oil production in the USA was substantially high is the same regime that has once again become dominant in the decade corresponding to the shale oil revolution. Furthermore, the study reveals the existence of asymmetries in the relationship between US crude oil production and both manufacturing production and the consumer price index. Asymmetries are also found in the relationship between the relative importance US crude oil and manufacturing production. Finally, it is found that the intercept and the variance parameter also vary from one regime to the other, thus justifying the use of regime-dependent models.

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“…Regarding the interdependence between monetary policy and house price movements, many studies have found that monetary policy significantly affects house prices, especially when it is too liberal. Indeed, house price booms are typically preceded by periods of loose monetary policy (Dokko et al (2011);Seyfried (2010); Ahearne et al (2008); Simo-Kengne et al (2013); Taylor (2007); Greiber and Setzer (2007); Jarocinski and Smets (2008); Antipa and Lecat (2009); Escobari et al (2013)). Monetary policy can affect house prices through several channels.…”

Section: Literature Reviewmentioning

confidence: 99%

Housing Market Stability, Mortgage Market Structure and Monetary Policy: Evidence from the Euro Area

Zhu¹,

Betzinger²,

Sebastian³

2016

25th Annual European Real Estate Society Conference

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This paper investigates how monetary policy stance and mortgage market structure affect nonfundamental house price movements in eleven Euro area countries. Based on a three-stage approach, our empirical evidence suggests that a one-time monetary-easing shock can significantly trigger house price booms in Euro area countries with liberal mortgage markets. Such shocks can explain over 20% of the forecasting error variance of non-fundamental house price runups in Ireland and Spain. We find that, in countries with more regulated mortgage markets, monetary policy stance does not significantly affect non-fundamental house prices. Policymakers may wish to focus on limiting mortgage equity withdrawals and on monitoring loan-to-value ratios and tax policies in order to minimize the side effects of accommodative monetary policies on housing market stability for Euro area countries. We posit that this is especially true for peripheral countries, which are more likely to be subjected to overly loose monetary policy stances.

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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

Cited by 38 publications

References 38 publications

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

A Markov-switching dynamic regression analysis of the asymmetries related to the determinants of US crude oil production between 1982 and 2019

Housing Market Stability, Mortgage Market Structure and Monetary Policy: Evidence from the Euro Area

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