Testing for Persistence with Breaks and Outliers in South African House Prices

Luis Gil-Alana, Goodness Aye () and Rangan Gupta
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Goodness Aye: Department of Economics, University of Pretoria

No 201233, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large, medium and small sizes), covering the periods 1966:Q1-2012:Q1 for the different middle-segments, 1966:Q3-2012:Q1 for the luxury segment and 1969:Q4-2012:Q1 for the affordable segment. In general, there is persistence in South African house prices with breaks identified. Our results show that in the cases of affordable and luxury, shocks will be transitory, disappearing in the long run, while for the remaining four series of the middle-segment, shocks will be permanent. Hence, for the middle-segment series strong policy measures must be adopted in the event of negative shocks, in order to recover the original trends.

Keywords: House prices; persistence; breaks; fractional integration; South Africa (search for similar items in EconPapers)
JEL-codes: C16 R21 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2012-12
New Economics Papers: this item is included in nep-afr
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Related works:
Working Paper: Testing for persistence with breaks and outliers in South African house prices (2013)
Working Paper: Testing for Persistence with Breaks and Outliers in South African House Prices (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201233

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