Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model

Rangan Gupta and Xiaojin Sun

No 201641, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper evaluates, for the first time, the impact of housing market spillovers on a small open economy, namely South Africa, using a small-open economy new Keynesian dynamic stochastic general equilibrium model (SOE-NKDSGE) which explicitly incorporates a housing sector. Using quarterly data covering the period of 1971:Q1-2015:Q3, we obtain the following set of results: (a) Over the business cycle, the housing preference shock and the technology shock in the consumption sector drive most of the fluctuations of real house price; (b) The spillover effects of the housing market to the boarder economy are not negligible; (c) The central bank of South Africa has actively responded to house price movements over the past 45 years; and (d) The flexible exchange rate policy has helped South Africa maintain the macroeconomic stability to a large extent.

Keywords: Housing Market; Spillovers; Monetary Policy; Dynamic Stochastic General Equilibrium Model; South Africa (search for similar items in EconPapers)
JEL-codes: E21 E32 E44 E52 R31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-05
New Economics Papers: this item is included in nep-dge, nep-mac, nep-net and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201641

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().