Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa

Robert Mwanyepedza and Syden Mishi

International Journal of Housing Markets and Analysis, 2023, vol. 17, issue 7, 1-26

Abstract: Purpose - The study aims to estimate the short- and long-run effects of monetary policy on residential property prices in South Africa. Over the past decades, there has been a monetary policy shift, from targeting money supply and exchange rate to inflation. The shifts have affected residential property market dynamics. Design/methodology/approach - The Johansen cointegration approach was used to estimate the effects of changes in monetary policy proxies on residential property prices using quarterly data from 1980 to 2022. Findings - Mortgage finance and economic growth have a significant positive long-run effect on residential property prices. The consumer price index, the inflation targeting framework, interest rates and exchange rates have a significant negative long-run effect on residential property prices. The Granger causality test has depicted that exchange rate significantly influences residential property prices in the short run, and interest rates, inflation targeting framework, gross domestic product, money supply consumer price index and exchange rate can quickly return to equilibrium when they are in disequilibrium. Originality/value - There are limited arguments whether the inflation targeting monetary policy framework in South Africa has prevented residential property market boom and bust scenarios. The study has found that the implementation of inflation targeting framework has successfully reduced booms in residential property prices in South Africa.

Keywords: Residential property prices; Mortgage finance; Interest rates; Inflation targeting regime; Exchange rates; Johansen cointegration; R1; E5 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)

Related works:
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:eme:ijhmap:ijhma-09-2023-0126

DOI: 10.1108/IJHMA-09-2023-0126

Access Statistics for this article

International Journal of Housing Markets and Analysis is currently edited by Dr Richard Reed

More articles in International Journal of Housing Markets and Analysis from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().