Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function
Tsangyao Chang (),
Goodness C. Aye and
Rangan Gupta ()
Global Business and Economics Review, 2016, vol. 18, issue 5, 517-532
This study applies the panel KSS test with a Fourier function through the sequential panel selection method, proposed by Chortareas and Kapetanios (2009), to test whether housing bubbles exist in South Africa using the ratio of housing price to income in nine provinces (i.e., Eastern Cape, Free State, Gauteng, KwaZulu-Natal, Limpopo, Mpumalanga, North West, Northern Cape, and Western Cape). Whereas, other panel-based unit root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of integrated of order zero (I(0)) series and integrated of order one (I(1)) series in a panel setting, the SPSM-based panel KSS with a Fourier function can clearly identify how many and which series in the panel are stationary processes by classifying a whole panel into a group of stationary and non-stationary series. The empirical results from several traditional panel-based, as well as standard pure time-series unit root tests indicate that house price/income ratios for the nine provinces studied here are either stationary or non-stationary. However, results from the SPSM-based panel KSS with a Fourier function unequivocally indicate that house price/income ratios are stationary for the nine provinces under study. These results indicate that housing bubbles do not exist in the nine provinces of South Africa. Our test results have important economic and policy implications for South Africa.
Keywords: house prices; income; panel KSS unit root test; Fourier function; sequential panel selection method; SPSM; non-stationary; housing bubbles; South Africa; price-income ratios. (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:18:y:2016:i:5:p:517-532
Access Statistics for this article
More articles in Global Business and Economics Review from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().