The interaction between property returns and the macroeconomy: Evidence from South Africa

Mabutho Sibanda () and Dr. Richard Mhlanga
Additional contact information
Mabutho Sibanda: Lecturer- School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, South Africa
Dr. Richard Mhlanga: Director - Graduate School of Business, National University of Science & Technology Bulawayo, Zimbabwe

International Journal of Business and Social Research, 2013, vol. 3, issue 4, 146-152

Abstract: A study on the interactions between property returns and the macro-economy in the UK provides contrasting results with those based on the American economy which forms the basis for this research (Brooks and Tsolacos 1999). This study therefore employs a vector autoregressive models to establish the interactions between macroeconomic and financial variables on the South African economy, a proxy for developing and transitional economies. Property assets have generally been viewed as value-growth assets due to their inflation tracking nature. Values of property-based assets may be measured through direct measures and/or equity-based measures. The two different methods of measuring the value of property-based assets available are shrouded with drawbacks although equity-based measures are theoretically preferred. This study uses direct measures to determine the impulse response functions and variance decompositions on the rate of short-term nominal rates, long-term and short-term interest differentials, inflation rate and household debt/ disposable income in South Africa.

Keywords: property returns; macroeconomic; vector autoregressive; granger causality; impulse responses (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://thejournalofbusiness.org/index.php/site/article/view/39/38 (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:lrc:larijb:v:3:y:2013:i:4:p:146-152

Access Statistics for this article

More articles in International Journal of Business and Social Research from LAR Center Press
Bibliographic data for series maintained by Al Hossain ().