Asymmetric Pass-through Effects from Monetary Policy to Housing Prices in South Africa
Andrew Phiri ()
Managing Global Transitions, 2018, vol. 16, issue 2 (Summer), 123-140
Following the recent financial crisis, spurred by the crash of house prices in the us, there has been a renewed interest by academics in examining the pass-through effects of monetary policy instrument to house price inflation. This study examines the asymmetric pass through effects from monetary policy to house price inflation for the case of South Africa. Our study uses a momentum threshold autoregressive model and a corresponding threshold error correction model (MTAR-TECM). The empirical results reveal a negative and significant pass through from interest rates to house price inflation, even though such pass-through effects are relatively weak. Overall, these findings undermine the ability of the South African Reserve Bank (SARB) to control real house price inflation.
Keywords: asymmetric cointegration; monetary policy instrument; house price inflation; South Africa (search for similar items in EconPapers)
JEL-codes: C22 C52 E31 E52 (search for similar items in EconPapers)
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Working Paper: Asymmetric pass-through effects from monetary policy to housing prices in South Africa (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mgt:youmgt:v:16:y:2018:i:2:p:123-140
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