Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model
Rangan Gupta () and
Xiaojin Sun ()
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Xiaojin Sun: University of Texas at El Paso
Empirical Economics, 2020, vol. 58, issue 5, No 11, 2309-2332
Abstract This paper evaluates 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 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)
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Working Paper: Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model (2016)
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