Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model

Rangan Gupta and Xiaojin Sun

Empirical Economics, 2020, vol. 58, issue 5, No 11, 2309-2332

Abstract: 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)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-018-1613-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model (2016)
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:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1613-6

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-018-1613-6

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().