Testing for persistence with breaks and outliers in South African house prices

Luis Gil-Alana, Goodness C. Aye and Rangan Gupta

No 01/2013, NCID Working Papers from Navarra Center for International Development, University of Navarra

Abstract: This study examines the time series behaviour of South Africa’s house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large, medium and small sizes)), covering the periods of 1966:Q1-2012:Q1 for the different middle-segments, 1966:Q3-2012:Q1 for the luxury segment and 1969:Q4-2012:Q1 for the affordable segment. In general, there is persistence in South Africa’s house prices with breaks identified. Our results show that in the cases of affordable and luxury, shocks will be transitory, disappearing in the long run, while for the remaining four series of the middle-segment, shocks will be permanent. Hence, for the middle-segment series strong policy measures must be adopted in the event of negative shocks, in order to recover the original trends

Keywords: House prices; persistence; breaks; fractional integration; South Africa (search for similar items in EconPapers)
JEL-codes: C16 R21 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2013-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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http://aresjournals.org/doi/abs/10.5555/reli.21.2. ... 468?journalCode=reli Link to published text

Related works:
Working Paper: Testing for Persistence with Breaks and Outliers in South African House Prices (2012)
Working Paper: Testing for Persistence with Breaks and Outliers in South African House Prices (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:nva:unnvaa:wp01-2013

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