EconPapers    
Economics at your fingertips  
 

"Ripple" Effects in South African House Prices

Mehmet Balcilar, Abebe Beyene (), Rangan Gupta and Monaheng Seleteng ()
Additional contact information
Abebe Beyene: Department of Economics, University of Pretoria
Monaheng Seleteng: Department of Economics, University of Pretoria

No 201102, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes the so-called “ripple” effect of house prices in five major metropolitan areas of South Africa, namely, Cape Town, Durban Unicity, Greater Johannesburg, Port Elizabeth/Uitenhage and Pretoria, based on available quarterly data covering the period of 1966:Q1 to 2010:Q1. Following the extant literature, we contextualize the issue as a unit root problem, with one expecting the ratios of metropolitan house price to national house price to exhibit stationarity to an underlying trend value, if there is diffusion in house prices. Using Bayesian, parametric non-linear and non-parametric unit root tests, besides the standard linear parametric tests of stationarity with and without structural break, we find the linear unit root tests, with and without structural break, provide quite distinct evidence of the existence of house price diffusion, which, in turn are overwhelmingly supported by the Bayesian unit root tests. With the exception of the large middle-segment for Cape Town, the robustness of the results are confirmed by at least one of the non-linear or non-parametric unit root tests, which have been shown to have very good power properties in the presence of structural breaks and non-linearities or regime-switching. Overall, we find strong and robust evidence of ripple effect in the five major metropolitan areas of South Africa.

Keywords: House-price ratios; “Ripple” effects; Time series properties; Unit root tests (search for similar items in EconPapers)
JEL-codes: C30 C50 G10 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011-02
New Economics Papers: this item is included in nep-afr, nep-cis and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (7)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:pre:wpaper:201102

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2024-07-18
Handle: RePEc:pre:wpaper:201102