EconPapers    
Economics at your fingertips  
 

Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function

Tsangyao Chang (), Wen-Chi Liu (), Goodness Aye and Rangan Gupta ()
Additional contact information
Wen-Chi Liu: Department of Finance, Da-Yeh University, Changhua, Taiwan
Goodness Aye: Department of Economics, University of Pretoria

No 201377, Working Papers from University of Pretoria, Department of Economics

Abstract: This study applies Panel KSS Test with a Fourier function through the Sequential Panel Selection Method, proposed by Chortareas and Kapetanios (2009), to test whether housing bubbles exist in South Africa using the ratio of housing price to income in 9 provinces (i.e., Eastern Cape, Free State, Gauteng, KwaZulu-Natal, Limpopo, Mpumalanga, North West, Northern Cape, and Western Cape). Whereas other panel-based unit root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of integrated of order zero (I(0)) series and integrated of order one (I(1)) series in a panel setting, the SPSM-based panel KSS with a Fourier function can clearly identify how many and which series in the panel are stationary processes by classifying a whole panel into a group of stationary and non-stationary series. The empirical results from several traditional panel-based, as well as standard pure time-series unit root tests, indicate that house price/income ratios for the nine provinces studied here are either stationary or non-stationary. However, results from the SPSM-based panel KSS with a Fourier function unequivocally indicate that house price/income ratios are stationary for the 9 provinces under study. These results indicate that housing bubbles do not exist in the 9 provinces of South Africa. Our test results have important economic and policy implications for South Africa.

Keywords: House Prices; Income; Panel KSS Unit Root Test; Fourier function; Sequential Panel Selection Method; Non-Stationary (search for similar items in EconPapers)
JEL-codes: C23 R21 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2013-11
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

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

Related works:
Journal Article: Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function (2016) Downloads
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:201377

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 2021-02-23
Handle: RePEc:pre:wpaper:201377