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The interaction between property returns and the macroeconomy: Evidence from South Africa

Author

Listed:
  • Mabutho Sibanda

    (Lecturer- School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, South Africa)

  • Dr. Richard Mhlanga

    (Director - Graduate School of Business, National University of Science & Technology Bulawayo, Zimbabwe)

Abstract

A study on the interactions between property returns and the macro-economy in the UK provides contrasting results with those based on the American economy which forms the basis for this research (Brooks and Tsolacos 1999). This study therefore employs a vector autoregressive models to establish the interactions between macroeconomic and financial variables on the South African economy, a proxy for developing and transitional economies. Property assets have generally been viewed as value-growth assets due to their inflation tracking nature. Values of property-based assets may be measured through direct measures and/or equity-based measures. The two different methods of measuring the value of property-based assets available are shrouded with drawbacks although equity-based measures are theoretically preferred. This study uses direct measures to determine the impulse response functions and variance decompositions on the rate of short-term nominal rates, long-term and short-term interest differentials, inflation rate and household debt/ disposable income in South Africa.

Suggested Citation

  • Mabutho Sibanda & Dr. Richard Mhlanga, 2013. "The interaction between property returns and the macroeconomy: Evidence from South Africa," International Journal of Business and Social Research, LAR Center Press, vol. 3(4), pages 146-152, April.
    • Handle: RePEc:lrc:larijb:v:3:y:2013:i:4:p:146-152
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    References listed on IDEAS

    as
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    3. Lizieri, Colin & Satchell, Stephen, 1997. "Interactions between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972-1992," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 11-26, July.
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    5. John Okunev & Patrick J. Wilson, 2008. "Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation," International Real Estate Review, Global Social Science Institute, vol. 11(2), pages 32-46.
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    8. Simon Stevenson & Don Bredin & G. O’Reilly & Don Bredin & Gerard O’Reilly, 2007. "Monetary Policy and Real Estate Investment Trusts," ERES eres2007_168, European Real Estate Society (ERES).
    Full references (including those not matched with items on IDEAS)

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