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Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa

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  • Njindan Iyke, Bernard

Abstract

This paper assessed the effects of housing market shocks on real output in South Africa over the period 1969Q4 – 2014Q4, by emphasizing the real private consumption channel. The agnostic identification procedure employed in this paper has delivered impulse responses that are overall consistent with the existing literature. The paper appropriately identified housing market shocks as non-monetary housing demand shocks. 20% of the variation in house prices are explained by the housing market shocks. The effects of housing demand shocks on real private consumption are short-lived, explaining why real output responded transitorily to these shocks. Housing demand shocks have managed to explain nearly 13% and 14% variations in real private consumption and real output, respectively, over 20-quarters ahead forecast revision.

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  • Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
    • Handle: RePEc:pra:mprapa:69610
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    More about this item

    Keywords

    Agnostic Identification; Housing Market Shocks; Real Output; SVAR; South Africa;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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