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Testing for Persistence with Breaks and Outliers in South African House Prices

  • Luis A. Gil-Alana

    ()

    (School of Economics and Business Administration, University of Navarra)

  • Goodness C. Aye

    ()

    (Department of Economics, University of Pretoria)

  • Rangan Gupta

    ()

    (Department of Economics, University of Pretoria)

This study examines the time series behaviour of South African 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 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 African 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.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random50169a3d22927/1354835793_WP_UNAV_20_12.pdf
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 20/12.

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Length: 28 pages
Date of creation: 07 Dec 2012
Date of revision:
Handle: RePEc:una:unccee:wp2012
Contact details of provider: Web page: http://www.unav.es/facultad/econom

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