House prices, monetary policies and the macroeconomy : what does the common trends approach on South African data suggest?

The increased volatility of asset prices in both developing and developed economies seems to be a growing concern for economic policy makers. Whilst there is a growing literature investigating the link between monetary policy and its implications for asset price volatility there remains uncertainty regarding the overall effects of macroeconomic shocks on longterm asset prices. Using a VAR framework and South African house price data from 1970 to 2006, this paper takes a preliminary step towards identifying how this asset price responds to macroeconomic shocks and the relative importance of these shocks.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2008

Author dc:creator

• Mistry, Smeeta

Advisor dc:contributor.advisor

• Viegi, Nicola

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5735

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5735