House prices, monetary policies and the macroeconomy : what does the common trends approach on South African data suggest?
Master Thesis
2008
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University of Cape Town
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Abstract
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.
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Includes abstract.
Includes bibliographical references (p. 46-50).
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Mistry, S. 2008. House prices, monetary policies and the macroeconomy : what does the common trends approach on South African data suggest?. University of Cape Town.