School of Economics, University of Cape Town, Cape Town, South Africa.
PLoS One. 2023 Nov 29;18(11):e0290552. doi: 10.1371/journal.pone.0290552. eCollection 2023.
This study examines the dynamic short- and long-run causal relationship between South African real house prices and key macroeconomic fundamentals (gross domestic product(GDP), mortgage rate, exchange rate-USDZAR, affordability, household debt to disposable income, unemployment rate, share prices (JSE ALL share index), foreign direct investment, and producer price index) over the period 2000Q1-2019Q4. The study uses a vector error correction model (VECM) to estimate the relationships while accounting for endogeneity and reverse causality. Although, there seems to be a significant association(both short and long-run) between house prices and all macroeconomic fundamental variables, GDP and producer price index appear to have the greatest impact. Further, our results suggest that any short-term disequilibrium in house prices always self-corrects in the long-run.
本研究考察了南非实际房价与关键宏观经济基本面（国内生产总值（GDP）、抵押贷款利率、汇率-USDZAR、负担能力、家庭债务与可支配收入之比、失业率、股票价格（JSE ALL 股票指数）、外国直接投资和生产者价格指数）之间在 2000 年第一季度至 2019 年第四季度期间的动态短期和长期因果关系。该研究使用向量误差修正模型（VECM）来估计这些关系，同时考虑了内生性和反向因果关系。尽管房价与所有宏观经济基本变量之间似乎存在显著关联（短期和长期），但 GDP 和生产者价格指数的影响似乎最大。此外，我们的结果表明，房价的任何短期失衡总是会在长期内自我修正。
