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

Includes abstract.Includes bibliographical references (p. 46-50).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