Jel Classification
C16, R21
N° Pages
Testing for persistence with breaks and outliers in South African house prices

This study examines the time series behaviour of South Africa’s 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 of 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 Africa’s 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.

House prices, persistence, breaks, fractional integration, South Africa