Political risk and macroeconomic effect of housing prices in South Africa

Figures & data

Table 1. Descriptive statistics

	LHPI	LCPI	LINR	LPR	LREN
Mean	4.405144	4.432598	4.405152	3.924052	4.459452
Median	4.379572	4.432007	4.410080	3.924446	4.457830
Maximum	4.865318	4.746670	4.516829	3.984344	4.697749
Minimum	4.103047	4.075841	4.265386	3.873802	4.151040
Std. Dev.	0.244420	0.192290	0.067451	0.026234	0.158744
Skewness	0.264754	−0.068905	−0.227831	0.270809	−0.084918
Kurtosis	1.689888	1.838703	1.903097	2.450400	1.796405
	11.98064	8.205614	8.464943	3.572462	8.864918
Probability	0.002503	0.016526	0.014516	0.167591	0.011885
Observations	144	144	144	144	144

Table 2. ADF unit root results

	Model	Level	1^st Difference	Stationarity level
LHPI	Intercept	1.7875	0.2887*	I(1)
	Intercept & trend	0.2122	0.1337*
LINR	Intercept	0.8481	0.0685*	I(1)
	Intercept & trend	0.2468	0.0420*
LREN	Intercept	1.8785	0.6936	I(1)
	Intercept & trend	0.3877	0.0857*
LPLR	Intercept	0.8706	0.1333*	I(1)
	Intercept & trend	0.1773	0.0894*

Note: * the series is stationary at a 5% significance level

Table 3. Lag length selection

Lag	LogL	LR	FPE	AIC	SC	HQ
0	836.9096	NA	6.16e-11	−12.15926	−12.07401	−12.12462
1	1764.016	1786.540	1.03e-16	−25.46008	−25.03381*	−25.28686
2	1797.205	62.01871	8.02e-17	−25.71103	−24.94373	−25.39922
3	1830.593	60.43807	6.23e-17	−25.96485	−24.85654	−25.51446
4	1860.192	51.85353	5.13e-17	−26.16339	−24.71406	−25.57442*
5	1882.418	37.63742	4.70e-17	−26.25427	−24.46392	−25.52672
6	1904.449	36.02108*	4.33e-17*	−26.34232*	−24.21094	−25.47618
7	1916.130	18.41690	4.66e-17	−26.27927	−23.80687	−25.27455

Note: * indicates the number of lags selected by the criteria

Table 4. Roots of characteristic polynomial

Root	Modulus
0.999716	0.999716
0.939660	0.939660
0.891942	0.891942
0.671355	0.671355
0.587133	0.587133
−0.339421	0.339421
0.215444–0.030180i	0.217548
0.215444 + 0.030180i	0.217548

Table 5. Johansen cointegration results

Hypothesized Number. of CE(s)	Trace test		Maximum Eigenvalue test
	Trace Statistic	P-value	Max-Eigen Stat.	P-value
None *	89.05804	0.0007	44.43726	0.0019
At most 1	44.62079	0.0975	22.62489	0.1901
At most 2	21.99590	0.2987	16.15440	0.2160
At most 3	5.841501	0.7142	5.146975	0.7232
At most 4	0.694526	0.4046	0.694526	0.4046

Note: Both the Trace test and Maximum Eigen tests suggest one cointegrating equation

Table 6. Error correction model

Variables	D(LHPI)	D(LCPI)	D(LINR)	D(LPR)	D(LREN)
ECT coefficients	−0.001801	0.040299	0.011724	−0.024273	0.016375
Standards errors	(0.00713)	(0.00647)	(0.02172)	(0.00936)	(0.00539)
T‑value	[−0.25277]	[6.23119]	[0.53979]	[−2.59259]	[3.03999]

Note: HPI: housing price index, CPI Consumer price index, INR: real interest rate, PR political risk, REN: rental price

Table 7. VECM diagnostic results

Test	Null hypothesis (H0)	P-values	Decision
White (no cross-terms)	No heteroscedasticity	0.2975	H0 Not rejected
LM	No serial correlation	0.3560	H0 Not rejected
JB	There is normality	0.7472	H0 Not rejected

Table 8. Pairwise granger causality test

Null Hypothesis:	F-Statistic	Prob.
LCPI does not Granger Cause LHPI	4.13110	0.0072**
LHPI does not Granger Cause LCPI	4.02694	0.0082**
LINR does not Granger Cause LHPI	2.26616	0.0819*
LHPI does not Granger Cause LINR	2.92527	0.0349**
LPLR does not Granger Cause LHPI	0.45927	0.7110
LHPI does not Granger Cause LPLR	3.94191	0.0092**
LINR does not Granger Cause LHPI	2.95511	0.0543*
LHPI does not Granger Cause LINR	4.22629	0.0159**
LREN does not Granger Cause LHPI	1.31212	0.2726
LHPI does not Granger Cause LREN	0.56486	0.5698

Note: **, * rejection of the null hypothesis at 5% and 10% significance level respectively.