O Banco Nacional de Angola e a evolução do mercado imobiliário em Luanda no período 2011-2017
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2018
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Esta dissertação procurou identificar a correlação entre a taxa de juro BNA enquanto instrumento de política monetária do Banco Nacional de Angola e o nível de preços no mercado imobiliário de Luanda, bem como a relação existente no curto e no longo prazo entre as taxas Luibor e o índice de preços do mercado imobiliário de Luanda.
Para tal foram recolhidos dados diários de séries temporais (taxa Luibor, taxa BNA e Índice de preço habitação e IPC), no período entre o quarto trimestre de 2011 e o segundo trimestre de 2017, totalizando 67 observações. Para análise de dados utilizou-se o modelo de vetores autorregressivos (VAR).
Depois da análise dos dados verificou-se que as séries temporais da taxa Luibor, taxa BNA, Índice de preços habitação, e o IPC apresentaram 2 (dois) vetores co - integrante. As variáveis LUIBOR e Índice Habitação, não apresentaram relação de longo prazo, o β2 é diferentemente significativo de zero com um teste T de 1,96. Isso indica que os desequilíbrios de curto prazo entre as duas séries dos preços LUIBOR e do Índice Habitação devem desaparecer no momento exato em que o equilíbrio de curto prazo ocorrer.
O índice de valor de mercado da habitação varia com a LUIBOR apenas no curto prazo. No entanto no longo prazo o índice de preços da habitação depende da taxa de referência (taxa BNA), uma variação de 1 ponto na taxa BNA, o índice de preços habitação varia 4 pontos. Os desequilíbrios de longo prazo entre as séries taxa BNA e índice de preço habitação devem desaparecer no momento exato em que o equilíbrio de longo prazo ocorrerem. O valor do coeficiente do termo de erro (-0,3486229) implica que o desvio em longo prazo é ajustado em parcelas de 0,3486229 a cada dia.
This dissertation sought to identify the correlation between the BNA interest rate as monetary policy instrument of the National Bank of Angola and the level of prices in the real estate market of Luanda, as well as the relationship existing in the short and long term between the Luibor and the price index of the real estate market of Luanda. For this purpose, daily time series data (Luibor rate, BNA rate and Housing Price Index and IPC) were collected between the fourth quarter of 2011 and the second quarter of 2017, totaling 67 observations. For data analysis, the autoregressive vector (VAR) model was used. After analyzing the data, it was verified that the time series of the Luibor rate, BNA rate, Housing Price Index, and the IPC showed 2 (two) cointegrations vectors. The variables LUIBOR and Housing Index, did not present a long-term relationship, β2 is significantly different from zero with a T test of 1.96. This indicates that the short-term imbalances between the two LUIBOR and Housing Index series should disappear at the exact moment the short-run equilibrium occurs. The market value of housing varies with LUIBOR in the short term only. However, in the long run the housing price index depends on the reference rate (BNA rate), a 1point variation in the BNA rate, the housing price index varies by 4 points. The long-term imbalances between the BNA rate series and the housing price index should disappear at the exact moment the long-run equilibrium occurs. The coefficient of the error term coefficient (-0.3486229) implies that the long-term deviation is adjusted in plots of 0.3448229 each day.
This dissertation sought to identify the correlation between the BNA interest rate as monetary policy instrument of the National Bank of Angola and the level of prices in the real estate market of Luanda, as well as the relationship existing in the short and long term between the Luibor and the price index of the real estate market of Luanda. For this purpose, daily time series data (Luibor rate, BNA rate and Housing Price Index and IPC) were collected between the fourth quarter of 2011 and the second quarter of 2017, totaling 67 observations. For data analysis, the autoregressive vector (VAR) model was used. After analyzing the data, it was verified that the time series of the Luibor rate, BNA rate, Housing Price Index, and the IPC showed 2 (two) cointegrations vectors. The variables LUIBOR and Housing Index, did not present a long-term relationship, β2 is significantly different from zero with a T test of 1.96. This indicates that the short-term imbalances between the two LUIBOR and Housing Index series should disappear at the exact moment the short-run equilibrium occurs. The market value of housing varies with LUIBOR in the short term only. However, in the long run the housing price index depends on the reference rate (BNA rate), a 1point variation in the BNA rate, the housing price index varies by 4 points. The long-term imbalances between the BNA rate series and the housing price index should disappear at the exact moment the long-run equilibrium occurs. The coefficient of the error term coefficient (-0.3486229) implies that the long-term deviation is adjusted in plots of 0.3448229 each day.
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Orientação: Eduardo Moraes Sarmento ; co-orientação: José Paulo Oliveira
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MESTRADO EM ECONOMIA, ECONOMIA, POLÍTICA MONETÁRIA, TAXAS DE JURO, MERCADO IMOBILIÁRIO, BANCO NACIONAL DE ANGOLA, ANGOLA, ECONOMY, MONETARY POLICY, INTEREST RATES, REAL ESTATE MARKET, NATIONAL BANK OF ANGOLA, ANGOLA