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C13

Estimation: General

Examining the determinants of electricity demand by South African households per income level

J.A Bohlmann, R. Inglesi-Lotz
For the period 1975 - 2016, this paper examines the determinants of the residential demand for electricity in South Africa including disposable income, electricity prices, food prices as well as the impact of the 2007/08 load-shedding wave and the 2008 electricity price restructuring. Given the...
Sep 2020
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The J–Curve Phenomenon: Evidence from Commodity Trade Between South Africa and the United States

Hammed Amusa and David Fadiran
Previous studies on the J–curve phenomenon for South Africa have been carried out using either aggregate trade data between South Africa and the rest of the world or between South Africa and her major trading partners. The evidence of J-curve effects in South Africa's bilateral trade have been...
Apr 2019
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Modelling exchange rate volatility dynamics: Empirical evidence from South Africa

Cyril May and Greg Farrell
In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common...
Aug 2017
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Evaluating South Africa’s Tobacco Control Initative: A Synthetic Control Approach

Grieve Chelwa, Corné van Walbeek and Evan Blecher
South Africa has since 1994 consistently and aggressively increased excise taxes on cigarettes in order to maintain a total tax burden of around 50% of the average retail selling price. The tax rises have translated into large increases in the inflation-adjusted price of cigarettes. For instance,...
Dec 2015
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Important Channels of Transmission Monetary Policy Shock in South Africa

Nombulelo Gumata, Alain Kabundi and Eliphas Ndou
This paper investigates the di¤erent channels of transmission of monetary policy shock in South Africa in a data-rich environment. The analysis contains 165 quarterly variables observed from 1990Q1 to 2012Q2. We use a Large Bayesian Vector Autoregressive model, which can easily accommodate a large...
Sep 2013
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Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi

Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi
This paper estimates a Bayesian Dynamic Stochastic General Equilibrium (DSGE) model of Malawi and uses it to account for short-run monetary policy response to aid inflows between 1980 and 2010. In particular, the paper evaluates the existence of a “Dutch Disease” following an increase in foreign...
May 2013
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Short Run Underpricing of Initial Public Offering (IPOs) in the Johannesburg Stock Exchange (JSE)

Gillian van Heerden and Paul Alagidede
The underpricing of initial public offerings (IPOs) represents one of the anomalies observed in primary markets worldwide, however, the depth and breadth of it varies from country to country, and sector to sector. This study is an empirical analysis of short run performance of IPOs in the...
Apr 2013
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No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates

Peter Aling and Shakill Hassan
Short-term interest rate processes determine the term-structure of interest rates in an arbitrage-free market, and are central to the valuation of interest-rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one-factor continuous-time processes for the South...
Sep 2011
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Could we have predicted the recent downturn in the South African Housing Market?

Sonali Das, Rangan Gupta and Alain Kabundi
This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium and small-middle-segment housing for the South African economy. Given the in-sample period of 1980:01 to 2000:04,...
Oct 2009
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A Large Factor Model for Forecasting Macroeconomic Variables in South Africa

Rangan Gupta and Alain Kabundi
This paper uses large Factor Models (FMs) which accommodates a large cross-section of macroeconomic time series for forecasting per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy. The FMs used in this study contains 267 quarterly series...
Apr 2009
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