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C3

Effects of South African Monetary Policy Implementation on the CMA: A Panel Vector Autoregression Approach

Monaheng Seleteng (PhD)
The paper investigates the effects of South African monetary policy implementation on selected macroeconomic variables in the rest of the Common Monetary Area (CMA) looking specifically at the response of a shock to South African key interest rate (repo rate) on macroeconomic variables such as the...
Oct 2016
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Kalman Filtering and Online Learning Algorithms for Portfolio Selection

Raphael Nkomo and Alain Kabundi
This paper proposes a new online learning algorithms for portfolio selection based on alternative measure of price relative called the Cyclically Adjusted Price Relative (CAPR). The CAPR is derived from a simple state-space model of stock prices and we prove that the CAPR, unlike the standard raw...
Nov 2013
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Business Cycle Co-movements between South Africa and the BRIC Countries

Mustafa Yavuz Cakir and Alain Kabundi
This paper investigates the co-movement of business cycles between South Africa and the other BRICS countries namely, Brazil, Russia, India, and China, the so-called BRICs. In particular, it identi.es the nature and key features of the co-movement of cycles of South African economy with cycles of...
Jan 2013
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Patterns of co-movement between a developed and emerging market economy: The case of South Africa and Germany

Alain Kabundi and Elsabé Loots
This article examines the co-movement between a leading first-world economy (Germany) and an emerging market economy (South Africa) by applying a dynamic factor model. These countries have been chosen as proxies to analyse the channels of transmission of positive supply and demand shocks in...
Dec 2009
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Synchronization between South Africa and the U.S.: A Structural Dynamic Factor Analysis

Alain Kabundi
This paper studies the synchronization of economic variables between South Africa and the US. In addition it examines transmission channels through which supply and demand shocks from the US effect economic activity in South Africa. We use a structural dynamic factor model approach, instead of the...
Jul 2007
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