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F31

Foreign Exchange

A financial stress index for South Africa: A time-varying correlation approach

Theshne Kisten
This paper develops a new index of financial market stress for South Africa (SAFSI) over the period 1995-2017, that has the advantage of capturing the interconnectedness of financial markets as well as enabling each indicator to be assessed in terms of its systemic importance. The index represents...
Nov 2019
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A New Keynesian DSGE model for Low Income Economies with Foreign Exchange Constraints

Bertha C. Bangara
The existing literature is clear that low income economies tend to suffer from foreign exchange shortages exacerbated by their exports. Most importantly, the concentration of their exports renders these countries susceptible to international price fluctuations. This frequently affects the level of...
Sep 2019
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Fiscal Policy and Adjustment in a Foreign Exchange Constrained Economy: Evidence from Malawi

Bertha C. Bangara and Amos C. Peters
Most of the recent literature analysing the adjustments of macroeconomic variables to fiscal policy shocks rely on the inclusion of non-Ricardian households to generate a positive response of consumption to an increase in government spending. This paper examines the dynamic effects of government...
Apr 2019
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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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Real Exchange Rate Volatility and Employment Growth in South Africa: The Case of Manufacturing

Trust R. Mpofu and Eftychia Nikolaidou
This paper investigates the effect of exchange rate volatility on employment growth in South Africa, a country that is characterised by high rates of unemployment and relatively high exchange rate volatility. Employing the Autoregressive Distributed Lag (ARDL) cointegration method over the period...
Mar 2018
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Disentangling the exchange rate risk, sectoral export flows and financial development nexus

Heinrich Nel and Anmar Pretorius
This paper examines the differential responses of various emerging market export sectors to exchange rate risk. This paper finds origin in initial theoretical posits of Ethier (1973) and Clark (1973) which both contend that exchange rate risk has a negative impact on the export flows of...
Feb 2018
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Nonlinearities in Financial Development–Economic Growth Nexus: Evidence from sub–Saharan Africa (SSA)

Muazu Ibrahim and Paul Alagidede
The impact of financial development on economic growth has received much attention in recent literature. However, there are potential discontinuities mediating finance–growth nexus that existing empirical studies have not rigorously examined. This study investigates whether the impact of finance on...
Jan 2018
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Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Economies

Christian K. Tipoy, Marthinus C. Breitenbach & Mulatu F. Zerihun
We compute the exchange rate misalignment for a set of emerging economies between 1980 and 2013 using the behavioural equilibrium exchange rate definition. The real equilibrium exchange rate is constructed using a parsimonious model and estimators that are robust to cross-sectional independence and...
Oct 2017
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