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G01

Financial Crises

Contagion without deposit insurance: The South African small bank crisis of 2002/3

Roy Havemann
Following the failure of Saambou bank in February 2002, another seven South African banks failed within a month, including the fifth-largest, and a further five within a year. In total, twenty-two small and mid-sized banks deregistered over two years: half the total number of banks, and nearly 10 per...
Jun 2020
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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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Estimating a time-varying financial conditions index for South Africa?

Alain Kabundi and Asi Mbelu
This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014)...
Nov 2017
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Comovement Between Africa and Advanced Economies: 1980-2011

Carike Claassen, Elsabe Loots and Alain Kabundi
This paper analyses business cycle comovement between African economies and advanced economies. It covers the period 1980 to 2011. The empirical analysis is based on the Dynamic Factor Model applied to annual data for African and G7 countries, covering the period 1980 to 2011. The results indicate...
Feb 2016
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The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective

Chris van Heerden
Although the general assumption is that daily and monthly returns data are normally distributed (Aparicio & Estrada, 2001), the correct statistical distribution of returns must first be established (Linden, 2001), as it constitutes one of the elementary building blocks that will ensure accurate...
Feb 2015
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Debt Relief under the HIPC Initiative: Why Some Countries Complete the Programme Faster Than Others

William Akoto
The Highly Indebted Poor Countries (HIPC) initiative has been one of the primary avenues for delivering debt relief to developing countries in the past decade. However, the performance of countries in the HIPC programme has been vastly heterogeneous with some countries reaching completion point...
Apr 2013
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The Impact of the Global Financial Crisis on Efficiency and Productivity of the Banking System in South Africa

Andrew Maredza and Sylvanus Ikhide
South Africa‘s financial sector is believed to have weathered the contagion and catastrophic effects of the 2008 world wide financial crisis partly on account of a sound regulatory framework and solid macroeconomic policies. In this paper, we seek to measure efficiency and productivity changes...
Jan 2013
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The valuation of biodiversity conservation by the South African Khomani San "bushmen" community

Johane Dikgang and Edwin Muchapondwa
The restitution of land to the Khomani San "bushmen" and Mier "agricultural" communities in May 2002 marked a significant shift in conservation in the Kgalagadi area in South Africa. The Khomani San and Mier communities were awarded land inside and outside the Kgalagadi Transfrontier Park. Given...
Oct 2011
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