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C22

Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

Publication

Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa

Chevaughn van der Westhuizen, Reneé van Eyden and Goodness Aye
The onset of the novel coronavirus pandemic (COVID-19) and previous crises have heightened interest in the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for...
Feb 2022
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Publication

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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Publication

The monetary policy of the South African Reserve Bank: stance, communication and credibility

Alberto Coco, Nicola Viegi
This paper analyses the evolution of the monetary policy stance, communication and credibility of the South African Reserve Bank (SARB) since 2000, when it adopted a flexible Inflation Targeting (IT) regime to facilitate the achievement of its price stability mandate. Empirical results indicate...
Jul 2019
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Publication

The Interdependence between the Saving Rate and Technology across Regimes: Evidence from South Africa

Kevin S. Nell and Maria M. De Mello
This paper hypothesises that the saving rate and technological progress are interdependently determined by a common exogenous source, so that an exogenous shock to the saving rate determines long-run growth transitions. In an open economy, the saving rate measures the quality of capital investment...
Mar 2017
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Publication

Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-frequency intra-day South African data.

Cyril May, Greg Farrell and Jannie Rossouw
This paper examines the temporal effect of domestic monetary policy surprises on both the levels and volatility of the South African rand/United States dollar exchange rate. The analysis in this ‘event study’ proceeds using intra-day minute-by-minute exchange rate data, repo rate data from the...
Mar 2017
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Publication

The Effects of Exchange Rate Volatility on South African Investments

Magdeline M. Maepa
This paper analysed the short- and long-run interactions between the exchange rate and different types of investments in South Africa from 1970 to 2014. The Vector Autoregressive model (VAR), a multivariate Johansen co-integration approach and Granger causality test were conducted to analyse the...
May 2016
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Publication

Structural Breaks in Renewable Energy in South Africa: A Bai & Perron Test Approach

Jaco Pieter Weideman and Roula Inglesi-Lotz
South Africa has been struggling to cope with its energy demand. In order to remedy the problem, the government of South Africa has committed itself to pursuing renewable energy as a viable alternative to traditional sources such as fossil fuels. The aim of this study is to understand whether or...
Apr 2016
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Publication

On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment

Bernard Njindan Iyke
This paper explores the correlations of the short- and long-term interest rate series through time in South Africa. Two time series techniques are utilized: the Kapetanios et al. (2003) nonlinear STAR unit root test and the asymmetric cointegration with threshold adjustment test of Enders and...
Nov 2015
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