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C32

Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

Does the Pursuit of Outreach Consistently Stifle the Financial Performance of Microfinance Institutions in sub-Saharan Africa?

Sydney Chikalipah
We study the relationship between outreach and the financial performance of 479 microfinance institutions (MFIs) in 37 countries of sub-Saharan African (SSA), covering the period 1998 to 2012. This study builds on earlier literature on the relationship between outreach and the financial performance...
Mar 2020
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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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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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Is There a SADC Business Cycle? Evidence from a Dynamic Factor Model

Ntokozo Patrick Nzimande and Harold Ngalawa
Countries that adopt a common currency automatically relinquish their monetary policy autonomy. Hence, it is imperative for countries wanting to join a currency union to ensure that their business cycles are synchronized in order to ensure symmetric propagation of the effect of monetary policy. Put...
Nov 2016
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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Jones Odei Mensah and Paul Alagidede
This paper examines the dependence structure between two developed and four emerging African stock markets in a copula framework. Using daily data from January 2000 to April 2014, our empirical results show that dependence structure between African and international stocks varies overtime, but...
Jul 2016
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The impact of monetary policy on household consumption in South Africa. Evidence from Vector Autoregressive Techniques

Emmanuel Owusu-Sekyere
This paper investigates the “cost of credit effect” of monetary policy on household consumption of final goods and services in South Africa, testing the hypotheses of the Keynesian interest rate channel of monetary policy transmission. We focus on three periods; post transition from apartheid,...
Apr 2016
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On the Causal Links between the Stock Market and the Economy of Hong Kong

Sin-Yu Ho and Bernard Njindan Iyke
There is a bulk of literature that identifies the major economic drivers of Hong Kong’s rapid and steady economic performance over the last three decades. Of these major economic drivers identified, the performance of the stock market has received less attention. This paper examines the causal...
Mar 2016
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Trade Linkages and Business Cycle Co-movement: An Empirical Analysis of Africa and its Main Trading Partners using Global VAR

Emilie Chanceline Kinfack and Lumengo Bonga-Bonga
This paper assesses the extent of trade linkages and shock transmission between African economies and its main trading partners, namely China, Europe and the United States (US). Using the global vector autoregressive (GVAR) model, the paper investigates how shock transmission between Africa and its...
Apr 2015
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Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests

Mulatu F Zerihun, Marthinus C Breitenbach and Francis Kemegue
In this paper we investigate the likelihood of a proposed monetary union in the Southern African Development Community (SADC) being successful from the viewpoint of the Generalised Purchasing Power Parity (GPPP) hypothesis and optimum currency area (OCA) theory. We apply Johansen’s multivariate co-...
Feb 2015
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Credit Procyclicality and Financial Regulation in South Africa

James Bernstein, Leroi Raputsoane and Eric Schaling
This study assesses the behaviour of credit extension over the economic cycle to determine its usefulness as a reference guide for implementing the countercyclical capital buffers for financial institutions in South Africa. The study finds that the common reference guide for implementing the...
Jul 2014
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