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C5

Publication

The bond market impact of the South African Reserve Bank bond purchase programme

Roy Havemann, Henk Janse van Vuuren, Daan Steenkamp and Rossouw van Jaarsveld
We use a unique dataset comprising over a million trades and quotes to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of...
Mar 2022
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Publication

Technical and Scale Efficiency of Tanzanian Saving and Credit Cooperatives

Nyankomo Marwa and Meshach Aziakpono
In measuring technical and scale efficiency of Tanzanian Saving and Credit Cooperatives we used a sample of 103 audited financial statements during 2011. Data envelopment analysis was employed to explore the efficiency scores. The results show that average scores are 42%, 52% and 76% for technical...
Mar 2015
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Publication

Forward Exchange Rate Puzzle: Joining the Missing Pieces in the Rand-US Dollar Exchange Market

Lumengo Bonga-Bonga
The Unbiased Forward Rate Hypothesis (UFRH) stipulates that the forward rates should be a perfect predictor for the future spot rates. A number of studies have tested the UFRH and foreign market efficiency and concluded that the hypothesis does not hold. This phenomenon is known as the UFRH puzzle...
Apr 2009
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Publication

National Saving and Fiscal Policy in South Africa: an Empirical Analysis Sector in South Africa

Lumengo Bonga-Bonga
Concerns have been raised in regards to how to redress a decreasing trend in national saving in South Africa. A number of authors have suggested that redressing government saving, through fiscal discipline characterised by a low government budget deficit ratio, should be a key in redressing the...
Jun 2008
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