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C51

Model Construction and Estimation

Publication

Construction, institutions and economic growth in sub-Saharan Africa

Paul Alagidede and Jones Odei Mensah
The construction sector in developing countries has propelled economic growth in the most recent period, yet analysis of growth performance has failed to take this into account. This article is a comparative analysis of the relationship between the construction sector and aggregate output for a...
Jul 2016
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Publication

Estimating a Phillips Curve for South Africa: A Bounded Random Walk Approach

Alain Kabundi, Eric Schaling and Modeste Some
In this paper we estimate a Phillips curve for South Africa using a bounded random walk model. Central bank credibility, the slope of the Phillips curve, the natural rate of unemployment and the central bank’s in‡ation target band are time-varying. We …find that the slope of the Phillips curve has...
Dec 2015
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Publication

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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Publication

Financial Stress Indicator Variables and Monetary Policy in South Africa

Leroi Raputsoane
This paper analyses the relationship between financial stress indicator variables and monetary policy in South Africa with emphasis on how robust these variables are related to the monetary policy interest rate. The financial stress indicator variables comprise a set of variables from the main...
Jul 2014
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Publication

Monetary Policy and Heterogeneous Inflation Expectations in South Africa

Alain Kabundi, Eric Schaling and Modeste Some
This paper examines the relationship between in‡ation and in‡ation expectations of analysts, business, and trade unions in South Africa during the inflation targeting (IT) regime. We consider inflation expectations based on the Bureau of Economic Research (BER) quarterly survey observed from 2000Q1...
Feb 2014
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Publication

Debt sustainability and financial crises in South Africa

Leroi Raputsoane and Ruthira Naraidoo
This study assesses debt sustainability in South Africa allowing for possible nonlinearities in the form of threshold behaviour by fiscal authorities. A long historical data series on the debt-to-GDP ratio and models with fixed and time-varying thresholds allowing the level of debt to vary relative...
Jan 2014
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Publication

Time-Varying Parameter in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specification Please Stand Up?

William A. Barnett and Isaac Kalonda-Kanyama
This paper assesses the ability of the Rotterdam model and of three versions of the almost ideal demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. Using Monte Carlo simulations, we nd that the Rotterdam model performs better...
Mar 2013
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Publication

Trade Shocks from BRIC to South Africa: A Global VAR Analysis

Mustafa Yavuz Çakir and Alain Kabundi
This paper studies the trade linkages between South Africa and the BRIC (Brazil, Russia, India, and China) countries. We apply a global vector autoregressive model (global VAR) to investigate the degree of trade linkages and shock trans- mission between South Africa and the BRIC countries over the...
Oct 2011
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Publication

Fiscal regime changes and the sustainability of fiscal imbalance in South Africa; a smooth transition error-correction approach

Samuel S. Jibao, Niek Schoeman and Ruthira Naraidoobr
In addition to the conventional linear cointegration test, this paper tests the asymmetry relationship between fiscal revenue and expenditure, by making a distinction between the adjustment of positive (budget surplus) and negative (budget deficit) deviations from equilibrium. The analysis uses...
Jul 2011
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