G01

Financial Crises

Estimating a time-varying financial conditions index for South Africa?

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) based on the principal component analysis and the Kalman smoother.

Information Contagion and Systemic Risk

We examine the effect of ex-post information contagion on the ex-ante optimal portfolio choices of banks and the welfare losses due to joint default. Because of counterparty risk and common exposures, bad news about one bank reveals valuable information about another bank, thereby triggering information contagion. Systemic risk is defined as the ex-ante probability of joint bank default ex post. We find that information contagion increases systemic risk when banks are subject to common exposures since portfolio adjustments are small.

Comovement Between Africa and Advanced Economies: 1980-2011

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 that middle-income African countries show consistent business cycle variance shares, both before and after controlling for the influence of the G7.

The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective

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 financial analyses (Taylor, 1986). The assumption of normality is also critical when constructing reference intervals for variables (Royston, 1991).

Financial Stress Indicator Variables and Monetary Policy in South Africa

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 segments of the South African financial market that include the bond and equity securities markets, the commodities market and the foreign exchange rate market.

Debt Relief under the HIPC Initiative: Why Some Countries Complete the Programme Faster Than Others

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 much faster than others. This paper uses Cox-Proportional hazard models to explain the wide disparity in completion times by examining how the economic, social and governance environments within a country affect the speed of completion.

The Impact of the Global Financial Crisis on Efficiency and Productivity of the Banking System in South Africa

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 during the period of the crisis through an analysis of bank performance over the period 2000 — 2010 using a two stage methodology framework.

The valuation of biodiversity conservation by the South African Khomani San "bushmen" community

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 that the Khomani San interact more with nature, biodiversity conservation will only benefit from the land restitution in this case if the Khomani San are good environmental stewards.

Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling window regressions. The FM’s time-varying variance shares of global factors map variations in volatility comovement over time and across countries.

Volatility Spillovers across South African Asset Classes during Domestic and Foreign Financial Crises

This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector autoregressive (GVAR) model (Pesaran and Shin 1998). The results suggest substantial time-variation in volatility linkages between October 1996 and June 2010. Typically, large increases in volatility spillovers coincide with domestic and foreign financial crises. Equities are the most important source of volatility spillovers to other asset classes.

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