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Dynamic Factor Model

publication

Measuring and Testing a Modified Version of the South African Financial Cycle

Malibongwe C Nyati, Christian K Tipoy and Paul F Muzindutsi
This study reports on measuring and testing of a Composite Financial Cycle Index (CFCI) as a modified version of a South African Financial Cycle (FC). This is achieved through the adoption of thirteen monthly financial time series indicators observed over the period 2000M1 to 2018M12. In this...
Oct 2021
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publication

Measuring and Testing a Modified Version of the South African Financial Cycle

Malibongwe C Nyati, Christian K Tipoy and Paul F Muzindutsi
This study reports on measuring and testing of a Composite Financial Cycle Index (CFCI) as a modified version of a South African Financial Cycle (FC). This is achieved through the adoption of thirteen monthly financial time series indicators observed over the period 2000M1 to 2018M12. In this...
Oct 2021
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publication

Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market

Anmar Pretorius and Alain Kabundi
This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and emerging...
Jun 2014
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publication

Business Cycle Co-movements between South Africa and the BRIC Countries

Mustafa Yavuz Cakir and Alain Kabundi
This paper investigates the co-movement of business cycles between South Africa and the other BRICS countries namely, Brazil, Russia, India, and China, the so-called BRICs. In particular, it identi.es the nature and key features of the co-movement of cycles of South African economy with cycles of...
Jan 2013
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