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forecasting

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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Stock Return Predictability in South Africa: An Alternative Approach

Ailie Charteris and Barry Strydom
There is considerable debate internationally as to whether share returns are predictable. The limited evidence in South Africa (Gupta and Modise, 2012a, b and 2013) reveals that valuation ratios have no forecasting power but the Treasury bill rate, term spread and money supply have been found to be...
May 2016
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A Note on the (continued) Ability of the Yield Curve to Forecast Economic Downturns in South Africa

Ferdi Botha & Gavin Keeton
In 2002/03 the yield spread falsely signalled a downswing that never materialised. This paper provides two reasons for this false signal. Firstly, while the Reserve Bank never actually officially declared the start of a downswing, by other important measures a downswing did actually occur. It is to...
Aug 2014
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