Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-frequency intra-day South African data.

This paper examines the temporal effect of domestic monetary policy surprises on both the levels and volatility of the South African rand/United States dollar exchange rate. The analysis in this ‘event study’ proceeds using intra-day minute-by-minute exchange rate data, repo rate data from the South African Reserve Bank’s scheduled monetary policy announcements, and Bloomberg market consensus repo rate forecasts.

Aid Volatility and Structural Economic Transformation in sub-Saharan Africa: Does Finance Matter?

This paper departs from the traditional aid–economic growth studies through its examination of the impact of aid and its volatility on sectoral growth by relying on panel dataset of 37 sub-Saharan African (SSA) countries for the period 1980–2014. Findings from our system generalised methods of moments (GMM) show that, while foreign aid significantly drives economic transformation, aid volatility deteriorates sectoral value additions with huge impact on the non–tradable sector and a no apparent effect on the agricultural sector.

Financial sector development, economic volatility and shocks in sub-Saharan Africa

The role of financial sector development in economic volatility has been extensively studied albeit without informative results largely on the failure of extant studies to decompose volatility into its various components. By disaggregating volatility, this study examines the effect of financial development on volatility as well as channels through which finance affects volatility components in 23 sub-Saharan African countries over the period 1980–2014 using the newly developed panel cointegration estimation strategy.

Modelling Stock Return Volatility Dynamics in Selected African Markets

This paper examines whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion of the paper, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures.

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