F31 | Economic Research Southern Africa

JEL code: F31

Foreign Exchange

The bond market impact of the South African Reserve Bank bond purchase programme

We use a unique dataset comprising over a million trades and quotes...

Roy Havemann, Rossouw van Jaarsveld, Henk Janse van Vuuren, Daan Steenkamp

Working Paper

Contagion across financial markets during COVID-19: A look at volatility spillovers bet...

The onset of the novel coronavirus pandemic (COVID-19) and previous...

Reneé van Eyden, Goodness C. Aye, Chevaughn van der Westhuizen

Working Paper

Risk and return spillovers in a global model of the Foreign Exchange Network

We developed a network model to capture the dynamic interactions am...

Herbert Ntuli, Gibson Mudiriza, Edwin Muchapondwa, Boscow Okumu, Alfred K. Mukong

Working Paper

Dr Rossouw van Jaarsveld on developing a forex network model: how to highlight risk tra...

Have you ever wondered how sensitive the South African Rand is to s...

Rossouw van Jaarsveld

Podcast

A financial stress index for South Africa: A time-varying correlation approach

This paper develops a new index of financial market stress for Sout...

Theshne Kisten

Working Paper

A New Keynesian DSGE model for low income economies with foreign exchange constraints

The existing literature is clear that low income economies tend to ...

Bertha C. Bangara

Working Paper

The role of the rand as a shock absorber

This paper investigates the impact of rand shocks on industry outpu...

Luchelle Soobyah, Daan Steenkamp

Working Paper

Order flow and rand/dollar exchange rate dynamic

This study investigates the impact of order flow on the rand/dollar...

Alta Joubert, Alain Kabundi, Aadila Hoosain

Policy Brief

Fiscal policy and adjustment in a foreign exchange constrained economy: Evidence from M...

Most of the recent literature analysing the adjustments of macroeco...

Bertha C. Bangara, Amos C. Peters

Policy Brief

The J–Curve Phenomenon: Evidence from Commodity Trade Between South Africa and the Unit...

Previous studies on the J–curve phenomenon for South Africa have be...

Hammed Amusa, David Fadiran

Working Paper

Order flow and rand/dollar exchange rate dynamics

This paper uses the microstructure approach for the South African f...

Alta Joubert, Alain Kabundi, Aadila Hoosain

Working Paper

Real Exchange Rate Volatility and Employment Growth in South Africa: The Case of Manufa...

This paper investigates the effect of exchange rate volatility on e...

Trust R. Mpofu, Eftychia Nikolaidou

Working Paper

Disentangling the exchange rate risk, sectoral export flows and financial development n...

This paper examines the differential responses of various emerging ...

Anmar Pretorius, Heinrich Nel

Working Paper

Nonlinearities in Financial Development–Economic Growth Nexus: Evidence from sub–Sahara...

The impact of financial development on economic growth has received...

Paul Alagidede, Muazu Ibrahim

Policy Brief

Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Ec...

We compute the exchange rate misalignment for a set of emerging eco...

Mulatu F. Zerihun, Marthinus C. Breitenbach, Christian K. Tipoy

Working Paper

Do monetary policy announcements affect foreign exchange returns and volatility? Some e...

Our empirical study addresses the question: How does the South Afri...

Jannie Rossouw, Greg Farrell, Cyril May

Policy Brief

Modelling exchange rate volatility dynamics: Empirical evidence from South Africa

In this paper, we extend the literature on modelling exchange rate ...

Greg Farrell, Cyril May

Working Paper

The impact of Monetary Policy Announcements and Political Events on the Exchange Rate: ...

Since 2000 the South African rand has been among the most volatile ...

Amos C. Peters, Trust R. Mpofu

Working Paper

The behaviour of the real effective rate of South Africa: is there a misalignment

The debate about the equilibrium level of the South African rand an...

Meshach J. Aziakpono, Melvin M. Khomo

Policy Brief

Do monetary policy announcements affect foreign exchange returns and volatility? Some ...

This paper examines the temporal effect of domestic monetary policy...

Jannie Rossouw, Greg Farrell, Cyril May

Working Paper

The behaviour of the real effective exchange rate of South Africa: is there a misalignm...

The paper uses Behavioural Equilibrium Exchange Rate methodology to...

Meshach J. Aziakpono, Melvin M. Khomo

Working Paper

The Effects of Exchange Rate Volatility on South African Investments

This paper analysed the short- and long-run interactions between th...

Magdeline M. Maepa

Working Paper

The Determinants of Exchange Rate Volatility in South Africa

This paper investigates the determinants of exchange rate volatilit...

Trust R. Mpofu

Policy Brief

Structural Breaks in Renewable Energy in South Africa: A Bai & Perron Test Approach

South Africa has been struggling to cope with its energy demand. In...

Jaco P. Weideman, Roula Inglesi-Lotz

Working Paper

Variance Bounds as Thresholds for ‘Excessive’ Currency Volatility: Inflation Targeting ...

At what level does a currencys volatility become excessive, in a...

Shakill Hassan, Shaista Amod

Working Paper

Monetary Integration in SADC: Assessment of Policy Coordination and Real Effective Exch...

This paper evaluates the strength of policy coordination in Souther...

Mulatu F. Zerihun, Marthinus C. Breitenbach, Francis M. Kemegue

Working Paper

Exchange Rate Policy and Export Performance in Efficiency-Driven Economies

Increased globalisation, coupled with rising domestic competition, ...

Nicola K. Rowbotham, Douglas Mbululu, Adrian Saville

Working Paper

Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union

The theory of purchasing power parity implies that real exchange ra...

Francis M. Kemegue, Mulatu F. Zerihun, Marthinus C. Breitenbach

Working Paper

South African Capital Markets: An Overview

This paper presents a overview and discussion of facts and research...

Shakill Hassan

Working Paper

Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do Th...

There is a theoretical case for real exchange rates to be stationar...

Cyril May

Working Paper

Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi

This paper estimates a Bayesian Dynamic Stochastic General Equilibr...

Manoel Bittencourt, Chance Mwabutwa, Nicola Viegi

Working Paper

The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises

We examine the high-frequency response of the rand-dollar nominal r...

Nicola Viegi, Greg Farrell, Shakill Hassan

Working Paper

Remittances and the Dutch disease in Sub-Saharan Africa. A Dynamic Panel Approach

This paper investigates the effect of remittance inflows on the rea...

Reneé van Eyden, Francis M. Kemegue, Emmanuel Owusu-Sekyere

Working Paper

Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Af...

This paper attempts to assess the extent of volatility spillovers b...

Jamela Hoveni, Lumengo Bonga-Bonga

Working Paper

The Rand as a Carry Trade Target: Risk, Returns and Policy Implications

We analyze the returns to targeting the Australian, New Zealand, an...

Shakill Hassan, Sean Smith

Working Paper

Modelling South African Currency Crises as Structural Changes in the Volatility of the ...

This study tests the theory that currency crises are associated wit...

Andrew S. Duncan, Guangling Dave Liu

Working Paper