JEL code: G15

International Financial Markets

Local-Currency sovereign risk on South African government bonds
Working Paper 882 While local-currency bond markets have become a d...
Mulalo Mamburu
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
Prof Johannes W. Fedderke on the South African – US sovereign bond spread: how is this ...
In this podcast, Prof. Johannes W. Fedderke, the Director of ERSA s...
Margaux Giannaros, Johannes W. Fedderke
Podcast
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
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
Regionalization versus Internationalization of African Stock Markets: A frequency-time ...
This paper examines regional and global co-movemnt of Africa’s stoc...
Gideon Boako, Paul Alagidede
Policy Brief
How are Africa's emerging stock markets related to advanced markets? Evidence from copulas
This paper examines the dependence structure between two developed ...
Jones O. Mensah, Paul Alagidede
Working Paper
Determinants of Cross-Border Mergers and Acquisitions Targeting Africa: 1991-2011
The fast output growth that a number of countries in Sub-Saharan Af...
‪Magdalene K. Wilson, Désiré J. M. Vencatachellum
Working Paper
What drives cross-border bank expansion? Answers from Kenya
This paper investigates the drivers of bank foreign expansion in Ea...
Odongo Kodongo
Working Paper
Global commodities and African stocks: insights for hedging and diversification strategies
Owing to frequent fluctuations in global markets, diversifying acro...
Paul Alagidede, Gideon Boako
Policy Brief
Portfolio Flows in a two-country RBC model with financial intermediaries
The paper presents a two-country real business cycle model with a f...
Haakon Kavli, Nicola Viegi
Policy Brief
Financial Structure and Economic Development in Africa
This paper explores the relationship between economic development a...
Nyasha Mahonye, Kalu Ojah
Working Paper
Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market
This paper investigates empirically the integration of bond markets...
Anmar Pretorius, Alain Kabundi
Working Paper
Returns Correlation Structure and Volatility Spillovers Among the Major African Stock M...
The paper analyses the structure of returns comovements and the vol...
Tinashe H. D. Kambadza, Zivanemoyo Chinzara
Working Paper
The valuation of biodiversity conservation by the South African Khomani San "bushmen" c...
The restitution of land to the Khomani San “bushmen” an...
Edwin Muchapondwa, Johane Dikgang
Working Paper
Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets
This paper studies volatility comovement in world equity markets be...
Andrew S. Duncan, Alain Kabundi
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
Macroeconomic uncertainty and emerging market stock market volatility: The case for Sou...
This paper analyses how systematic risk emanating from the macro-ec...
Zivanemoyo Chinzara
Working Paper
Dynamic Returns Linkages and Volatility Transmission between South African and World Ma...
This paper analyses returns and volatility linkages between the Sou...
Zivanemoyo Chinzara, Meshach J. Aziakpono
Working Paper
The Price of Risk on the JSE
This paper investigates domestic risk-return behaviour by focussing...
Nick Samouilhan
Working Paper
The Relationship Between International Equity Market Behaviour and the JSE
This paper investigates empirically the relationship between domest...
Nick Samouilhan
Working Paper