C5 | Economic Research Southern Africa

Call for Papers: Monetary Economics and Macroeconomic Modelling Workshop

In the last few years there has been a large increase in work on macroeconomic issues and modelling for the South African economy. Nevertheless there have been too few attempts to step back and to survey the work that has been done in order to analyse whether the pieces of the puzzle can be made […]

Workshop on Macroeconomic Research and Modelling

Background Our economic society has been struggling with the shortage of macroeconomists for long time. Economic Research Southern Africa (ERSA), in partnership with the department of economics at Stellenbosch University, is pleased to announce the upcoming workshop on macroeconomic research and modelling at Stellenbosch University. The workshop aims to provide scholars who are interested in […]

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 to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of individual bonds purchased by the South African […]

South African Modelling Network (SAMNET) Virtual Workshop: New Developments in Macroeconomics – Exchange Rate, Expectations, Target and Instruments of Monetary Policy

Organizers: Nicola Viegi and Vincent Dadam (University of Pretoria, SAMNET) Our 3rd Virtual SAMNet Workshop explored the latest developments in macroeconomics and was followed by a Policy Panel Discussion. Workshop In particular, the workshop delved into innovations regarding exchange rate behaviour, expectations, the inflation target and instruments of monetary policy. We were joined by two […]

South African Modelling Network Virtual Workshop: Emerging Markets back in the spotlight – Risks and policy options

Organizers: Romain Houssa – University of Namur, SAMNET and Nicola Viegi – University of Pretoria, SAMNET Fiscal policy and fiscal-monetary policy interdependence are central for the macroeconomic stability of South Africa and its future development and growth. The South African Macroeconomic Network (SAMNET) announces an international workshop to explore current research in the area. South […]

South African Macroeconomic Network Virtual Workshop: New Data, New Methods, New Models for Monetary Policy

The South African Macroeconomic Network 1st Annual Workshop will explores innovations in data, modelling and forecasting tools for Central Banking in emerging countries. Themes of the workshop Micro data for forecasting and policy analysis Fiscal and monetary policy interaction: modelling and analysis Capital flows and foreign exchange intervention Identifying monetary policy transmission Identifying underlying long […]

Policy Bulletin 04: Electricity reforms: Experience and approach

South Africa has been experiencing electricity shortages since 2008. Load shedding is taking place even at the moment, despite a large contraction in economic activity due to the Covid-19 crisis. It is time to reform the electricity market and breakdown Eskom’s vertically integrated monopoly. An efficient energy production and a competitive energy market are the […]

Policy Bulletin 01: A fair price for economic modelling? Transparency required

The principle of transparency is the only way that policy makers can understand the limitations of a model and use its outputs effectively to inform policy. In the absence of this transparency, there is no accountability and claims cannot be tested. An example of this is the recent report by Applied Development Research Solutions (ADRS). […]

Macroeconomic and Financial Modelling for Economic Policy

The 7th Annual Monetary Economics workshop will be dedicated to the contribution of macroeconomic and financial modelling to the formulation of economic policy. The workshop will be a combination of technical presentation and roundtable discussions between academics and policymakers. South African researchers are invited to submit contributions and papers related to the theme for the […]

Technical and scale efficiency of Tanzanian saving and credit cooperatives

In measuring technical and scale efficiency of Tanzanian Saving and Credit Cooperatives we used a sample of 103 audited financial statements during 2011. Data envelopment analysis was employed to explore the efficiency scores. The results show that average scores are 42%, 52% and 76% for technical, pure technical and scale efficiencies respectively. Since most of […]

Comparing Linear and Non-linear Benchmarks of Exchange Rate Forecasting

Throughout the past 3 decades, the random walk model served as exchange rate forecasting benchmark to verify that a model is able to outperform a random process. However, its application as forecasting benchmark is contradictory. Rather than serving as a benchmark that explains exchange rate behaviour, it serves as a benchmark of what we do […]

Evaluating Non-Linear Approaches in Forecasting Tourist Arrivals

Quantitative methods to forecasting tourist arrivals can be sub-divided into causal methods and non-causal methods. Non-causal time series methods remain popular tourism forecasting tools due to the accuracy of their forecasting ability and general ease of use. Since tourist arrivals exhibit seasonality, SARIMA models are often found to be the most accurate. However, these models […]

Modeling of Illegal Behaviour in Natural Resource Management in Developing Countries

ERSA and the School of Economics at the University of Cape Town invite you to attend a Training Workshop on Modelling of Illegal Behaviour in Natural Resource Management in Developing Countries. More Information in the PDF below.

Monetary Policy and Long-Term Interest Rates in South Africa

This paper examines how the short-term and long-term interest rates react to supply, demand and monetary policy shocks in South Africa. Use is made of the impulse response functions obtained from the structural vector autoregressive model with long-term restrictions. We find a positive correlation between the two interest rates after a monetary and demand shock […]

Forward Exchange Rate Puzzle: Joining the Missing Pieces in the Rand-US Dollar Exchange Market

The Unbiased Forward Rate Hypothesis (UFRH) stipulates that the forward rates should be a perfect predictor for the future spot rates. A number of studies have tested the UFRH and foreign market efficiency and concluded that the hypothesis does not hold. This phenomenon is known as the UFRH puzzle. A number of studies that reject […]

National Saving and Fiscal Policy in South Africa: an Empirical Analysis Sector in South Africa

Concerns have been raised in regards to how to redress a decreasing trend in national saving in South Africa. A number of authors have suggested that redressing government saving, through fiscal discipline characterised by a low government budget deficit ratio, should be a key in redressing the national saving trend in South Africa. In order […]