JEL code: G15

Risk and return spillovers in a global model of the Foreign Exchange Network
We developed a network model to capture the dynamic interactions am...
25 August 2021
Working Paper
Prof Johannes W. Fedderke on the South African – US sovereign bond spread: how is this associated with macr...
In this podcast, Prof. Johannes W. Fedderke, the Director of ERSA s...
29 May 2020
Podcast
Modelling exchange rate volatility dynamics: Empirical evidence from South Africa
In this paper, we extend the literature on modelling exchange rate ...
30 August 2017
Working Paper
Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-f...
This paper examines the temporal effect of domestic monetary policy...
6 March 2017
Working Paper
Regionalization versus Internationalization of African Stock Markets: A frequency-time domain analysis
This paper examines regional and global co-movemnt of Africa’s stoc...
14 October 2016
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 ...
20 July 2016
Working Paper