Keyword: cointegration

The behaviour of the real effective exchange rate of South Africa: is there a misalignment?
The paper uses Behavioural Equilibrium Exchange Rate methodology to...
20 October 2016
Working Paper
Stock Return Predictability in South Africa: An Alternative Approach
There is considerable debate internationally as to whether share re...
24 May 2016
Policy Brief
On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment
This paper explores the correlations of the short- and long-term in...
2 November 2015
Working Paper
Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
In this paper we investigate the likelihood of a proposed monetary ...
4 February 2015
Working Paper
Arbitrage, Cointegration and Efficiency in Financial Markets in the Presence of Financial Crisis
The authors gratefully acknowledge the assistance of Genesis Analyt...
27 September 2001
Working Paper