Call for Application: 2023 Advanced Empirical Methods in Finance and Economics Course
This is not an Econometrics Course – it is an advanced course in empirical microeconomic methods in economics and finance – we will revise empirical methods in causal analysis most widely used in applied economics and finance and cover recent developments in empirical analysis in several topics, including: corporate and household bankruptcy and financial distress […]
2023 Advanced Empirical Methods in Finance and Economics Course
This is not an Econometrics Course – it is an advanced course in empirical microeconomic methods in economics and finance – we will revise empirical methods in causal analysis most widely used in applied economics and finance and cover recent developments in empirical analysis in several topics, including: corporate and household bankruptcy and financial distress […]
Revisiting the accuracy of inflation forecasts in Nigeria: The oil price-exchange rate-asymmetry perspectives
Motivated by the distinctive paradoxical nature of the Nigerian economy as the only OPEC oil-exporting economy that yet depends heavily on the importation of gasoline, we are compelled to re-examine the accuracy of the oil-based augmented Philips curve model in the predictability of inflation. Using quarterly data from 1970 to 2020, we investigate whether including […]
Prof Nicola Viegi on evaluating the near future of monetary policy in SA: Sailing into the Wind
Only three times in the last century has monetary policy been re-evaluated and tested to its limits. This global pandemic has forced many central banks around the world to use non-conventional frameworks and the last time we did this much soul searching was after the Global Financial Crisis. In this podcast, Economics Professor at the […]
Part 1: Monetary policy and Covid-19 in South Africa
The discussion is based on Sailing into the Wind: evaluating the (near) future of Monetary Policy in South Africa, by Tumisang Loate, Ekaterina Pirozhkova and Nicola Viegi, that explores how monetary policy seeks to maintain price stability in the emerging post-COVID economic environment: What are the underlying constraints that affect monetary policy making? What constraints […]
Sailing into the Wind: evaluating the (near) future of Monetary Policy in South Africa
Policy Paper 25 This paper evaluates the main challenges facing South African monetary policy. We focus on three main issues: the external environment, the growth potential of the economy and its fiscal balance. The external environment will remain uncertain and volatile and South Africa monetary policy should increase the number of tools available to deal […]
The transmission of monetary policy via the banks’ balance sheet – does bank size matter?
We study the credit channel of monetary policy in South Africa between 2002 and 2019 using banks’ balance sheets. We show that there is a significant heterogeneity within the banking sector in both the loan and deposit sides of the banks’ balance sheets. In response to a contractionary monetary policy shock, big banks adjust their […]
Redistribution, Inequality, and Efficiency with Credit Constraints
We develop a model that characterizes the joint determination of income distribution and macroeconomic aggregate dynamics. We identify multiple channels through which alternative public policies such as transfers, consumption and income taxes, and public investment will affect the inequality:efficiency trade off. Some policy changes can affect net income inequality both directly, and indirectly by inducing […]
A New Keynesian DSGE model for low income economies with foreign exchange constraints
The existing literature is clear that low income economies tend to suffer from foreign exchange shortages exacerbated by their exports. Most importantly, the concentration of their exports renders these countries susceptible to international price fluctuations. This frequently affects the level of foreign exchange, causing excess demand for foreign exchange leading to foreign exchange shortages. Using […]
Financial sector development, economic volatility and shocks in sub-Saharan Africa
The role of financial sector development in economic volatility has been extensively studied albeit without informative results largely on the failure of extant studies to decompose volatility into its various components. By disaggregating volatility, this study examines the effect of financial development on volatility as well as channels through which finance affects volatility components in […]
Counting the cost of drought induced productivity losses in an agro-based economy: The case of Uganda
Climate variability can affect economies directly through its impact on agricultural output, and indirectly, through its effect on the activities of down-stream industries and household welfare. This paper uses a Computable General Equilibrium model with a disaggregated agricultural sector to analyse the impact of a drought on the Ugandan economy. The losses were assessed with […]
Fiscal Consolidation, Fiscal Policy Transmission, and Current Account Dynamics in South Africa
The debate on global current account imbalances continues to develop, with growing interest in the macroeconomic instability and widening current account deficits faced by emerging markets. Literature establishes that the current account behaves differently depending on macroeconomic circumstances in countries, so approaches to managing external imbalances should be country tailored. Despite this realisation, there is […]
Vulnerability to climatic variability: An assessment of drought prevalence on water resources availability and implications for the Ugandan economy
The volatile changes in climate are increasingly becoming a threat to many economies globally. This study assesses Uganda’s vulnerability to climatic variability in the context of how these volatile changes in climate are likely to affect long-run water resources availability. This is done by using household survey data, rainfall data as well as findings from […]
Financial Networks – State of the Art and Open Challenges
The 2008 crisis caught most policymakers, including supervisors and central banks, off guard. Standard models said that diversification had enabled the financial system to withstand even fairly large shocks—including tremors in the sub-prime mortgage market. These models did not anticipate the knock on effects of the collapse of Lehman Brothers, and how shocks could reverberate […]
Transmission of China’s Shocks to the BRIS Countries
This study examines the impact of Chinas dominant position among the BRIS countries, namely Brazil, Russia, India and South Africa. Particularly, by using a dynamic factor model estimated over the period 1995Q2-2009Q4, it investigates how supply and demand shocks from China are transmitted to these economies. The results show that China’s supply shocks are more […]
A Theoretically Defensible Measure of Risk: Using Financial Market Data from a Middle Income Context
While economic theory assumes that risk is of central importance in financial decision making, it is difficult to measure the uncertainty faced by investors. Commonly used empirical proxies for risk (such as the moving standard deviation of the returns on an asset) are not firmly grounded in economic theory. Risk measures have been developed by […]
by 