Time Series Analysis | Economic Research Southern Africa

Keyword: Time Series Analysis

Skills Development Training in Econometrics: Time series

Cohorts 9 and 10 Time-series Techniques Assumed prior knowledge: T...

Skills Development

Call for Application: Skills Development Training in Econometrics

ERSA is pleased to invite applications for the Skill Development Tr...

Call for Application

Advanced Panel Data Econometrics Course

The objective of this course is to discuss the salient issues in th...

Course

Demographic changes and asset prices in an overlapping generations model

Working Paper 884 We examine the effect of demographic shifts on as...

Ghislain H. Demeze-Jouatsa, Frank Riedel, Beatrice D. Simo-Kengne

Working Paper

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...

Roy Havemann, Rossouw van Jaarsveld, Henk Janse van Vuuren, Daan Steenkamp

Working Paper

Does Child Support Grant incentivise childbirth in South Africa?

We consider the perverse incentive that can be created for poor hou...

Umakrishnan Kollamparambil, Adeola Oyenubi

Working Paper

Examining the determinants of electricity demand by South African households per income...

For the period 1975 – 2016, this paper examines the determina...

Roula Inglesi-Lotz, Jessika A. Bohlmann

Working Paper

A financial stress index for South Africa: A time-varying correlation approach

This paper develops a new index of financial market stress for Sout...

Theshne Kisten

Working Paper

Aggregate and sectoral public-private remuneration patterns in South Africa

This paper investigates the aggregate and sectoral public-private r...

Sihle Nomdebevana, Andreas Wörgötter

Working Paper

The J–Curve Phenomenon: Evidence from Commodity Trade Between South Africa and the Unit...

Previous studies on the J–curve phenomenon for South Africa have be...

Hammed Amusa, David Fadiran

Working Paper

A Longitudinal Analysis of the Demand for Cigarettes in South Africa

Tobacco use is a major health problem, resulting in many millions o...

Alfred K. Mukong

Policy Brief

Impact of macroeconomic announcements on foreign exchange volatility: Evidence from Sou...

This study focuses on scheduled macroeconomic news announcements an...

Tseke Maserumule, Paul Alagidede

Working Paper

Real Exchange Rate Volatility and Employment Growth in South Africa: The Case of Manufa...

This paper investigates the effect of exchange rate volatility on e...

Trust R. Mpofu, Eftychia Nikolaidou

Working Paper

Electricity crisis and the effect of CO2 emissions on infrastructure-growth nexus in Su...

Sub Saharan Africa (SSA) has the greatest proportion of its populat...

Paul Alagidede, Chengete Chakamera

Policy Brief

Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Ec...

We compute the exchange rate misalignment for a set of emerging eco...

Mulatu F. Zerihun, Marthinus C. Breitenbach, Christian K. Tipoy

Working Paper

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

Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes

Monetary policy, post Bretton Woods, saw the emergence of the short...

Dawid J. van Lill

Policy Brief

The effect of tax harmonisation in the Southern African Development Community on Foreig...

This paper investigates the effect of tax harmonisation on foreign ...

Michael Ade, Jannie Rossouw, Tendai Gwatidzo

Working Paper

The Nexus between Infrastructure (Quantity and Quality) and Economic Growth

This paper examines the growth effects of infrastructure stock and ...

Chengete Chakamera, Paul Alagidede

Working Paper

Exploring the nexus of electricity supply and economic growth in South Africa

This paper investigates the causal relationship between electricity...

Pierre Le Roux, Gift Mugano, Hlalefang Khobai

Working Paper

The behaviour of the real effective exchange rate of South Africa: is there a misalignm...

The paper uses Behavioural Equilibrium Exchange Rate methodology to...

Meshach J. Aziakpono, Melvin M. Khomo

Working Paper

Financial Innovation and Economic Growth in the SADC

The study empirically establishes the causal relationship between f...

Gift Mugano, Pierre Le Roux, Alex Bara

Working Paper

Stock Return Predictability in South Africa: An Alternative Approach

There is considerable debate internationally as to whether share re...

Barry Strydom, Ailie Charteris

Policy Brief

Estimating Income Mobility When Income is Measured with Error: The Case of South Africa

There are long-standing concerns that household income mobility is ...

Asmus Zoch, Stephan Klasen, Rulof P. Burger

Working Paper

Inflation Dynamics in a Dollarised Economy: The Case of Zimbabwe

This paper explores the dynamics of inflation in the dollarised Zim...

William Kavila, Pierre Le Roux

Working Paper

The Determinants of Exchange Rate Volatility in South Africa

This paper investigates the determinants of exchange rate volatilit...

Trust R. Mpofu

Policy Brief

On the Causal Links between the Stock Market and the Economy of Hong Kong

There is a bulk of literature that identifies the major economic dr...

Bernard N. Iyke, Sin-Yu Ho

Working Paper

On the Term Structure of South African Interest Rates: Cointegration and Threshold Adju...

This paper explores the correlations of the short- and long-term in...

Bernard N. Iyke

Working Paper

Institutionalisation of Derivatives Trading and Economic Growth: Evidence from South Af...

The purpose of this paper is to foresee the likely developmental im...

Audrey N. Bekale, Erika Botha, Cobus Vermeulen

Working Paper

Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root T...

In this paper we investigate the likelihood of a proposed monetary ...

Mulatu F. Zerihun, Marthinus C. Breitenbach, Francis M. Kemegue

Working Paper

Comparing Linear and Non-linear Benchmarks of Exchange Rate Forecasting

Throughout the past 3 decades, the random walk model served as exch...

S. J. Retief, Marinda Pretorius, Ilse Botha

Working Paper

Evaluating Non-Linear Approaches in Forecasting Tourist Arrivals

Quantitative methods to forecasting tourist arrivals can be sub-div...

Ilse Botha, Andrea Saayman

Working Paper

Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union

The theory of purchasing power parity implies that real exchange ra...

Francis M. Kemegue, Mulatu F. Zerihun, Marthinus C. Breitenbach

Working Paper

Modelling Stock Return Volatility Dynamics in Selected African Markets

This paper examines whether accounting for structural changes in th...

Ferdi Botha, Daniel King

Working Paper

Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do Th...

There is a theoretical case for real exchange rates to be stationar...

Cyril May

Working Paper

The Export-Output Relationship in South Africa: An Empirical Investigation

This study re-investigates the empirical relationship between expor...

Paul Cipamba Wa Cipamba

Working Paper