- Monetary Policy and Economic Impact
- Market Dynamics and Volatility
- Fiscal Policy and Economic Growth
- Financial Risk and Volatility Modeling
- Global trade and economics
- Global Financial Crisis and Policies
- Economic Growth and Productivity
- Energy, Environment, Economic Growth
- Economic Theory and Policy
- Global Trade and Competitiveness
- Economic Growth and Development
- Financial Markets and Investment Strategies
- Taxation and Compliance Studies
- Economic Analysis and Policy
- Stock Market Forecasting Methods
- Fiscal Policies and Political Economy
- Energy, Environment, and Transportation Policies
- Labor market dynamics and wage inequality
- Housing Market and Economics
- Unemployment and Economic Growth
- International Business and FDI
- Economic, financial, and policy analysis
- Natural Resources and Economic Development
- Local Government Finance and Decentralization
- Public-Private Partnership Projects
University of Johannesburg
2016-2025
University of Pretoria
2015
The transition to renewable energy is a critical priority for the European Union. However, roles of foreign direct investment and technological innovation in shaping consumption remain unclear. This study examines their joint influence across 20 Union countries from 2013 2023, employing Method Moments Quantile Regression capture varying effects under different market conditions. findings reveal that consistently enhances consumption, strengthening its impact 0.298 10th 0.488 90th quantile,...
AbstractAbstractWe analyze whether a news-based measure of economic policy uncertainty (EPU) helps predict movements in real housing returns. We find evidence structural breaks and nonlinearity the relation between returns EPU. that EPU affects both their volatility. This result still holds when controlling for macroeconomic financial determinants prices, suggesting has direct impact on market not only an indirect effect through its influence wider economy markets. Large shocks generate...
Abstract This paper assesses the relationship between trade openness and economic growth in Africa by accounting for heterogeneity of African countries. In addition, contributes to literature on nexus applying instrumental variable panel smooth transition regression, a methodology that accounts nonlinearity endogeneity two variables. The results empirical analysis reveal investment ratio is channel through which affects continent. varies according degree country's development Africa. study...
This paper investigates the relationship between renewable energy generation and financial market development in European countries. It enhances existing literature by analysing this through three dimensions of development—access, efficiency, depth—and categorizing into types: Wind, solar, hydroelectric. The study also examines mediating role stock capitalization nexus. Employing panel two-stage least squares (2SLS) based on Lewbel’s instrumental variable approach, findings reveal that wind...
Abstract This paper attempts to assess the extent of volatility spillovers between equity market and foreign exchange in S outh A frica. Multistep family General Autoregressive Conditional Heteroskedasticity models are used for this end, whereby shocks obtained from mean equation estimation each included conditional other market, respectively. The selects appropriate following criteria such as covariance stationarity, persistence variance leverage effects. finding indicates that there is a...
This paper examines how short-term and long-term interest rates react to supply, demand monetary policy shocks in South Africa. Use is made of the impulse response functions obtained from structural vector autoregressive model with restrictions. We find a positive correlation between two after shock negative supply shock. The finding this that operation transmission mechanism should be effective Furthermore, provides an approach identify African business cycle.
This paper introduces the possibility of asymmetry in reaction output growth to inflation shocks South Africa by making use Markov-switching vector autoregressive model. Using quarterly data from 1969Q1 2013Q4, empirical finding suggests that is not only regime dependent but also contingent on how monetary authority reacts such shocks. Two important regimes are identified; high and low volatility regimes. Consistent with signal extraction theory, effect found be significantly lower compared regime.
This paper tests the weak-form efficiency in South African stock exchange - Johannesburg Securities Exchange (JSE) under hypothesis that emerging markets evolves through time as these constantly enhance their regulatory environment. The makes use of varying GARCH model testing this hypothesis. In addition, compares out-of-sample forecast performance and fixed parameter models predicting returns JSE making MSE-F statistics for nested proposed (McCracken, 1999). findings show two provide same...
Abstract This paper examines the evolution and underlying forces of business cycle co‐movements among seven African (A‐7) countries over period 1970–2016. These accounted for 60% regional GDP, have abundant natural resources, access to global capital market widely viewed as potential drivers (or “African”) cycle. We model national using real output, consumption investment. employ a dynamic factor decompose fluctuations in these macro‐variables into regional, country‐specific idiosyncratic...
Purpose This paper contributes to the literature on exchange rate exposure by assessing extent which risk is priced in both African emerging and developed equity markets. It examines whether this leads a premium or discount market returns. The study uses United States South Africa as representatives for economies, respectively. Design/methodology/approach employs two-factor three-factor conditional CAPM approaches with two-stage estimation process. In first stage, time-varying exposures are...
Abstract This paper assesses the general equilibrium impacts of public infrastructure investment in South African economy, as a case an emerging by making use complementary models, such social accounting matrix (SAM) multiplier, Structural Path Analyses (SPA) and Computable General Equilibrium (CGE) models. Contrary to studies that partial this shows importance economy-wide model analyse effects economy. The results analysis, based on SAM CGE analyses using 2015 for Africa, indicate...
Abstract This paper presents a novel approach utilising R-Vine copulas and tail dependence structures to distinguish between contagion interdependence amid equity market interrelation. The is applied in the case of BRICS markets. Moreover, rather than analysing markets aggregate, our focuses on sectoral levels within examine nature interrelation among them. Based volatilities, empirical findings indicate minimal events across various sectors These results are corroborated through portfolio...
Abstract This paper compares the forecasting performance of a sub‐class univariate parametric and non‐parametric models in predicting stock market returns South Africa. To account for conditional heteroskedasticity data, model is generated by heteroskedastic non‐linear autoregressive (NAR) model, while produced generalised mean (GARCH‐M) model. The results show that NAR as performs better than GARCH‐M short‐term horizon, this indicates importance distribution‐free
Abstract This paper assesses the extent of transmission volatility shocks in equity and foreign exchange markets among BRICS (Brazil, Russia, India, China South Africa) countries to infer degree risk sharing possibility a beneficial financial integration its member countries. To this end, makes use spillover index methodology suggested by Diebold Yilmaz ( ). Nonetheless, extends incorporating ex ante measures that account for long memory markets. The finds asymmetric influences relation...
Purpose The paper evaluates the cross-transmission of returns and volatility shocks between Nigeria South Africa stock markets to infer extent interdependence two markets. also makes inference optimal portfolio weights holding assets in Design/methodology/approach uses an asymmetric vector autoregressive-exogenous generalised autoregressive conditional heteroscedasticity (VAR-X GARCH) model assess spillovers Africa. Findings results empirical analysis show evidence shock from African market...
Over the past two and a half decades, Democratic Republic of Congo (DRC), along with several other developing countries, implemented Structural Adjustment Program (SAP) proposed by International Monetary Fund (IMF) World Bank. Since 1990s when war broke out in DRC triggered control natural resources, unemployment poverty have been on rise country. Despite this, ever since Government Action Plan for Natural Resource Law Enforcement, Governance Trade was 1992, population blamed SAP causing...
This paper determines which of the three policy approaches: fiscal, monetary and exchange rate can better address external imbalances in largest African economies, Nigeria, South Africa Egypt. To this end, use is made panel vector autoregressive model to assess dynamic effects shocks emanating from approaches. The findings indicate that unlike many emerging developed economies current accounts these react shocks. More particular, results empirical analysis show appreciations currencies lead...
This article provides an assessment of the comparative effectiveness four econometric methods in estimating optimal hedge ratio emerging equity market, particularly South African and futures markets. The bases hedging on volatility reduction minimization coefficient variation hedged returns as well risk-aversion-based utility maximization. empirical analysis shows that vector error-correction method multivariate generalized autoregressive conditional heteroscedasticity are most effective...
Abstract This paper assesses the validity of constant elasticity substitution (CES) and Cobb‐Douglas (CD) production functions in modelling aggregate function computing total factor productivity (TFP) South Africa for period 1970‐2006. The CES is estimated with Nerlove's two‐step procedure using autoregressive distributed lag (ARDL) cointegration Kalman filter estimation techniques, while CD technique. results forecast performance two model specifications show that specification outperforms...