This paper analyses the intertemporal hedging demand for stocks and bonds in South Africa (SA), the United Kingdom (UK) and the United States (US). The analysis is done using an approximate solution method for the optimal consumption and wealth portfolio problem of an infinitely long-lived...

En este trabajo se presenta un modelo de equilibrio general dinámico y estocástico para analizar la estabilidad financiera de una economía cerrada y sin gobierno. El modelo se basa en el propuesto por Leao y Leao (2007), adicionando un incumplimiento endógeno del pago de la deuda por parte...

This paper investigates the long-run impact of inflation on homeowner equity in South Africa by analysing the relationship between house prices and the prices of non-housing goods and services. Quarterly data series are collected for the luxury, large middle-segment, medium middle-segment, small...

The Feldstein-Horioka (FH) puzzle, that is the strong correlation between saving and investment in a world where obstacles to capital mobility are limited, has been studied extensively since it was exposed in 1980. Even though the theoretical and empirical literature has examined many of its...

The aim of this paper is to investigate the causal relationship between agricultural prices in South Africa and global oil prices. A nonlinear Granger causality test based on moment conditions, introduced by Nishiyama et al (2011) is employed and we find that there is indeed a causal...

The significant change in South Africa’s trade patterns over the past two decades should affect the impact of shocks in the rest of the world on the country, since South Africa is a small open economy. We investigate the effect with the use of a global vector autoregression (GVAR) model from...

The conduct of inflation targeting is heavily dependent on accurate inflation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African infl ation by means of non-linear models and...

In this paper, we analyze symmetric and asymmetric causal relationship between energy consumption and economic growth in time and frequency domains, using annual data covering the period of 1965-2012. In general, our results tend to suggest that energy consumption causes growth, especially the...

Forecasting aggregate retail sales may improve portfolio investors’ ability to predict movements in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3 combination) forecasting models to forecast South Africa’s aggregate seasonal retail sales. We use data...

In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...