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...

This paper investigates causality between oil prices and the prices of agricultural commodities in South Africa. We use daily data covering the period April 19, 2005 to July 31, 2014 for oil prices and the prices of soya beans, wheat, sunflower and corn. The test for Granger causality in...

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...

We develop a structural cointegrated vector autoregressive (VAR) model with weakly exogenous foreign variables, suitable for a small open economy like South Africa. This type of model is known as an augmented vector error correction model (VECM), referred to by VECX*. We compile the foreign...

This study determines whether the global vector autoregressive (GVAR) approach provides better forecasts of key South African variables than a vector error correction model (VECM) and a Bayesian vector autoregressive (BVAR) model augmented with foreign variables. The paper considers both a small...