This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that covers the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price...

This paper estimates the equilibrium real exchange rate and the resulting real exchange rate misalignment in Namibia during the period 1970 to 2004. The equilibrium real exchange rate is determined by trade and exchange restrictions (openness), terms of trade and ratio of investment to GDP. An...

Evidence in favour of the monetary model of exchange rate determination for the South African Rand is at best mixed. A co-integrating relationship between the nominal exchange rate and fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...

This paper attempts to provide evidence indicating that the Purchasing Power Parity (PPP) puzzle is becoming less of a puzzle. It present the results of Augmented Dickey-Fuller (ADF) test, nonlinear tests of nonstationarity, and Bayesian unit root tests, applied to ten SADC countries. The...

Modeling the nominal exchange rate has been one of the most difficult exercises in economics. This paper attempts to estimate the nominal rand-USD exchange rate under the Dornbusch(1980) and Frankel (1979) overshooting model using the Johansen cointegration technique. The overshooting model fits...

Empirical evidence on the whether the inflation-targeting South African Reserve Bank (SARB) should also consider responding to exchange rate fluctuations, are contradictory. Against this backdrop of contradictory evidence, we revisit the issue by questioning if the inflation rate is more...

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...

This paper utilises various recently developed econometric methods to obtain better approximations to the half-life for real exchange rates of ten South African Development Community (SADC) countries and to generate confidence intervals for half-life deviations from the purchasing power parity...

This paper investigates the ability of the Dornbusch (1976) sticky- price model for the nominal metical-rand exchange rate, over the period 1994:1-2005:4 in explaining the exchange rate movements of Mozambique. Based on the model, we find that there is a stable relationship between the exchange...

This paper looks into the changes of the black market premium for foreign exchange in Zimbabwe. Generally, the black market for foreign exchange arises as a direct consequence of the adoption of exchange rate controls in many developing economies facing substantial macroeconomic imbalances....