This paper conducts an empirical analysis to establish whether a causal relationship exists between oil prices and interest rate in South Africa. We employ a causality testing procedure in the frequency domain to analyse the relationship between these two variables. We use monthly data on the...

In this paper we examine the real estate returns predictability employing US REITs and a set of possible predictors for the period January 1991 to September 2013. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter...

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Also, not only is the level of inflation persistence that is...

The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties,...

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) models in which parameters change according to the phase of the housing cycle. The results...

The paper revisits the ever enduring question of whether â"money matters". The study uses the Sims' (1972) methodology over the quarterly time-series data spanning fifty years post World War II for the U.S. economy. The results indicate bi-directional causality between money and income. When we...

This paper assesses the impact of uncertainty about the true state of the economy on monetary policy in South Africa since the adoption of inflation targeting. The paper also analyses the impact of uncertainty about the conditions in financial markets on the interest rate setting behavior that...

We study the response of South African monetary policy decisions to foreign monetary policy shocks. We estimate the extent of foreign monetary policy pass-through by augmenting standard Taylor rules and comparing the results within the context of a Global New-Keynesian Dynamic Stochastic General...

There exists a huge international literature on the, so-called, Environmental Kuznets Curve (EKC) hypothesis, which in turn, postulates an inverted u-shaped relationship between environmental pollutants and output. The empirical literature on EKC has mainly used test for cointegration, based on...