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Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model

Wet, Albert H. De; Renee´ Van Eyden; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2007

In order to address practical questions in credit portfolio management it is necessary to link the cyclical or systematic components of firm credit risk with the firm’s own idiosyncratic credit risk as well as the systematic credit risk component of every other exposure in the portfolio. This...

Persistent link: https://www.econbiz.de/10005710050

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

Bruyn, Riane de; Gupta, Rangan; stander, Lardo - Department of Economics, Faculty of Economic and … - 2011

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...

Persistent link: https://www.econbiz.de/10009370795

Estimating the Equilibrium Real Exchange Rate for Namibia

Eita, J. H.; Sichei, Moses M. - Department of Economics, Faculty of Economic and … - 2006

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...

Persistent link: https://www.econbiz.de/10005773205

Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach

Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

which is a stronger predictor of not only stock returns, but also volatility. …

Persistent link: https://www.econbiz.de/10011188121

Does Oil Price Uncertainty Matter for Stock Returns in South Africa?

Aye, Goodness C. - Department of Economics, Faculty of Economic and … - 2014

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...

Persistent link: https://www.econbiz.de/10011106157

The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

whether EPU and EMU uncertainty measures incorporate critical predictability for oil market returns and volatility. Based on … predictability over the entire distribution of oil around the median, yet more importantly for volatility forecastability covers the … pattern over the distribution of oil returns and its volatility exists with respect to uncertainty predictability. …

Persistent link: https://www.econbiz.de/10011267815

A Simple Method for Computing Equilibria when Asset Markets Are Incomplete

Ma, Wei - Department of Economics, Faculty of Economic and … - 2014

The problem of computing equilibria for general equilibrium models with incomplete real asset markets, or GEI models for the sake of brevity, is reconsidered. It is shown here that the rank-dropping behavior of the asset return matrix could be dealt with in rather a simple fashion: We first...

Persistent link: https://www.econbiz.de/10011098711

Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model

Balcilar, Mehmet; Gupta, Rangan; Kotze, Kevin - Department of Economics, Faculty of Economic and … - 2013

This paper considers the forecasting performance of a nonlinear dynamic stochastic general equilibrium (DSGE) model. The results are compared to a wide selection of competing models, which include a linear DSGE model and a variety of vector autoregressive (VAR) models. The parameters in the VAR...

Persistent link: https://www.econbiz.de/10010783600

NONLINEAR TAX ELASTICITIES AND THEIR IMPLICATIONS FOR THE STRUCTURAL BUDGET BALANCE

Jooste, Charl; Naraidoo, Ruthira - Department of Economics, Faculty of Economic and … - 2010

Research on tax elasticities in South Africa mainly employs linear models and shows that taxes evolve symmetrically irrespective of the economic cycle. This study extends this research to show that taxes behave asymmetrically and nonlinearly during expansions and contractions. Estimated linear...

Persistent link: https://www.econbiz.de/10008680288

Fiscal Regime Changes and the Sustainability of Fiscal Imbalance in South Africa: A Smooth Transition Error-Correction Approach

Jibao, Samuel S; Schoeman, Niek; Naraidoo, Ruthira - Department of Economics, Faculty of Economic and … - 2010

In addition to the conventional linear cointegration test, this paper tests the asymmetry relationship between revenue and expenditure i.e. making a distinction between the adjustment of positive (budget surplus) and negative (budget deficit) deviations from equilibrium using quarterly data on...

Persistent link: https://www.econbiz.de/10008680289

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