This article examines the co-movement between a leading first-world economy (Germany) and an emerging market economy (South Africa) by applying a dynamic factor model. These countries have been chosen as proxies to analyse the channels of transmission of positive supply and demand shocks in...

The eyes of the world have, in recent years, been steadfastly focused on China’s economic progress. As China has in recent years emerged as a major player on the world economic stage, its growing relations with other developing regions received much attention. Of particular note is the...

This paper investigates the co-movement of business cycles between South Africa and the other BRICS countries namely, Brazil, Russia, India, and China, the so-called BRICs. In particular, it identi.es the nature and key features of the co-movement of cycles of South African economy with cycles...

This paper proposes a new online learning algorithms for portfolio selection based on alternative measure of price relative called the Cyclically Adjusted Price Relative (CAPR). The CAPR is derived from a simple state-space model of stock prices and we prove that the CAPR, unlike the standard...

This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and...

This paper examines the relationship between in‡ation and in‡ation expectations of analysts, business, and trade unions in South Africa during the inflation targeting (IT) regime. We consider inflation expectations based on the Bureau of Economic Research (BER) quarterly survey observed...

This paper studies the trade linkages between South Africa and the BRIC (Brazil, Russia, India, and China) countries. We apply a global vector autoregressive model (global VAR) to investigate the degree of trade linkages and shock transmission between South Africa and the BRIC countries over the...

This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling...

This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector autoregressive (GVAR) model (Pesaran and Shin...

This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price inflation for five metropolitan areas of South Africa. The DFM used in this...