Showing 1 - 6 of 6
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...
Persistent link: https://www.econbiz.de/10010885328
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...
Persistent link: https://www.econbiz.de/10009358927
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...
Persistent link: https://www.econbiz.de/10008563284
This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium and small-middle-segment housing for the South African economy. Given the in-sample period of 1980:01 to...
Persistent link: https://www.econbiz.de/10008563314
This study examines the impact of ChinaÂ’s dominant position among the BRIS countries, namely Brazil, Russia, India and South Africa. Particularly, by using a dynamic factor model estimated over the period 1995Q2-2009Q4, it investigates how supply and demand shocks from China are transmitted...
Persistent link: https://www.econbiz.de/10010687825
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...
Persistent link: https://www.econbiz.de/10010823146