In this paper, we analyze symmetric and asymmetric causal relationship between energy consumption and economic growth in time and frequency domains, using annual data covering the period of 1965-2012. In general, our results tend to suggest that energy consumption causes growth, especially the...

In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...

This paper investigates the long-run impact of inflation on homeowner equity in South Africa by analysing the relationship between house prices and the prices of non-housing goods and services. Quarterly data series are collected for the luxury, large middle-segment, medium middle-segment, small...

This paper provides empirical evidence on the long- and short-run relationships between real house and stock prices of South Africa. Standard linear tests may not detect the existence of long- and short-run relationships between time series especially in the presence of structural shifts or...

This paper analyses the intertemporal hedging demand for stocks and bonds in South Africa (SA), the United Kingdom (UK) and the United States (US). The analysis is done using an approximate solution method for the optimal consumption and wealth portfolio problem of an infinitely long-lived...

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 study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large,...

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...

The aim of this paper is to investigate the causal relationship between agricultural prices in South Africa and global oil prices. A nonlinear Granger causality test based on moment conditions, introduced by Nishiyama et al (2011) is employed and we find that there is indeed a causal...