Purpose – This paper aims at developing a theoretical model of a world economy characterized by tax evasion. It seeks to analyze whether financial repression can be explained by tax evasion. Design/methodology/approach – The analysis is performed in overlapping generations dynamic general...

Purpose – This paper aims to develops an estimable hybrid model that combines the micro‐founded DSGE model with the flexibility of the atheoretical VAR model. Design/methodology/approach – The model is estimated via the maximum likelihood technique based on quarterly data on real gross...

Purpose – This paper seeks to assess the impact of monetary policy on house price inflation for the nine census divisions of the US economy. Design/methodology/approach – A factor‐augmented VAR (FAVAR) model is estimated using a large data set comprising of 126 quarterly series over the...

Purpose The purpose of this paper is to investigate whether there exist multiple bubbles in the Brazil, Russia, India, China and South Africa (BRICS) stock markets. Design/methodology/approach In this study, the authors apply the generalized sup Augmented Dickey-Fuller test, a new recursive test...

Purpose The purpose of this paper is to study the evolution of monetary policy uncertainty and its impact on the South African economy. Design/methodology/approach The authors use a sign restricted SVAR with an endogenous feedback of stochastic volatility to evaluate the sign and size of...

Purpose – The authors analyse the relationship between the South African real exchange rate and economic fundamentals – demand, supply and nominal shocks. The paper aims to discuss these issues. Design/methodology/approach – The authors use a time-varying parameter VAR to study the...

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal...

Purpose – The purpose of this study is to construct a financial conditions index (FCI) for the South African economy to enable the gauging of financial conditions and to better understand the macro-financial linkages in the country. The global financial crisis that began in 2007-2008...

Purpose – The objective of this paper is to explore the sensitivity of industry‐specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry‐specific South African stock market indices and evaluates the sensitivity of these indices to various...