This study applies Panel KSS Test with a Fourier function through the Sequential Panel Selection Method, proposed by Chortareas and Kapetanios (2009), to test whether housing bubbles exist in South Africa using the ratio of housing price to income in 9 provinces (i.e., Eastern Cape, Free State,...

Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...

This paper examines the causal link between economic policy uncertainty and stock returns in China and India, using bootstrap Granger full-sample causality test and sub-sample rolling window estimation. We use monthly data covering from 1995:02 to 2013:02 for China and 2003:02-2013:02 for India....

This paper empirically examines the causal linkages between policy uncertainty and house prices in a panel of seven advanced countries including Canada, France, Germany, Italy, Spain, the UK and the US. We implement a bootstrap panel causality test on quarterly data from 2001Q1 to 2013Q1, which...

This paper analyses the economic sources underlying the comovement of real house prices in South Africa. We use quarterly provincial-level data from 1974:Q1 to 2011:Q4. First, we disentangle the national component of real house price movements from the local (provincial or region-specific)...

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 paper studies the interplay of fiscal policy and asset prices in a time varying parameter VAR. Using South African data since 1966 we are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy. This enables us to isolate specific periods in...

This paper evaluates the welfare gain from reducing inflation permanently from two percent to price stability and compares it the output cost associate with this transition. The paper emphasizes the distortions caused by the interaction of inflation and capital income taxation, in calculating...

The paper develops a Bayesian vector autoregressive (BVAR) model of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate forecasts...

This paper develops an estimable hybrid model that combines the theoretical rigor of a micro-founded DSGE model with the flexibility of an atheoretical VAR model. The model is estimated via maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption,...