This paper provides an assessment of the comparative effectiveness of four econometric methods in estimating the optimal hedge ratio in an emerging equity market, particularly the South African equity and futures markets. The paper bases the effectiveness of hedging on volatility reduction and...

This paper examines how the short-term and long-term interest rates react to supply, demand and monetary policy shocks in South Africa. Use is made of the impulse response functions obtained from the structural vector autoregressive model with long-term restrictions. We find a positive...

number of studies have contended that it is challenging to explain exchange rate movement with macroeconomic fundamentals. A naive model such as a random walk forecasts exchange rate movements more reliably than existing structural models. This paper confirms that it is possible to improve the...

The Unbiased Forward Rate Hypothesis (UFRH) stipulates that the forward rates should be a perfect predictor for the future spot rates. A number of studies have tested the UFRH and foreign market efficiency and concluded that the hypothesis does not hold. This phenomenon is known as the UFRH...

Concerns have been raised in regards to how to redress a decreasing trend in national saving in South Africa. A number of authors have suggested that redressing government saving, through fiscal discipline characterised by a low government budget deficit ratio, should be a key in redressing the...

The research and bank model developed in this paper for the case of Indonesia is motivated by the following: 1. A recent change in banking regulations in Indonesia, like the statutory reserve requirement and full implementation of Basel II in 2011, coupled with a lack of literature to document...

The past two decades have witnessed many episodes of economic reform across the developing world. Although initiated with popular enthusiasm, sustaining and completing these reform packages has turned out to be much more difficult, with policymakers having to `walk the line' between success and...

The article investigates the interrelations between the initial members of the Euro area and five Central and Eastern European economies.Structural vector error correction approach, theoretically derived restrictions on the cointegration matrix, generalized impulse response analysisHigh degree...

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This paper presents a comparative analysis of innovation behaviour at the firm level across countries with different levels of technological development. The literature has argued mostly from a macroeconomic perspective (e.g. Silverberg and Verspagen 1995, Acemoglu – Aghion – Zillibotti...