Template-Type: ReDIF-Article 1.0 Author-Name: J Fedderke Author-X-Name-First: J Author-X-Name-Last: Fedderke Author-Name: M Joao Author-X-Name-First: M Author-X-Name-Last: Joao Title: Price Discovery in South African Financial Markets: Investigating the Relationship Between South Africa's Stock Index Futures Market and the Underlying Market Abstract: This paper investigates price discovery in the association between the South African stock index futures market and the underlying market. Employing an unstructured VAR on intraday data at the 2, 6, and 10 minute frequency for 1998, and end-of-day data for 1996-98, we find that futures markets lead spot markets. While precluding Fama informational efficiency, this does not preclude zero-arbitrage efficiency. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 2 Volume: 25 Year: 2001 Month: 8 X-DOI: 10.1080/10800379.2001.12106311 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106311 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: F C v N Fourie Author-X-Name-First: F C v N Author-X-Name-Last: Fourie Author-Name: A Smith Author-X-Name-First: A Author-X-Name-Last: Smith Title: Revisiting the Concentration-Profits Relationship in South Africa: Moving the Debate Beyond Deadlock Abstract: Having played out for nearly five decades, the concentration-profits controversy is perhaps one of the longest running debates in the field of Industrial Organisation. Sadly, the well worn path of cross section study has forced the debate into an impasse, unable to render clear or precise conclusions. However, we believe that cross section study can still yield important insights provided its purpose is not to validate the deterministic either/or stance endemic in the SCP paradigm/Chicago debate. By re-orientating the debate away from a search for sterile “laws” that supposedly govern whether concentration is a proxy indicator for monopoly abuse or the by-product of greater efficiency, the South African debate can escape the gridlock. In the first part, this study replicates the seminal works of Collins and Preston (1969), Comanor and Wilson (1967) and Weiss (1974). These studies are important because they provide a framework within which the interrelationships between a number of key variables - such as buyer concentration, regional concentration and various barriers to entry - are examined for the first time using South African data. This study shows that there is much richness in the complex array of structure and performance relationships that persist between key industry variables. The second half of the investigation probes further, testing a series of simultaneous equations to understand how endogeneity and simultaneity considerations might blur the expected lines of causality within the concentration-profits relationship. A number of key inferences are drawn, highlighting a number of surprising results. Journal: Studies in Economics and Econometrics Pages: 25-60 Issue: 2 Volume: 25 Year: 2001 Month: 8 X-DOI: 10.1080/10800379.2001.12106312 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106312 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:25-60 Template-Type: ReDIF-Article 1.0 Author-Name: A E Nell Author-X-Name-First: A E Author-X-Name-Last: Nell Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Author-Name: E vd M Smit Author-X-Name-First: E Author-X-Name-Last: vd M Smit Title: Dividendveranderings in Suid-Afrika - Tekenend Van Die Verlede of Toekoms? Abstract: This study attempts to answer the question whether changes in dividends contain information about future and/or present changes in earnings as many dividend theories imply. Results show no significant support for the dividend theory. Also, the size of the dividend increases does not predict future earnings. A strong and consistent observation was that companies that had cut dividends show a growth in earnings in the following years. The results also indicate that companies that increase dividends are less likely to experience a drop in future earnings than those firms with similar earnings growth that do not change their dividends. Journal: Studies in Economics and Econometrics Pages: 61-86 Issue: 2 Volume: 25 Year: 2001 Month: 8 X-DOI: 10.1080/10800379.2001.12106313 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106313 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:61-86 Template-Type: ReDIF-Article 1.0 Author-Name: M Robertson Author-X-Name-First: M Author-X-Name-Last: Robertson Author-Name: C Firer Author-X-Name-First: C Author-X-Name-Last: Firer Author-Name: D Bradfield Author-X-Name-First: D Author-X-Name-Last: Bradfield Title: Verifying Return-Based Style Analysis Using Composition-Based Factor Returns Abstract: There are strong arguments for both the composition-based and returns-based approach to style analysis. Several studies have used these techniques for the purpose of identifying unit trusts that are misclassified in terms of their category. By expanding on a well-established technique, this study investigates whether substituting composition-based style factor returns in a returns-based style analysis framework is able to support the findings of the returns-based style analysis. While both techniques of style analysis are capable of identifying misclassified funds they only give partially consistent results. The technique prevents a fund from being reclassified in terms of a returns-based style analysis if such a reclassification is not supported by a composition-based style analysis. Journal: Studies in Economics and Econometrics Pages: 87-102 Issue: 2 Volume: 25 Year: 2001 Month: 8 X-DOI: 10.1080/10800379.2001.12106314 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106314 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:87-102 Template-Type: ReDIF-Article 1.0 Author-Name: J Papanastasiou Author-X-Name-First: J Author-X-Name-Last: Papanastasiou Author-Name: J Lazaridis Author-X-Name-First: J Author-X-Name-Last: Lazaridis Author-Name: K Lyroudi Author-X-Name-First: K Author-X-Name-Last: Lyroudi Title: Financial Leasing And Investment Decisions: An Empirical Investigation Abstract: An empirical model drawing from the switching regime literature is used to examine whether Greek firms' investment decision on fixed assets is affected by the availability of long-term financial schemes. Journal: Studies in Economics and Econometrics Pages: 103-108 Issue: 2 Volume: 25 Year: 2001 Month: 8 X-DOI: 10.1080/10800379.2001.12106315 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106315 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:2:p:103-108 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: Empirical Regularities in the Growth of Government Abstract: Meltzer and Richard (1983) test a model developed earlier (1981) of the size of government using a Stone-Geary utility function and annual data for the United States. They find that the ratio of government spending for redistribution to aggregate income, and the share of aggregate income redistributed in cash, rise and fall with the ratio of mean to median income and the level of (median) income. Redistribution in kind--the provision of education, health care, fire protection, and other services--also rises and falls with the ratio of mean to median income, but it appears to be independent of the level of income.In this paper a model is tested which is more comprehensive than that developed by Meltzer and Richard in the sense that it incorporates exogenous factors such as the fraction of the population that is under 18 years of age and that which is 65 years of age and over, the total population itself, the degree of homogeneity in the population, and most importantly, the use of per capita income in place of the level of median income to test “Wagner's (1958) law”. Time-series data for the United States and for Canada as well as cross-section data for the United States and for OECD countries are used. The replication of the tests of Meltzer and Richard's model using more recent data for the United States and for Canada indicates that while it may be theoretically sound the data do not seem to be consistent with their rational theory of the size of government. Since the coefficient estimates of the variables normally used in the public finance literature are volatile in terms of sign and magnitude, their interpretation is difficult and thus this study confirms the necessity of the development of a sound theory of the size and growth of government as a prerequisite for the robustness of regression results. Journal: Studies in Economics and Econometrics Pages: 1-30 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106316 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106316 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:1-30 Template-Type: ReDIF-Article 1.0 Author-Name: A Behar Author-X-Name-First: A Author-X-Name-Last: Behar Title: Investigating the Relevance of Supply-Side Factors for Export-Oriented Investment Abstract: It is important to test the relevance of supply conditions — relative to demand or neutral conditions — for export-oriented investment (EOI). If supply-side factors are not more pertinent, costly measures in place to attract EOI to South Africa might have unintended consequences. Test results suggest supply-side variables are more important for foreign export-oriented investment and not more important for domestic export-oriented investment, but severe data constraints force the construction of crude EOI proxies for the tests. These constraints expose the need for better EOI information and research. Journal: Studies in Economics and Econometrics Pages: 31-56 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106317 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106317 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:31-56 Template-Type: ReDIF-Article 1.0 Author-Name: S E Neubrech Author-X-Name-First: S E Author-X-Name-Last: Neubrech Author-Name: W J Pienaar Author-X-Name-First: W J Author-X-Name-Last: Pienaar Title: Possible Implications of the Price, Cross-Price and Income Elasticities of the Demand for Public Road Transport in the Cape Metropolitan Area - a Co-Integration Analysis Abstract: This article provides an application of co-integration analysis within the context of public transport services in the Cape Metropolitan Area. The results of the study reveal the price, cross-price and income elasticity of demand for minibus taxi and public bus transport in the Cape Metropolitan Area. These empirically derived results have a number of implications for the present commuter transport subsidy system and the regulation of minibus taxis. Greater co-ordination between minibus taxi and public bus transport by means of a tender system is proposed. Journal: Studies in Economics and Econometrics Pages: 57-74 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106318 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106318 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:57-74 Template-Type: ReDIF-Article 1.0 Author-Name: M P Cook Author-X-Name-First: M P Author-X-Name-Last: Cook Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Forecasting Cyclical Turning Points by Means of a Probabilistic Approach: Some South African Evidence Abstract: In this paper the effectiveness of “transplanting” a forecasting method based on a probabilistic approach is assessed in the South African context. The method utilises leading indicators in regression models, with a dichotomous response variable which assumes values of 0 or 1 to indicate business cycle expansion or contraction. The study closely replicates the work of Nazmi (1993) on turning point prediction. The results indicate an ability of the model to accurately forecast business cycle turning points in the 1980s. In the 1990s, the model displays a diminished capacity to forecast the turning points with acceptable accuracy. Leading indicators, in the South African experience, show reliable leading relationships with the composite coincident index over the period between 1970 and 1980 and thereafter this relationship weakens, impacting negatively on their forecasting ability. Journal: Studies in Economics and Econometrics Pages: 75-104 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106319 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106319 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:75-104 Template-Type: ReDIF-Article 1.0 Author-Name: N Biekpe Author-X-Name-First: N Author-X-Name-Last: Biekpe Title: Modelling Exchange Rates Returns Using a Nested Design Model Abstract: This paper examines cross-country currency variations regarding using a “nested design model“. It attempts to address the following three fundamental questions frequently asked by market practitioners. Is the market efficientŒ How significant is the variation of currencies volatility across countriesŒ How significant is the risk premium in the currency marketŒ The logic of these questions is that, if countries have similar trade policies, then they are likely to share common market risk factors. These factors could include, among others, a common risk shared by the various currencies. The study here compares the prediction power of two models. The first is by Levich (1978) and Frankel (1982). Wilkinson and Rogers (1973) motivated the second in the experimental design framework. In the model due to Wilkinson and Rogers (!973), we incorporated a time component into the model structure to yield what we term the nested design model (or nested exchange rate model). This model is then compared with a traditional exchange rate model. The daily spot and forward exchange rate data (in US dollar equivalence) from six developed countries were used in the study. The speculative returns and forward premium of both models were calculated. Evidence here suggests that the nested exchange rate model appears to be a better model. Journal: Studies in Economics and Econometrics Pages: 105-114 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106320 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106320 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:105-114 Template-Type: ReDIF-Article 1.0 Author-Name: N Al-Mawali Author-X-Name-First: N Author-X-Name-Last: Al-Mawali Author-Name: A N M Wahid Author-X-Name-First: A N M Author-X-Name-Last: Wahid Title: A Note on the Oman Stock Market and the Problem of Over-Subscriptions Abstract: In the primary stock market of Oman, new issues are sold at an arbitrary fixed price giving rise to the problem of oversubscriptions. This paper defines and explains the process of oversubscriptions and finds that it distorts the market and causes inefficiency. The paper concludes that in order to alleviate this problem, market forces should be allowed to operate freely and excess liquidity emanating from inordinate government soft loan should be controlled. Journal: Studies in Economics and Econometrics Pages: 115-122 Issue: 3 Volume: 25 Year: 2001 Month: 12 X-DOI: 10.1080/10800379.2001.12106321 File-URL: http://hdl.handle.net/10.1080/10800379.2001.12106321 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:25:y:2001:i:3:p:115-122 Template-Type: ReDIF-Article 1.0 Author-Name: S McDonald Author-X-Name-First: S Author-X-Name-Last: McDonald Author-Name: C Punt Author-X-Name-First: C Author-X-Name-Last: Punt Title: Supply Constraints, Export Opportunities and Agriculture in the Western Cape of South Africa Abstract: The availability of land imposes constraints on the ability of agricultural industries to respond to opportunities that may accompany trade and policy liberalization, and hence limits the benefits that may be realized. This paper reports results from SAM-Leontief analyses of the impact of policy liberalisation on agriculture in the Western Cape of South Africa when agriculture is supply constrained. The results indicate that liberalisation should have benefited rural communities, especially farmworkers, but the benefits are limited by supply constraints. Relaxing these constraints, through increases in productivity, would increase substantially the benefits for agricultural and food processing industries. Journal: Studies in Economics and Econometrics Pages: 1-16 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106322 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106322 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 Author-Name: S Davidson Author-X-Name-First: S Author-X-Name-Last: Davidson Author-Name: R Faff Author-X-Name-First: R Author-X-Name-Last: Faff Author-Name: H Mitchell Author-X-Name-First: H Author-X-Name-Last: Mitchell Title: Are Returns in the International Economy Explained by a Single or Multi-Factor Structure? Abstract: This paper examines whether the CAPM beta is a good proxy for the factor loadings of the APT in an international setting. We investigate this question using monthly national market index data drawn from the Morgan Stanley Capital International database, over the twenty-five year period 1970 to 1994. While we find evidence that the international CAPM beta is a consensus measure of up to four return generating factors, the international factor loadings provide a poor explanation of returns. Journal: Studies in Economics and Econometrics Pages: 17-32 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106323 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106323 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:17-32 Template-Type: ReDIF-Article 1.0 Author-Name: G J Kershoff Author-X-Name-First: G J Author-X-Name-Last: Kershoff Title: An Evaluation of the Ber's Trade and Building Survey Panels Abstract: During the late 1990s, researchers at the BER became concerned about the validity of its trade and building survey results. At that stage the panels of participants had last been updated in 1984. The response rate in some sectors was rather low and the sectoral weights probably no longer reflected the structural changes that occurred over the previous ten years or so.In accordance with international custom, deliberate sampling was used to re-design the BER's trade and building panels. The BER's trade and building panels are broadly fair reflections of the universe taking into account the response rate and the results of a comparison between the composition of the panels and censuses and other official data. The exception is sub-contractors. The building panel is representative of the formal sector, but not of the building sector as a whole, as it does not cover the informal sector. Journal: Studies in Economics and Econometrics Pages: 33-50 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106324 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106324 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:33-50 Template-Type: ReDIF-Article 1.0 Author-Name: J Z Bloom Author-X-Name-First: J Z Author-X-Name-Last: Bloom Author-Name: I J Lambrechts Author-X-Name-First: I J Author-X-Name-Last: Lambrechts Author-Name: N J le Roux Author-X-Name-First: N J Author-X-Name-Last: le Roux Title: The Behaviour of Financial Ratios for Capital and Labour Intensive Enterprises During the Economic Cycle Abstract: The objectives of the study are firstly, to analyse and investigate patterns to determine whether or not there are specific justification(s) for the behaviour exhibited by capital intensive (CI) and labour intensive (LI) enterprises for a particular ratio during either or both the upswing and decline phases of the economic cycle. The second objective is to isolate financial indicators which could possibly be used to forecast financial performance by identifying leads and lags.The findings of the research suggest that CI and LI enterprises differ in terms of the behaviour of certain financial indicators during either or both an upswing and decline of the economic cycle. It is therefore not possible to consider the universal use of financial indicators. It also appears that it is possible to use a large number of traditional indicators to forecast financial performance as they follow the trade cycle. Several indicators suggest the possibility of leading the economic cycle and therefore could provide an indication of an economic upswing or decline. Journal: Studies in Economics and Econometrics Pages: 51-70 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106325 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106325 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:51-70 Template-Type: ReDIF-Article 1.0 Author-Name: G D I Barr Author-X-Name-First: G D I Author-X-Name-Last: Barr Author-Name: L Sharp Author-X-Name-First: L Author-X-Name-Last: Sharp Title: Measuring Contagion – The Profile of South African and Emerging Market Risk Over the 1998 Crisis Abstract: This paper considers the emerging market crisis of 1997-98 with particular reference to measuring the affect of the crisis on the South African equity market. In order to do this it characterises an appropriate measure of risk, which can be termed sovereign risk. Sovereign risk measures the risk of default on the debt obligations of a central government. For South Africa it is the spread between a dollar- denominated bonds of the SA government and a dollar-based USA bond of the same tenure. In addition, the paper considers the profile of Rand exchange rate risk over the crisis period. The sovereign and exchange rate risk profile of emerging markets are then compared to that of South Africa. Journal: Studies in Economics and Econometrics Pages: 71-82 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106326 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106326 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:71-82 Template-Type: ReDIF-Article 1.0 Author-Name: P van Rensburg Author-X-Name-First: P Author-X-Name-Last: van Rensburg Title: Market Segmentation on the Johannesburg Stock Exchange II Abstract: Given the reclassification of the Johannesburg Stock Exchange (JSE) sector indices that occurred in March 2000, this paper updates the factor analytic procedure conducted by van Rensburg and Slaney (1997). It is found that the new Financial-Industrial (CI21) and Resources (CI11) indices may be used as observable proxies for the first two principal components extracted from the covariance matrix of JSE returns. Consequently, it is suggested that these indices replace the Industrial and All-Gold index in future applications of the two factor arbitrage pricing theory (APT) model.Prior research is extended by considering the implications of the dichotomy in the return generating processes underlying JSE financial- industrial and resource stocks for the estimation of security betas. It is mathematically demonstrated that this dichotomy implies that the cross-sectional correlation matrix of the market model's residual errors is not diagonal. As a result, conventionally conducted market model regressions are characterised by the problem of omitted variable bias and downwardly biased t statistics. A remedial procedure is proposed, which may serve as a general correction for omitted variable bias in ordinary least squares regression analysis when using panel data. Finally, it is pointed out that the All-Share Index, conventionally employed as the market proxy in South African beta estimation, is not mean-variance efficient given the opportunity for offshore investment. This implies that the capital asset pricing model, as conventionally specified by South African academics does not hold on the JSE. Journal: Studies in Economics and Econometrics Pages: 83-100 Issue: 1 Volume: 26 Year: 2002 Month: 4 X-DOI: 10.1080/10800379.2002.12106327 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106327 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:1:p:83-100 Template-Type: ReDIF-Article 1.0 Author-Name: O A Akinboade Author-X-Name-First: O A Author-X-Name-Last: Akinboade Author-Name: E W Niedermeier Author-X-Name-First: E W Author-X-Name-Last: Niedermeier Title: Labour Costs and Inflation in South Africa: An Econometric Study Abstract: The article develops a model which relates the labour market to domestic inflation in South Africa. The study includes a Granger causality test used to determine the direction of causality between labour costs and the consumer price index.Past wage growth in excess of inflation is positively correlated with prices in the short run. In the long run, rising labour costs have contributed significantly to inflation in South Africa. The predominant source of variation in domestic inflation's forecast errors is own shocks. Other sources include innovations from labour costs and the nominal effective exchange rate. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106328 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106328 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: J A Molina Author-X-Name-First: J A Author-X-Name-Last: Molina Title: Modelling the Demand Behaviour of Spanish Consumers Using Parametric and Non-Parametric Approaches Abstract: This article models the demand behaviour of consumers using the parametric and non-parametric approaches. To that end, we consider Spanish time-series from 1964 to 1995 relative to the quantities and prices of five aggregated consumption goods, namely Food, Clothing, Energy, Transport and Miscellaneous Goods. With respect to the non-parametric results, we find that there is a stable demand system underlying the personal preferences structure which explains the observed quantities of goods and is equivalent to the existence of a well-behaved utility function. The parametric results show that the homogeneous and symmetric version of the Rotterdam model satisfies the econometric and theoretical requirements, and hence can properly be used for modelling the demand behaviour of Spanish consumers from 1964 to 1995. Journal: Studies in Economics and Econometrics Pages: 19-37 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106329 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106329 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:19-37 Template-Type: ReDIF-Article 1.0 Author-Name: S Lahiri Author-X-Name-First: S Author-X-Name-Last: Lahiri Title: Axiomatic Analysis of Choosing the Second Best Abstract: Three new axiomatic characterizations of the decision rule which invariably selects the second best alternative are provided. Subsequently it is shown that apparently non-optimal decisions can always be rationalized by embedding the set of alternatives in an augmented space. Journal: Studies in Economics and Econometrics Pages: 37-50 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106330 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106330 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:37-50 Template-Type: ReDIF-Article 1.0 Author-Name: G M Pellissier Author-X-Name-First: G M Author-X-Name-Last: Pellissier Title: Business Confidence and the South African Business Cycle Abstract: This article endeavours to compare the two business confidence indicators in South Africa (that of the BER and SACOB) in terms of their respective relationships as business cycle indicators. Although bearing the same name of business confidence indicator, totally different economic variables are measured in compiling the indices. The BER’s business confidence indicator is a psychological measurement of the level of satisfaction with prevailing business condition, while SACOB’s business confidence indicator is basically a composite coincident/leading indicator of the business cycle and by implication an indicator of business confidence. Both business confidence indicators correlate highly between themselves and show signs of having leading indicator capabilities of the South African business cycle. However, the leading indicator characteristics of both indices are not better than the official leading indicator and are also of a declining order. In terms of causality, both the indicators seem to be moving towards a coincident relationship rather than a leading one with the business cycle. Only the BER business confidence indicator displays comparable cyclical turning point attributes. Journal: Studies in Economics and Econometrics Pages: 51-67 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106331 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106331 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:51-67 Template-Type: ReDIF-Article 1.0 Author-Name: C Firer Author-X-Name-First: C Author-X-Name-Last: Firer Author-Name: D Bradfield Author-X-Name-First: D Author-X-Name-Last: Bradfield Title: On the Market Risk Premium Abstract: A perspective is given on the dynamic nature, reliability, and the estimation of the market risk premium, as well as some implications concerning its current level. The analysis is based on a data set spanning some 76 years. An historical ‘best estimate’ of 7,5 percent is suggested for practical use. Furthermore, graphical insights on the dynamic nature of the market risk premium using a rolling estimation approach, reveal a slow decline in the market risk premium. Journal: Studies in Economics and Econometrics Pages: 69-80 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106332 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106332 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:69-80 Template-Type: ReDIF-Article 1.0 Author-Name: N Biekpe Author-X-Name-First: N Author-X-Name-Last: Biekpe Title: Modelling Exchange Rate Variations Using Principal Components Analysis : A Note Abstract: This paper examines cross-country currency variations using principal components and a dynamic linear model (DLM). A combination of the principal components analysis and DLM (which is time-dependent) ensures that the variation explained by the analysis is non-static. Normally, ordinary principal components calculations produce static values that are not time-dependant. However, the dependence of spot and forward rates on time requires that a time-dependent modeling approach be adapted. The main argument in this analysis is that if countries have similar growth trends, then they are more likely to share common dominant growth factors. These factors could include, for instance, common inflation or currency risks. If this risk is significant enough then principal components analysis together with an appropriate DLM should capture it. Journal: Studies in Economics and Econometrics Pages: 81-85 Issue: 2 Volume: 26 Year: 2002 Month: 8 X-DOI: 10.1080/10800379.2002.12106333 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106333 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:2:p:81-85 Template-Type: ReDIF-Article 1.0 Author-Name: H M J Leng Author-X-Name-First: H M J Author-X-Name-Last: Leng Title: The South African Share Index Futures and Share Markets : Efficiency and Causality Revisited Abstract: In this paper the efficiency of the stock index futures market and the underlying spot market is investigated over the period January 2, 1996 to June 29, 2001. In addition to examining the whole data set, the sample was also divided into four subsamples, each of which was analysed independently. The four subsamples included a pre-crisis or tranquil period, a crisis period, a transition period and, finally, a post-crisis period. The crisis period spans the time of the Asian financial crisis whereas the transition period incorporates two events which may have impacted on market efficiency - the Russian ruble crisis and the South African rand crisis. We tested for unit roots, market cointegration and Granger causality with vector error correction and found that the two markets were relatively inefficient during the pre-crisis period but that efficiency improved following the onset of the crisis. The futures market proved to be the dominant market in the long-run during all four subsample periods since it was primarily responsible for maintaining its equilibrium relationship with the underlying spot market. Over the short-term, the futures return was found to lead or Granger-cause the spot return during the pre-crisis period, but this was reversed during the crisis period. No short-term causality relationship could be detected for the transition and post-crisis periods. Futures prices are expected to lead spot prices because of lower transaction costs and less restrictive short-selling in the futures market. We speculate that the anomaly, i.e., the spot price lead, during the crisis period reflect investor behaviour during times of uncertainty and distress when more value is attached to the underlying asset than to past performance or future prospects of the derivative instrument. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 3 Volume: 26 Year: 2002 Month: 12 X-DOI: 10.1080/10800379.2002.12106334 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106334 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:3:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: H R Oosthuizen Author-X-Name-First: H R Author-X-Name-Last: Oosthuizen Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: South African Unit Trusts: Selection Ability and Information Effects Abstract: Research into unit trusts are often concerned with the ability of fund managers to achieve superior performance. However, the growing popularity of unit trusts as an investment vehicle may also lead one to question the ability of individual unit trust investors themselves.The main research objective of this study is to establish whether South African unit trust investors display selection ability, i.e. whether investors are smart ex ante, in that they move to funds that will perform better. The secondary research objective is to establish whether investors’ moves (in the form of cash flows into and out of funds) contain information that can be utilised to earn abnormal returns - the so-called information effect.The analysis is based on a performance test introduced by Grinblatt and Titman (1993) and further developed and applied by Zheng (1999). Evidence is presented that confirm that investors display selection ability, although this ability is very weak. There is, however, no significant evidence to support the information effect. Tests conducted to examine the information effect provide some evidence that money flows from funds that subsequently underperform the market. Journal: Studies in Economics and Econometrics Pages: 19-42 Issue: 3 Volume: 26 Year: 2002 Month: 12 X-DOI: 10.1080/10800379.2002.12106335 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106335 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:3:p:19-42 Template-Type: ReDIF-Article 1.0 Author-Name: E Moolman Author-X-Name-First: E Author-X-Name-Last: Moolman Title: The Term Structure as a Predictor of Recessions Abstract: Despite the existence of macroeconomic models and complex business cycle indicators, policymakers and market participants can benefit by looking at a few well-chosen indicators such as the term structure of interest rates in predicting business cycle turning points. If the term structure accurately predicts business cycle turning points, it provides an easy way to confirm the predictions of macroeconomic models, or it can eliminate the need for a macroeconomic model the interest is in the turning points and not in the levels of the business cycle. The objective of this paper is to predict turning points of the South African business cycle based on its relationship with the term structure of interest rates. A probit model was used, and the results indicate that the term structure successfully predicts turning points of business cycle two quarters ahead. The negative empirical relationship between the term structure of interest rates and the business cycle conforms to economic theory. Journal: Studies in Economics and Econometrics Pages: 43-52 Issue: 3 Volume: 26 Year: 2002 Month: 12 X-DOI: 10.1080/10800379.2002.12106336 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106336 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:3:p:43-52 Template-Type: ReDIF-Article 1.0 Author-Name: F le R Booysen Author-X-Name-First: F le R Author-X-Name-Last: Booysen Title: Using Demographic and Health Surveys to Measure Poverty - An Application to South Africa Abstract: There are different approaches to the measurement of poverty. These depend on the objective of the analysis, the nature of the data and the method employed in measuring poverty. The asset index approach applied to data from Demographic and Health Surveys (DHS) has gained increasing popularity in recent years, particularly in analyses of the relationship between poverty, health and population issues. The results presented in this paper suggest that it is possible, in the absence of income and expenditure data, to employ the available data from the DHS to measure differences in the socioeconomic status of South African households. The asset index represents an internally coherent, robust and comparable indicator of poverty. An analysis of the relationship between poverty, health and population issues, for which the DHS data set presents a wealth of data, will be impossible without such an asset index. Journal: Studies in Economics and Econometrics Pages: 53-70 Issue: 3 Volume: 26 Year: 2002 Month: 12 X-DOI: 10.1080/10800379.2002.12106337 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106337 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:3:p:53-70 Template-Type: ReDIF-Article 1.0 Author-Name: J Z Bloom Author-X-Name-First: J Z Author-X-Name-Last: Bloom Title: An Application of Self-Organising and Backpropagation Neural Networks for Predicting Segment Classification Abstract: Inadequate market segmentation and clustering problems could cause an enterprise to either miss a strategic marketing opportunity or not cash-in on a tactical campaign. The need for in-depth knowledge of customer segments and the need to overcome the limitations of using linear techniques to analyse non-linear problems requires a re-assessment of generally used approaches. The objectives of the research are (1) to consider the use of self-organising (SOM) neural networks for segmenting customer markets and (2) to analyse the predictive ability of backpropagation (BP) neural networks for classifying new customers by using the output provided by SOM neural networks. The nature and scope of neural networks are considered and the conceptual differences between Cluster Analysis and SOM neural networks as well as BP neural networks and multiple linear regression (MLR) static filter model are highlighted. The findings of the SOM neural network modelling indicate four natural clusters. In addition, the predictive ability of the BP neural network model was superior to that of MLR. Additional knowledge was also extracted from the BP neural network model by analysing the relationship between the input variables and each segment by means of input-output analysis. Sensitivity analysis was also used to identify important variables for each segment. Input-output analysis is also used to compile broad profiles of differences between the segments. The BP neural network model developed for this application is also suitable for deployment (i.e. classification of “new” customers) with a high level of confidence. Journal: Studies in Economics and Econometrics Pages: 71-90 Issue: 3 Volume: 26 Year: 2002 Month: 12 X-DOI: 10.1080/10800379.2002.12106338 File-URL: http://hdl.handle.net/10.1080/10800379.2002.12106338 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:26:y:2002:i:3:p:71-90 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: The Growth Of Public Expenditure: A Survey Of The Literature Abstract: This paper offers a survey of the economic literature on the growth of public expenditure in developed and developing countries. After a brief discussion of the median voter model the main competing theories of the growth of government as well as their explanatory powers are examined. The model is then modified to take account of important aspects of the actual political process including the interests of the bureaucracy. Alternative versions of the class interest theory and tests of some of the leading hypotheses in the context of developing economies are discussed. From this survey it appears that there is a great variety of hypotheses about public expenditure growth and of models to which they are related. This variety shows that experts in the field of public finance have yet to come to an agreement as to the causal influences at work. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106339 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106339 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: E Calitz Author-X-Name-First: E Author-X-Name-Last: Calitz Title: Economic Policy: Exploring The Independence Of South Africa Abstract: The extent to which globalisation and regionalisation result in a loss of policy independence is investigated mainly qualitatively, with special reference to South Africa. Regional economic integration and the international integration of domestic markets, are conscious decisions reflecting a judgment about the potential net benefits. In the context of globalisation market norms define a range of policy discretion, which is as wide or narrow as the trust in the government's track record, the quality of information and the cost of attaining it. The reality of globalisation and the demands of regionalisation present South Africa with a dilemma. Its regional economic ties should be forged in a manner that will not jeopardise globalisation benefits. If centrifugal forces of instability (threaten to) dominate, the de facto loss of policy autonomy in the context of globalisation holds less risk than the de jure loss of policy autonomy associated with rapid regional integration. Journal: Studies in Economics and Econometrics Pages: 20-38 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106340 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106340 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:20-38 Template-Type: ReDIF-Article 1.0 Author-Name: V Gumede Author-X-Name-First: V Author-X-Name-Last: Gumede Title: Manufacturing Export Elasticities In South Africa - A Time Series Approach Abstract: Applying time series techniques, this paper estimates and discusses export elasticities of the total economy and manufacturing in South Africa. Notwithstanding some drawbacks of the models estimated, empirical findings suggest that export elasticities, especially for the supply side, are generally small in size and that they are generally insignificant. For instance, for the total economy and total manufacturing long-run export supply functions, elasticities are inelastic. This particular result is not surprising. In fact, the results presented here seem better, both in term of sizes of elasticities and their significance, compared to results of other studies on South Africa. One possible shortfall of estimates could be a limited number of observations. Results of pooled regressions are more robust. Overall, results imply that exports of the economy and manufacturing sectors in particular are not yet fully responsive to changes in economic activity and relative prices. Therefore, policy should aim at strengthening the responsiveness of these sectors, in an appropriate manner. Journal: Studies in Economics and Econometrics Pages: 39-55 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106341 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106341 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:39-55 Template-Type: ReDIF-Article 1.0 Author-Name: E Moolman Author-X-Name-First: E Author-X-Name-Last: Moolman Author-Name: S K McCoskey Author-X-Name-First: S K Author-X-Name-Last: McCoskey Title: The Impact Of Misdiagnosing A Structural Break On Standard Unit Root Tests: Monte Carlo Results For Small Sample Size And Power Abstract: As discussed by Perron (1989), a common problem when testing for unit roots is the presence of a structural break that has not been accounted for in the testing procedure. In such cases, unit root tests are biased to non-rejection of the null hypothesis of non- stationarity. These results have been discussed using asymptotic theory and large samples in papers by Leybourne and Newbold (2000), Montanes and Reyes (1998) and Lee, Huang, and Shin (1997). In this paper we investigate the impact of ignoring structural breaks on sample sizes of more interest to empirical economists and show the results on power and size for both tests of the null of non- stationarity (ADF and Phillips-Perron) and the null of stationarity (KPSS). We are also able to give some guidelines on break placement which can cause the rapid flipping of rejection probabilities as discussed in Leybourne and Newbold (2000). Finally, we provide examples from time series data in South Africa to show the danger of misdiagnosis and the resulting misspecifications that can occur. Journal: Studies in Economics and Econometrics Pages: 57-74 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106342 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106342 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:57-74 Template-Type: ReDIF-Article 1.0 Author-Name: M Robertson Author-X-Name-First: M Author-X-Name-Last: Robertson Author-Name: P van Rensburg Author-X-Name-First: P Author-X-Name-Last: van Rensburg Title: The Interaction Between Sectors, Styles And Jse Returns Abstract: This study investigates whether style characteristics exhibit different properties across the major JSE industry sectors. Using monthly data on a broad sample of non-thinly traded JSE shares over the period July 1990 to June 2000, it is observed that a large proportion of financial ratios exhibit right skewness that is related to a lower bound of zero on their values. Financial ratios that incorporate levels of debt are markedly higher in the financial sector. It is argued that, as deposit-taking institutions, the market interprets leverage differently for these companies.Stock returns are regressed cross-sectionally on lagged style characteristics in each month using a dummy variable to indicate sector membership. The results show that, to varying degrees, small size and several interrelated measures of ‘value' exhibit a positive relationship with equity returns within all industry sectors. However, the value effects tend to be stronger in the financial and industrial sectors than in the resource sector. In contrast to the other sectors, financial stock returns are positively rewarded for high debt-to-equity ratios. Notwithstanding the above, it is concluded that, a size and price-earnings style-based model of expected returns is broadly representative of the entire JSE Securities Exchange. Journal: Studies in Economics and Econometrics Pages: 75-93 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106343 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106343 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:75-93 Template-Type: ReDIF-Article 1.0 Author-Name: J U de Villiers Author-X-Name-First: J U de Author-X-Name-Last: Villiers Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Author-Name: C Joubert Author-X-Name-First: C Author-X-Name-Last: Joubert Author-Name: N J le Roux Author-X-Name-First: N J le Author-X-Name-Last: Roux Title: Earnings Per Share and Cash Flow Per Share as Determinants of Share Value: Tests of Significance Using the Bootstrap with Demsetz's Method Abstract: Demsetz (1995) develops a method to determine the relationship between share prices and accounting profitability measures. Unfortunately, the probability distributions of the underlying statistics are unknown. This paper uses bootstrap methodology for obtaining standard errors associated with these statistics as well as percentiles for the respective distributions. We apply the bootstrap analysis to test for the relative importance of earnings per share (EPS) and cash flow per share (CPS) in explaining share prices. Contemporaneous year-on-year changes in EPS is statistically significantly better at explaining year-on-year changes in share prices than year-on-year changes in CPS. This confirms that the analysis of EPS is economically meaningful. Journal: Studies in Economics and Econometrics Pages: 95-125 Issue: 1 Volume: 27 Year: 2003 Month: 4 X-DOI: 10.1080/10800379.2003.12106344 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106344 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:1:p:95-125 Template-Type: ReDIF-Article 1.0 Author-Name: L L Ellis Author-X-Name-First: L L Author-X-Name-Last: Ellis Author-Name: B W Smit Author-X-Name-First: B W Author-X-Name-Last: Smit Author-Name: P Laubscher Author-X-Name-First: P Author-X-Name-Last: Laubscher Title: The Macro-Economic Impact of HIV/AIDS in South Africa Abstract: The macro-economic impact of HIV/AIDS in South Africa over the next 10 to 15 years is investigated by means of a macro-econometric model of the South African economy. The analysis is based on a set of HIV/AIDS inclusive and exclusive demographic projections for South Africa for the period up to 2015. The paper provides a detailed description of the various macro-economic channels of impact, the assumptions required to generate the model simulations, the macro-economic results and a sensitivity analysis of the main assumptions. The results suggest that although HIV/AIDS is expected to have a marked impact on macro-economic conditions in South Africa, the impact is not likely to be devastating to longer-term growth and development. Journal: Studies in Economics and Econometrics Pages: 1-28 Issue: 2 Volume: 27 Year: 2003 Month: 8 X-DOI: 10.1080/10800379.2003.12106345 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106345 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:2:p:1-28 Template-Type: ReDIF-Article 1.0 Author-Name: A Suleman Author-X-Name-First: A Author-X-Name-Last: Suleman Author-Name: W A Naude Author-X-Name-First: W A Author-X-Name-Last: Naude Title: The Competitiveness of South African Manufacturing: a Spatial View Abstract: Given the emphasis on international competitiveness in the manufacturing development strategies of the South African government, the purpose of this paper is to identify the potentially competitive manufacturing clusters on a spatial level in South Africa. Taking South Africa's nine provinces as the level of spatial analysis, this paper uses export specialisation and output specialisation ratios to obtain an idea of the competitiveness and comparative advantages of the various sectors. The results will allow national policy-makers to identify the spatial distribution of competitive manufacturing sectors across South Africa and allow provincial policy-makers to focus their policies on the manufacturing sectors with the most potential to develop into competitive industrial clusters. Journal: Studies in Economics and Econometrics Pages: 29-52 Issue: 2 Volume: 27 Year: 2003 Month: 8 X-DOI: 10.1080/10800379.2003.12106346 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106346 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:2:p:29-52 Template-Type: ReDIF-Article 1.0 Author-Name: J Botha Author-X-Name-First: J Author-X-Name-Last: Botha Title: Towards Africa's Global Integration: Trade, Investment and Development Abstract: Through NEPAD African leaders express a commitment to accountable and transparent political, financial, fiscal and monetary management in the absence of national and regional conflict, while calling on the international community and African and international private sectors to partnership with African governments in their development endeavours. The success of the initiative relies on the strength of only three supportive pillars namely: the sustained political visionary commitment from Africa's leaders, greater investments to the continent and trade access for Africa's products, and active participation from the private sector. It is also imperative that sub-regional strategies take precedence in ensuring NEPAD's long-term success. Journal: Studies in Economics and Econometrics Pages: 53-71 Issue: 2 Volume: 27 Year: 2003 Month: 8 X-DOI: 10.1080/10800379.2003.12106347 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106347 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:2:p:53-71 Template-Type: ReDIF-Article 1.0 Author-Name: J L Sadie Author-X-Name-First: J L Author-X-Name-Last: Sadie Title: The Demographic Theory of Unemployment and Underemployment in Developing Communities Abstract: The purpose of the paper is to find the ultimate determinants - that is, behind and beyond the customary supply and demand forces as revealed in the wage labour market (Wlm) - of the phenomenon of large scale unemployment and/or underemployment to which developing communities are prone. The answer proffered here is that they are located in demographic forces which are responsible for human power quantity outrunning humanpower quality. The latter - as required for economic growth and development - is shown to be function of the economic handicaps consequent upon a high level of human fertility. Journal: Studies in Economics and Econometrics Pages: 73-84 Issue: 2 Volume: 27 Year: 2003 Month: 8 X-DOI: 10.1080/10800379.2003.12106348 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106348 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:2:p:73-84 Template-Type: ReDIF-Article 1.0 Author-Name: H Abraham Author-X-Name-First: H Author-X-Name-Last: Abraham Title: The Efficient Market Hypothesis as a Martingale Abstract: It is well known that the efficient market hypothesis and a martingale are closely related. This paper studies the use of a martingale as a substitute for the efficient market hypothesis in a monetary overlapping generations economy where individuals maintain the von Neumann-Morgenstern expected utility proposition. Within this economic framework two results are derived. (1) A martingale is a direct consequence of equilibrium conditions in the optimisation of individuals’ expected utilities. (2) Learning is precluded in a successive transition from one state of equilibrium to the next. These two results accord fully with the definition of a martingale. Journal: Studies in Economics and Econometrics Pages: 85-92 Issue: 2 Volume: 27 Year: 2003 Month: 8 X-DOI: 10.1080/10800379.2003.12106349 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106349 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:2:p:85-92 Template-Type: ReDIF-Article 1.0 Author-Name: R Havemann Author-X-Name-First: R Author-X-Name-Last: Havemann Author-Name: S van der Berg Author-X-Name-First: S Author-X-Name-Last: van der Berg Title: The Demand for Health Care in South Africa Abstract: Supply-side solutions to health-care provision dominate the South African debate. These are often premised on views that health resources are too concentrated in the private health sector - which supposedly serves only a small minority - and that public provision needs to be expanded. This misunderstands the nature of the demand for health services. This paper estimates the determinants of the demand for health care using a multinomial logit estimation and finds that three categories of factors influence this demand: demographic and locational variables (e.g. income, race and location); characteristics of the care provided (e.g. cost and distance from the respondent); and characteristics of the illness (such as its severity).Even poor respondents reveal a clear preference for private care, despite constraints of money and access. This dominance of the demand for private health care is likely to increase with rising incomes, or if all health services were to be similarly subsidised (e.g. from mooted medical insurance-type schemes). Greater attention should therefore perhaps be given to health demand in considering policy alternatives. Journal: Studies in Economics and Econometrics Pages: 1-27 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106350 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106350 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:1-27 Template-Type: ReDIF-Article 1.0 Author-Name: S Mainardi Author-X-Name-First: S Author-X-Name-Last: Mainardi Title: Social Welfare Objectives and Distribution Weights in Public Health Planning in Turkey Abstract: In order to estimate distribution weights for project appraisal, public investment decisions can be analysed in terms of revealed preferences underlying a social welfare function. Literature contributions show lack of consensus relative to theoretical framework, estimation techniques and interpretation of parameter estimates. Moreover, a social welfare objective, or a specific target, may be pursued to the detriment of another. Based on a multiobjective social welfare function suited to public health planning, this analysis applies censored regression models to new constructions of public hospitals in Turkey. Cross-province results highlight a number of trade-offs and inconsistencies, with some health care targets receiving priority over others in terms of both efficiency and distribution objectives. In five out of nine targets (expressed by ten proxy variables) expected signs are not matched by results. Journal: Studies in Economics and Econometrics Pages: 28-47 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106351 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106351 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:28-47 Template-Type: ReDIF-Article 1.0 Author-Name: J L Sadie Author-X-Name-First: J L Author-X-Name-Last: Sadie Title: Demografiese Veroudering in Suid-Afrika en Sy Vernaamste Gevolge Abstract: The ageing of populations is a world-wide phenomenon. South Africa's experience in this regard is explored in this paper. The four main population groups display ageing differentials resulting from histories of diverse levels of fertility and mortality, with the Blacks representing the most youthful and the Whites the oldest of the four. It would appear as if HIV/AIDS is not going to have a noteworthy effect on the ageing process. The consequences of the process for the labour force, the satisfaction of needs after retirement and health services are examined, while a probable economic outcome at the macro level is demonstrated. Journal: Studies in Economics and Econometrics Pages: 49-68 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106352 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106352 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:49-68 Template-Type: ReDIF-Article 1.0 Author-Name: M J Oosthuizen Author-X-Name-First: M J Author-X-Name-Last: Oosthuizen Author-Name: L Nieuwoudt Author-X-Name-First: L Author-X-Name-Last: Nieuwoudt Title: A Poverty Profile of the Western Cape Province of South Africa Abstract: Poverty reduction and alleviation is a main priority of the South African government. For the Western Cape government to successfully formulate and implement well-targeted policies aimed at reducing poverty, it is important to identify exactly who the province's poor are. This study aims to determine the extent of poverty in the province and construct a clear profile of the poor, using data from the 1995 October Household Survey. The analysis shows that poverty is less severe in the province than in South Africa as a whole, and that poverty is concentrated amongst Coloureds and amongst females. The poor are most often found in urban areas, they have low levels of education and live in relatively large households that are often headed by women. Poor individuals, if they are employed, are most likely to be engaged in elementary occupations and are less likely than non-poor individuals to be unionised. Journal: Studies in Economics and Econometrics Pages: 69-90 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106353 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106353 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:69-90 Template-Type: ReDIF-Article 1.0 Author-Name: S G Hosking Author-X-Name-First: S G Author-X-Name-Last: Hosking Title: Rates of Return to Education in South Africa, 1960-1996 Abstract: In the face of the budget constraint it is imperative that investment in education of workers be as efficient as possible. This paper explores the scope for fine-tuning this investment by reference to rates of return by level. Evidence is surveyed on calculations of rates of return to investment in education in South Africa based on 1960, 1970, 1980 and 1996 census data, inter alia. Severely complicating factors are found to be differences in methods of calculation and failure to account satisfactorily for omitted non-education influences on earnings. It is concluded that domestic evidence suggests rates of return to investment in education may increase by level of education, rather than follow the international averages of decreasing. Journal: Studies in Economics and Econometrics Pages: 91-102 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106354 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106354 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:91-102 Template-Type: ReDIF-Article 1.0 Author-Name: P Serumaga-Zake Author-X-Name-First: P Author-X-Name-Last: Serumaga-Zake Author-Name: D Kotze Author-X-Name-First: D Author-X-Name-Last: Kotze Title: The Use of the Double-Hurdle Model in Estimating the Rate of Return to Education in South Africa Abstract: In this study, the Double-Hurdle Model (DHM) is compared to the more traditional technique, the Heckman's (1976) two-stage selection model in estimating the private rate of return to education in South Africa. The Heckman's model compares well with the DHM with correlated errors between the participation and employment functions. According to the DHM, the private rates of return to education of males and females are found to be respectively, 11,5 and 13 per cent for Blacks; 17 and 18 for Coloureds, 7,5 and 11 for Asians and 0,7 and 9,5 for Whites. It has also been indicated that in general, tertiary education is the most profitable private educational investment in South Africa. Journal: Studies in Economics and Econometrics Pages: 103-119 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106355 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106355 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:103-119 Template-Type: ReDIF-Article 1.0 Author-Name: J de K Keyser Author-X-Name-First: J de K Author-X-Name-Last: Keyser Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Futures Prices and the Expected Future Spot Prices of Selected South African Financial Futures Contracts: A Note Abstract: An unique data base allows a limited examination of the relationship between the futures prices of some financial assets and the expected spot prices of these assets. The evidence points towards the fact that the futures prices of these assets are firstly, not unbiased forecasts of future spot prices and secondly consistent with the presence of market risk-premiums. Part of this premium, however, should be seen as a reward for forecasting skills rather than risk acceptance. Some evidence is provided that indicates that the pattern in bond yields is consistent with the Keynes-Hicks theory of normal backwardation. Journal: Studies in Economics and Econometrics Pages: 121-132 Issue: 3 Volume: 27 Year: 2003 Month: 12 X-DOI: 10.1080/10800379.2003.12106356 File-URL: http://hdl.handle.net/10.1080/10800379.2003.12106356 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:27:y:2003:i:3:p:121-132 Template-Type: ReDIF-Article 1.0 Author-Name: C Muller Author-X-Name-First: C Author-X-Name-Last: Muller Author-Name: D Posel Author-X-Name-First: D Author-X-Name-Last: Posel Title: Concerns With Measuring Informal Sector Employment: An Analysis of National Household Surveys in South Africa, 1993-2001 Abstract: This paper examines the conceptual and practical difficulties that arise when attempting to measure informal sector employment in South Africa, and it traces how measures of this employment have changed over time. We review national household surveys conducted between 1993 and 2001, investigating how these surveys have sought to better capture the work that people do, how this work has been classified, and what the implications may be for estimates of total employment, and of informal sector employment specifically, in the country. Journal: Studies in Economics and Econometrics Pages: 1-20 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106357 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106357 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: P Laubscher Author-X-Name-First: P Author-X-Name-Last: Laubscher Title: The Sa Business Cycle Over the 1990S and Current Prospects Abstract: The domestic economic resilience and the surge in business confidence during 2001 and the first half of 2002 at the time of a synchronized world economic slowdown and major uncertainty on global financial markets hints at fundamental change in the domestic business cycle. The current paper assess whether the SA economy has embarked on a new structural growth path by studying the two business cycles over the 1990s in comparison with those since the mid-1970s. The paper finds that somewhat surprisingly the 1989-96 (peak-to-peak) business cycle corresponds closely to those of the 1980s, which were linked closely with the G7 countries industrial production cycle. The evidence points to visible structural change in the 1997-99 economic downturn and confirmed in the economic upturn commencing in 1999. The structural change is embodied in a stronger and more resilient endogenous business cycle momentum. Journal: Studies in Economics and Econometrics Pages: 21-43 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106358 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106358 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:21-43 Template-Type: ReDIF-Article 1.0 Author-Name: J A Anderson Author-X-Name-First: J A Author-X-Name-Last: Anderson Author-Name: R W Faff Author-X-Name-First: R W Author-X-Name-Last: Faff Title: Does Undercapitalisation Help Explain Why Futures Speculators Lose Money? Abstract: This paper explores the role that capitalisation rates per futures contract may play in the success or failure of private traders. While a trader may believe that they have found some ‘edge’ in the market, this paper demonstrates that unless the trader has allocated sufficient capital to the chosen trading strategy, then a complete loss of trading capital allocated to speculation may result - despite the trading strategy being inherently profitable. Moreover, for a given trading simulation experiment we identify estimates of the dollar value of capitalisation needed to remain viable Journal: Studies in Economics and Econometrics Pages: 45-56 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106359 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106359 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:45-56 Template-Type: ReDIF-Article 1.0 Author-Name: C Joubert Author-X-Name-First: C Author-X-Name-Last: Joubert Author-Name: N J le Roux Author-X-Name-First: N J Author-X-Name-Last: le Roux Author-Name: J U de Villiers Author-X-Name-First: J U Author-X-Name-Last: de Villiers Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Title: Earnings Per Share and Cash Flow Per Share as Determinants of Share Prices in Different Phases of the Economic Business Cycle as Measured By the Bootstrap Applied to Demsetz’S Method Abstract: Demsetz’s method is used to contrast the ability of earnings per share (EPS) and cash flow per share (CPS) to explain changes in share prices. A comparison is made of the relative ability of these two determinants of changes in share prices during a period of economic decline as well as in a subsequent upswing in the economic cycle. Bootstrap methods are used for constructing standard errors and confidence intervals associated with the statistics derived for describing the differential behaviour of EPS and CPS as determinants of changes in share prices both in an upswing and decline phase of economic activities. Density estimates of these statistics are also shown. It is concluded that the relative merits of EPS and CPS in explaining changes in share prices do not remain stable when the economic cycle changes from a decline to an upswing phase. Therefore, when Demsetz’s method is applied over a period that includes both upswing and decline phases of the economic cycle this could lead to misleading and inaccurate conclusions. Journal: Studies in Economics and Econometrics Pages: 58-75 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106360 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106360 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:58-75 Template-Type: ReDIF-Article 1.0 Author-Name: C Muller Author-X-Name-First: C Author-X-Name-Last: Muller Author-Name: G van der Westhuizen Author-X-Name-First: G Author-X-Name-Last: van der Westhuizen Title: Technical Efficiency In Bank Lending and Borrowing: A South African Study Abstract: The measure of technical, allocative and economic efficiency is reviewed and it is shown how the estimate of technical efficiency can be obtained using Stochastic Frontier Analysis (SFA). The methodology is applied to monthly observations on branches of a South African bank. There is a clear distinction between the technical efficiency in lending and the technical efficiency in borrowing. The estimates of technical efficiency in lending averaged 67%, (with a highest of 89% and a lowest of 2%), and in deposits (borrowing) it averaged 45%, (with a highest of 99% and a lowest of 3%). The branches appeared to be more technical efficient in managing the liability side of the balance sheet than in managing the asset side of the balance sheet. A reason might be the difference in the communities served by the branches. Journal: Studies in Economics and Econometrics Pages: 77-88 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106361 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106361 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:77-88 Template-Type: ReDIF-Article 1.0 Author-Name: C C Okeahalam Author-X-Name-First: C C Author-X-Name-Last: Okeahalam Title: Foreign Ownership, Performance and Efficiency in the Banking Sector in Uganda and Botswana Abstract: This paper evaluates the recent performance and efficiency of foreign and domestic owned commercial banks in Uganda and Botswana. Financial ratio analysis indicates that for the most part, foreign-owned banks in Uganda and Botswana have had a higher return on equity (ROE) and return on assets (ROA) than domestic- owned banks. Data envelope analysis (DEA), ordinary least squares (OLS) and least absolute error (L1) regressions are used to assess production efficiency at three bank branches of two banks in Uganda and Botswana over the period 1991-1999. The efficiency values derived from the DEA model indicate that while production efficiency at the three branches increased over the period of the study, the foreign-owned bank branches are more efficient than the domestic- owned bank branch. The findings imply that there is positive relationship between DEA efficiency values and financial measures of profitability. The findings also support the hypothesis that, in an environment with low automation, a large proportion of current account holders (relative to other bank products) has an adverse effect on production efficiency at bank branches. Journal: Studies in Economics and Econometrics Pages: 89-117 Issue: 1 Volume: 28 Year: 2004 Month: 4 X-DOI: 10.1080/10800379.2004.12106362 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106362 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:1:p:89-117 Template-Type: ReDIF-Article 1.0 Author-Name: J R Whitehead Author-X-Name-First: J R Author-X-Name-Last: Whitehead Author-Name: A H de Wet Author-X-Name-First: A H Author-X-Name-Last: de Wet Author-Name: S K McCoskey Author-X-Name-First: S K Author-X-Name-Last: McCoskey Title: “The Price is Wrong ...”: An Analysis of the Contributing Factors to the Deviations in the Law of One Price Abstract: The Law of One Price states that in competitive markets free of transportation costs and official barriers to trade, identical goods sold in different countries must sell for the same price when their prices are expressed in terms of the same currency. Past empirical studies have typically found that the Law of One Price does not generally hold. This study continues this research by attempting to show what factors are most responsible for significant deviations from this one price. A dataset consisting of 87 different goods and services was created for the purpose of collecting data and price information both in the United States and South Africa. Microeconomic and international factors such as distance from manufacturer, market power, elasticity, and factors of trade were analysed and shown to be significant in determining observed deviations from this “one price”. Journal: Studies in Economics and Econometrics Pages: 1-12 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106363 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106363 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:1-12 Template-Type: ReDIF-Article 1.0 Author-Name: F le R Booysen Author-X-Name-First: F le R Author-X-Name-Last: Booysen Title: “Adding Insult to Injury”: Poverty and Injury in South Africa Abstract: Poverty stands to increase the risk of exposure to injury. This paper explores the relationship between poverty and injury in South Africa, using data from the 1998 South African Demographic and Health Survey. Differences in socio-economic status are quantified with the aid of the asset index. The concentration index is employed as measure of inequality. Persons from more affluent households are more likely to have suffered sports injuries or other unintentional injuries. Poorer South Africans in turn are more likely to have suffered intentional injuries and in particular injuries resulting from assaults and traffic collisions. Therefore, a reduction in poverty, other things being equal, can result in a decline in injury rates. In this sense, campaigns for poverty alleviation can play an important role in mitigating the burden of injury on the society and the economy. Journal: Studies in Economics and Econometrics Pages: 13-22 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106364 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106364 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:13-22 Template-Type: ReDIF-Article 1.0 Author-Name: B M Imam Author-X-Name-First: B M Author-X-Name-Last: Imam Author-Name: S F Koch Author-X-Name-First: S F Author-X-Name-Last: Koch Title: The Determinants of Infant, Child and Maternal Mortality in Sub-Saharan Africa Abstract: In Sub-Saharan Africa, infant, child and maternal mortalities are very high compared to other regions. We estimate a cross-country empirical model of the determinants of those mortalities. We find, similar to other studies, that in addition to per capita GDP, health and education interventions can affect mortalities, however, the effect depends on the mortality rate being modelled. Importantly, the prevalence of the adult HIV/AIDS infection rate is detrimentally impacting mortality in the Sub-Saharan region. Journal: Studies in Economics and Econometrics Pages: 23-40 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106365 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106365 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:23-40 Template-Type: ReDIF-Article 1.0 Author-Name: J L Sadie Author-X-Name-First: J L Author-X-Name-Last: Sadie Title: Aantekeninge Oor Vigsmortaliteit: Die Groot Onsekerheid Abstract: After identifying the many uncertainties regarding actual levels of AIDS mortality, it is suggested that writers who try their hands at estimating and projecting such levels should evince a large measure of humility, and take heed of the warning of a simulation modeler, Nicolas Brouard: projection of the AIDS epidemic must have a much lower reliability than that for a similar demographic process even if the infectivity level were as reliable as the fertility level” (1989:84). Journal: Studies in Economics and Econometrics Pages: 41-52 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106366 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106366 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:41-52 Template-Type: ReDIF-Article 1.0 Author-Name: K Gibson Author-X-Name-First: K Author-X-Name-Last: Gibson Author-Name: D E van Seventer Author-X-Name-First: D E Author-X-Name-Last: van Seventer Title: South African Absence From Global Trade in Dynamic Products Abstract: Linked to the design of a suitable industrial policy, trade policy makers traditionally focus on strengthening sectors that globally exhibit a large contribution towards total world exports (or imports). In this case, large exports indicate a largely traded product, which in turn indicates a large potential for a given country for export growth of the given product. In contrast, dynamic products represent those products that have shown the largest change in proportion of total world exports (or imports) and thereby reflect sectors that are not only of considerable size, but are also growing at the most rapid rate. One objective of successful trade policy is to gain a significant and growing share in the global trade of what are termed ‘dynamic products'. In this report we examine South Africa's position. It appears that South Africa is not very well represented in global trade of dynamic products. Journal: Studies in Economics and Econometrics Pages: 53-64 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106367 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106367 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:53-64 Template-Type: ReDIF-Article 1.0 Author-Name: S A Tella Author-X-Name-First: S A Author-X-Name-Last: Tella Author-Name: O A Akinboade Author-X-Name-First: O A Author-X-Name-Last: Akinboade Title: Ecowas Monetary Integration: The Imperatives of Financial Market Development Abstract: Regional economic integration ultimately leads to the formation of a monetary union. At this stage monetary, fiscal and financial policies are harmonized for the maximum benefit of member states. In such circumstances, monetary policy is centralized, foreign currency reserves are pooled and centrally managed and a single currency or exchange rate regime is adopted. Within this context, the role of money, in the dynamic sense, the need to regulate and control its volume and value become a paramount task for policy makers. A sound financial system, with standardized rules and regulations, is a necessary condition for a successful monetary union. This paper posits that such sound financial infrastructure does not exist currently in ECOWAS and therefore presents some recommendations on the way forward if the envisaged monetary union in 2004 is to succeed. Journal: Studies in Economics and Econometrics Pages: 65-90 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106368 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106368 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:65-90 Template-Type: ReDIF-Article 1.0 Author-Name: A Buthelezi Author-X-Name-First: A Author-X-Name-Last: Buthelezi Author-Name: B Dollery Author-X-Name-First: B Author-X-Name-Last: Dollery Title: An Exploratory Analysis of Local Government Failure in South Africa Abstract: This exploratory paper uses public choice theory to assess the susceptibility of South African municipal councils to government failure using the taxonomy of local government failure developed by Dollery and Wallis (2001) and extended by Byrnes and Dollery (2002). The paper also seeks to expand this typology of local government failure by including an additional category termed ‘administrative incapacity and forced integration'. Various kinds of empirical evidence are used to evaluate the performance of South African municipalities within the confines of the expanded taxonomy. The evidence seems to show that, in the contemporary South African institutional milieu at least, municipalities are more prone to government failure than higher levels of government in terms of ‘voter apathy', ‘councillor capture', ‘iron triangles', ‘fiscal illusion', ‘political entrepreneurship', and ‘administrative incapacity and forced integration'. These tentative findings are broadly in line with the results obtained by Byrnes and Dollery (2002) on local government failure in the Australian state of New South Wales. Journal: Studies in Economics and Econometrics Pages: 91-106 Issue: 2 Volume: 28 Year: 2004 Month: 8 X-DOI: 10.1080/10800379.2004.12106369 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106369 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:2:p:91-106 Template-Type: ReDIF-Article 1.0 Author-Name: G R Wesso Author-X-Name-First: G R Author-X-Name-Last: Wesso Author-Name: M G Ferreira Author-X-Name-First: M G Author-X-Name-Last: Ferreira Title: Structural Changes And Models Of Inflation In South Africa Abstract: In the past three decades South Africa has undergone a number of structural changes in the economy, which may have contributed to parameter instability in inflation equations. In this study the out-of-sample forecasting performance of three single equation models for inflation in South Africa is examined without imposing the restriction that coefficients are fixed over time. A time-varying parameter regression (VPR) technique based on the recursive application of the Kalman filter is used to evaluate the stability of the models using South African quarterly data from 1971.1 to 1998.3, with 1998.4 to 2001.3 excluded from the estimated sample period in order to do an ex post forecast evaluation. It is found that the parameters of the expectations-augmented Phillips curve and the traditional monetarist models for inflation are fairly stable over the sample period, whereas the money demand model for inflation shows signs of changing parameters over time. This is in accordance with some changes in monetary policy during the 1980s and a degree of financial liberalisation since 1994. It is furthermore shown that, under conditions of structural instability, the VPR money demand model can substantially reduce out-of-sample forecasting errors compared to its fixed-coefficient counterparts. Journal: Studies in Economics and Econometrics Pages: 1-25 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106370 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106370 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:1-25 Template-Type: ReDIF-Article 1.0 Author-Name: S Cook Author-X-Name-First: S Author-X-Name-Last: Cook Author-Name: N Manning Author-X-Name-First: N Author-X-Name-Last: Manning Title: Unit Root Testing Using Heteroscedasticity Consistent Covariance Matrix Estimators: Finite- Sample Evidence Abstract: Based upon Monte Carlo experiments mimicking cross-sectional analysis, Long and Ervin (2000) have suggested the routine application of heteroscedasticity consistent covariance matrix (HCCM) estimators, irrespective of whether heteroscedasticity is detected or expected. In this paper the use of HCCM estimators is re-examined in the context of testing the unit root hypothesis. The properties of Dickey-Fuller tests based on alternative HCCM estimators are considered in the presence of innovation variance breaks and heteroscedasticity in the square root of a regressor variable. The results show that for variance breaks, size correction comes at the expense of dramatic reduction in power. When heteroscedasticity is related to the square root of the lagged level in a Dickey-Fuller regression, the test does not have nominal size when the covariance matrix is either conventional or heteroscedasticity consistent. Furthermore, when HCCM estimators are used, the resultant tests can be expected to possess very little power against the null in most practical applications. Throughout, the more favoured HCCM estimator is subject to the greatest loss in power. Journal: Studies in Economics and Econometrics Pages: 27-41 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106371 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106371 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:27-41 Template-Type: ReDIF-Article 1.0 Author-Name: M Grandes Author-X-Name-First: M Author-X-Name-Last: Grandes Title: An Assessment Of The Costs, Benefits And Optimality Of The Common Monetary Area In Southern Africa Abstract: In this paper we aim to answer the following two questions: 1) has the Common Monetary Area in Southern Africa (CMA) been an optimal currency area (OCA)Œ 2) What are the costs and benefits of the CMA for its participating countriesŒ To answer these questions, we carry out a two-step econometric exercise based on the theory of generalised purchasing power parity (G-PPP). The first exercise tests whether the CMA (but also Botswana as a de facto member) forms an OCA by detecting the existence of common long-run trends in their bilateral real exchange rates. The second exercise identifies the determinants of deviations from G-PPP in the CMA as measured through the degree of pairwise price correlation. These determinants stand for the costs and benefits of joining a monetary union, namely the degree of trade openness, the degree of production diversification (and the interaction between these two), the synchronicity of business cycles and the kind of gross capital inflows received by the member countries. Journal: Studies in Economics and Econometrics Pages: 43-66 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106372 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106372 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:43-66 Template-Type: ReDIF-Article 1.0 Author-Name: J A Swanepoel Author-X-Name-First: J A Author-X-Name-Last: Swanepoel Author-Name: L Rangasamy Author-X-Name-First: L Author-X-Name-Last: Rangasamy Title: Exchange Rate Pass-Through And South African Manufacturing Export Prices: Evidence From Panel Data Abstract: This paper addresses the question of how South African manufacturing exporters respond to exchange rate changes. The results indicate that exporters absorb 71 per cent of a given exchange rate change in their profit margin on export sales. This implies a pass-through exchange rate coefficient of 29 per cent to destination-currency prices, which suggests that profit margins are squeezed during currency appreciations and increased during currency depreciations. This has important implications for cost competitiveness. The challenge remains to ensure that export competitiveness does not become dependent on a weak currency. The study also highlights the need for more research on the influence of exchange rate movements on the competitiveness of exporters, particularly at the sub-sector or industry level. Journal: Studies in Economics and Econometrics Pages: 67-79 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106373 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106373 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:67-79 Template-Type: ReDIF-Article 1.0 Author-Name: T Mkwevhou Author-X-Name-First: T Author-X-Name-Last: Mkwevhou Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Share Market Reaction To Good And Bad News: Evidence From South African Consensus Earnings Forecasts Abstract: Investors often question the extent to which the state of the market affects returns on investment and seek answers as to whether the market response to bad and good news is dependent on the level of the market. If this is true, investors with forecasting ability can beat the market by identifying the state of the market before investing. This would be in violation of the efficient market hypothesis.This study uses the Conrad, Cornell and Landsman (2002) model to investigate whether the share price response good or bad news in South Africa changes with the relative level of the market. Conrad et al. (2002) found sufficient evidence that the market's response to bad news increases with the increase in the relative level of the market.The results of this study are directly opposite to the findings of Conrad et al. (2002) and existing research. The market's reaction to bad news is almost the same in a positive or negative market state. On the other hand, the market's reaction to good news is slightly stronger in a good market state than in a negative state. Journal: Studies in Economics and Econometrics Pages: 81-98 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106374 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106374 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:81-98 Template-Type: ReDIF-Article 1.0 Author-Name: P A E Serumaga-Zake Author-X-Name-First: P A E Author-X-Name-Last: Serumaga-Zake Author-Name: D Kotze Author-X-Name-First: D Author-X-Name-Last: Kotze Title: Determinants Of Labour Force Participation Of Married Women In South Africa Abstract: Based on data extracted from the 1999 October Household Survey (SSA, 2000), this study has found the determinants of labour force participation of married women in South Africa to be: age, province, race, children, husband's wage and potential wage. The study supports the household labour supply model; it implies that government policies that focus on women's education and training, and those which are intended to promote gender and racial equality in all spheres of employment, should be encouraged in order to increase the labour force participation of married women in South Africa. Journal: Studies in Economics and Econometrics Pages: 99-111 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106375 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106375 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:99-111 Template-Type: ReDIF-Article 1.0 Author-Name: M Aziakpono Author-X-Name-First: M Author-X-Name-Last: Aziakpono Title: Determinants of Financial Intermediation in the SACU Countries: Preliminary Evidence From a Panel Data Analysis Abstract: The study explores empirically five macroeconomic determinants of financial intermediation, namely: growth in income, level of real income, inflation rate, exchange rate and interest rate spread in five SACU countries. Employing four measures of financial intermediation, an equilibrium model of financial intermediation was estimated using a system seemingly unrelated regression panel estimator. The fixed effect and country-specific coefficients were obtained and interpreted. The level of income and exchange rate were the most important determinants of financial intermediation among the countries. In line with theoretical models, which indicate that the level of economic growth can accelerate the process of financial intermediation, in three of the countries – Botswana, Namibia and South Africa, a very significant positive relationship between level of income and the indexes of financial intermediation was observed. But for Lesotho and Swaziland, a reverse relationship was obtained. This may be due to negative externalities from the more developed financial sectors of South Africa resulting from the economic and monetary integration. The results on the exchange rate highlight the need for a stable and predictable exchange rate policy in order to stimulate financial intermediation. Also, the results confirm the potential for inflation to negatively affect financial intermediation. Lastly, the results relating to interest rate spread highlight how high levels of the spread can prevent deep financial intermediation. Journal: Studies in Economics and Econometrics Pages: 113-132 Issue: 3 Volume: 28 Year: 2004 Month: 12 X-DOI: 10.1080/10800379.2004.12106376 File-URL: http://hdl.handle.net/10.1080/10800379.2004.12106376 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:28:y:2004:i:3:p:113-132 Template-Type: ReDIF-Article 1.0 Author-Name: R P Burger Author-X-Name-First: R P Author-X-Name-Last: Burger Author-Name: P de Villiers Author-X-Name-First: P Author-X-Name-Last: de Villiers Title: The Macroeconomic Impact of HIV/AIDS in South Africa: A Supply-Side Analysis Abstract: This paper uses a simulation to forecast the impact of HIV/AIDS on South African aggregate production and GDP per capita. For this purpose the standard Cobb-Douglas production function is extended to incorporate the key macroeconomic variables affected by the pandemic. The method used in this paper is the Cuddington approach, but disaggregates the model by population group to take advantage of the increased precision that the more recent demographic projections by the Actuarial Society of South Africa affords. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106377 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106377 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: O A Akinboade Author-X-Name-First: O A Author-X-Name-Last: Akinboade Title: Some Estimates of Potential Output and the Output Gap for South Africa Abstract: This paper estimates potential output and the output gap using three methods: the statistical time trend, a Cobb-Douglas production function and the Hodrick-Prescott Filter methods. Estimates of potential output growth rate of the economy are discussed as well as contributions to growth during the period under study, using the production function method. The implied output gap estimates could prove useful in formulating macroeconomic policy in South Africa, as it may indicate underlying inflationary pressure in the economy. Journal: Studies in Economics and Econometrics Pages: 15-28 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106378 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106378 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:15-28 Template-Type: ReDIF-Article 1.0 Author-Name: R C Daniels Author-X-Name-First: R C Author-X-Name-Last: Daniels Author-Name: S Rospabe Author-X-Name-First: S Author-X-Name-Last: Rospabe Title: Estimating an Earnings Function From Coarsened Data by an Interval Censored Regression Procedure Abstract: This paper estimates an earnings function from coarsened data using an interval regression model based on a pseudo-maximum likelihood estimation procedure. The analysis uses the 1999 OHS, and takes into account point and interval income observations, as well as design features of the survey including stratification, clustering and weights. In developing and applying the methodology, it is shown that researchers interested in analysing the determinants of income in a meaningful way need not be hampered by the presence of both point and interval observations, and can in fact account for these simultaneously using a generalised Tobit model. By incorporating survey design features into the analysis of the variance, some changes were needed to the estimation procedure and this is where the pseudo-likelihood becomes useful. However, this then affects how the coefficients of the model are interpreted, and researchers are encouraged to focus attention on the confluence of these factors. Journal: Studies in Economics and Econometrics Pages: 29-46 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106379 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106379 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:29-46 Template-Type: ReDIF-Article 1.0 Author-Name: B Dollery Author-X-Name-First: B Author-X-Name-Last: Dollery Author-Name: L Crase Author-X-Name-First: L Author-X-Name-Last: Crase Author-Name: N Marshall Author-X-Name-First: N Author-X-Name-Last: Marshall Title: The Economic Case for Virtual Local Government in South Africa Abstract: South African local government has entered a new era with the national local government elections of 5 December 2000 and has been legally empowered to expand its activities from its previously limited ‘services to property' orientation into the promotion of social and economic development. Despite a dramatic extension of the role of local government in South Africa, legitimate doubts exist as to whether it possesses the requisite administrative capacity to adequately fulfill its new mandate. This paper argues that government failure, including local government failure, is now so pervasive in South Africa that municipalities are unlikely to be able to meet their expanded obligations. Accordingly, new models of local governance should be explored that can reduce the deleterious effects of local government incapacity. The paper then seeks to present the economic case for ‘virtual local government' in South Africa. Journal: Studies in Economics and Econometrics Pages: 47-60 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106380 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106380 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:47-60 Template-Type: ReDIF-Article 1.0 Author-Name: N J le Roux Author-X-Name-First: N J Author-X-Name-Last: le Roux Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Author-Name: J U de Villiers Author-X-Name-First: J U Author-X-Name-Last: de Villiers Author-Name: C Joubert Author-X-Name-First: C Author-X-Name-Last: Joubert Title: The Influence of the Nature of an Enterprise's Activities on Earnings Per Share and Cash Flow Per Share as Determinants of Share Prices Abstract: The relative merits of earnings per share (EPS) and cash flow per share (CPS) as determinants of share prices are considered in this paper. Demsetz's method is used for quantifying the role of EPS and CPS for both an upswing and a decline phase of the economic cycle. The nature of an enterprise's activities i.e. predominantly labour intensive or predominantly capital intensive is also taken into account. Year-on-year changes for contemporaneous periods, various lead periods and various lag periods in EPS are contrasted with similar changes in CPS in explaining year-on-year changes in share prices. It is shown that the relative merits of EPS and CPS are conditional on both the nature of an enterprise's activities and the economic cycle. Furthermore, it is shown that the Demsetz-statistics are useless without information regarding their variability but that the bootstrap method can be used for calculating such estimates. Journal: Studies in Economics and Econometrics Pages: 61-82 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106381 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106381 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:61-82 Template-Type: ReDIF-Article 1.0 Author-Name: R W Faff Author-X-Name-First: R W Author-X-Name-Last: Faff Author-Name: R D Brooks Author-X-Name-First: R D Author-X-Name-Last: Brooks Author-Name: H Y Kee Author-X-Name-First: H Y Author-X-Name-Last: Kee Title: A Simple Test of the ‘Risk Class Hypothesis’ Abstract: In this paper we formally test the assumption of equal intra-industry systematic business risk, which we term the ‘risk class hypothesis'. For the purposes of our analysis we define risk classes around four-digit SIC stock groupings. In general the ‘risk class hypothesis' is not supported across our sample of US stocks. While this finding does not mean that all applications of the ‘risk class' approach are inevitably flawed, it does suggest that in future we should think very carefully before blindly invoking such risk equality assumptions. Journal: Studies in Economics and Econometrics Pages: 83-96 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106382 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106382 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:83-96 Template-Type: ReDIF-Article 1.0 Author-Name: W J Conradie Author-X-Name-First: W J Author-X-Name-Last: Conradie Author-Name: T de Wet Author-X-Name-First: T Author-X-Name-Last: de Wet Author-Name: M D Jankowitz Author-X-Name-First: M D Author-X-Name-Last: Jankowitz Title: An Overview of Lulu Smoothers With Application to Financial Data Abstract: LULU smoothers is a class of non-linear smoothers introduced by Rohwer (1989) and has since been studied extensively by him, from a mathematical point of view, culminating in the publishing of Rohwer (2005). It has also been successfully applied in image processing, engineering and the earth sciences. The purpose of this paper is to discuss linear and non-linear smoothers very briefly and to introduce LULU smoothers to the econometrical and statistical literature as an alternative to the existing linear and non-linear smoothers. An overview of LULU smoothers will be given and their most important properties will be discussed. Their attractive way of dealing with impulsive noise in the form of blockpulses and of decomposing the variation in a series will be highlighted and illustrated by applying it to the Standard and Poor 500 series. Journal: Studies in Economics and Econometrics Pages: 97-121 Issue: 1 Volume: 29 Year: 2005 Month: 4 X-DOI: 10.1080/10800379.2005.12106383 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106383 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:1:p:97-121 Template-Type: ReDIF-Article 1.0 Author-Name: D R Wessels Author-X-Name-First: D R Author-X-Name-Last: Wessels Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Active Versus Passive Investing I: The South African Experience Abstract: The two investment strategies, active and passive (index) investing, are evaluated by comparing the average performance of actively managed funds in the general equity category of the South African unit trust sector with its benchmark, the ALSI index. Various comparative methodologies are followed in the analysis and cover the period 1988-2003.When the upfront costs applicable to the active funds are excluded it is found that active funds on average outperform the index benchmark. However, when including these costs the index outperforms the average of active fund returns. Similarly, on a risk-adjusted basis the index benchmark fares better than the average of actively managed funds. Journal: Studies in Economics and Econometrics Pages: 1-34 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106384 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106384 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:1-34 Template-Type: ReDIF-Article 1.0 Author-Name: D R Wessels Author-X-Name-First: D R Author-X-Name-Last: Wessels Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Active Versus Passive Investing Ii: Towards an Optimal Combination Solution Abstract: AS shown in the first article, index investing, despite its superior performance on average, is not a low risk strategy and investors will experience volatile returns. Over time index investing and active management repeatedly replaced one another as the dominant investment strategy. A fundamentalist approach about any one of the strategies is not prudent and it is argued that an integration approach of both strategies will yield the highest reward per unit of risk.When following a strategy of combining both strategies in various combinations over different investment periods, it is demonstrated that the highest reward to risk ratio is attained by increasing index investing relative to active investing with an increase in the investment horizon. Simply put, the longer one's investment term, the more index investing should be followed.In the long run it is difficult for active management to consistently beat the market. Therefore, investment strategies should be aligned with one's faith in the efficiencies of markets over time and should not be overly influenced by the short-term performance records of active managers. Journal: Studies in Economics and Econometrics Pages: 35-54 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106385 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106385 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:35-54 Template-Type: ReDIF-Article 1.0 Author-Name: M Webbstock Author-X-Name-First: M Author-X-Name-Last: Webbstock Author-Name: A Wessels Author-X-Name-First: A Author-X-Name-Last: Wessels Author-Name: C Firer Author-X-Name-First: C Author-X-Name-Last: Firer Author-Name: S Davidson Author-X-Name-First: S Author-X-Name-Last: Davidson Title: Portfolio Size and Diversification on the JSE Securities Exchange and the Australian Stock Exchange Abstract: Increasing the size of a portfolio of shares reduces the variability of its returns. Whilst studies over the period 1992 to 1998 have investigated the relationship between portfolio size and risk on the JSE, the gains from diversification in South Africa have not been compared to those of another economy. This study estimates diversification benefits using the Wagner and Lau method and compares results for Australian and South African data. Overall the benefits of diversification appear to be similar across the two economies. In addition, the benefits of diversification within South Africa are greater now than they were in the late 1980s and early 1990s. Journal: Studies in Economics and Econometrics Pages: 55-60 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106386 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106386 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:55-60 Template-Type: ReDIF-Article 1.0 Author-Name: D Makina Author-X-Name-First: D Author-X-Name-Last: Makina Author-Name: M Negash Author-X-Name-First: M Author-X-Name-Last: Negash Title: Structural Changes and Dating of Stock Market Liberalisation: Evidence from the Jse Securities Exchange South Africa Abstract: In this paper the authors examine the problem of dating stock market liberalisation using time series of South African stock market data. Defining the date of stock market liberalisation as that on which there is a structural change in time series data, they test for structural breaks. They perform tests on time series of monthly dividend yield, volume of shares traded and aggregate stock price of the JSE Securities Exchange. From the time series of the aggregate dividend yield and stock market liquidity, they report two structural breaks -the first of which occurred in February 1990, and the second in December 1992. From time series of the real aggregate stock price one structural break that occurred in December 1992. Noteworthy is that the structural breaks occurred earlier than the JSE's official liberalisation date of March 1995, thus suggesting political and economic risks were the more binding constraints to foreign investment than legal barriers. Journal: Studies in Economics and Econometrics Pages: 61-76 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106387 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106387 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:61-76 Template-Type: ReDIF-Article 1.0 Author-Name: G D I Barr Author-X-Name-First: G D I Author-X-Name-Last: Barr Author-Name: Kantor B S Author-X-Name-First: Kantor Author-X-Name-Last: B S Title: The Impact of the Rand on the Value of the Johannesburg Stock Exchange Abstract: The relationship between the foreign exchange value of the rand and the Johannesburg Stock Exchange (JSE) was put to a particularly interesting test over the period 2000 to 2003 when the rand first collapsed and then recovered. In this paper, we look at the effects of the nominal and real exchange rate changes on the nominal and real value of the overall JSE market and then in more detail at particular counters that exhibit common characteristics with respect to the rand exchange rate. These we define as either: rand hedge stocks, that is, those companies with mostly US dollar revenues and US dollar costs; rand leverage stocks, that is, those companies with predominantly US dollar revenues and rand costs; or randplays, that is, those companies that earn almost all of their profits by generating rand revenues and incurring rand costs. We report on the impact of the rand on the value of the largest 40 stocks on the JSE and classify these stocks according to the criteria mentioned above. In addition, we explain how rand plays can be expected to lose rand value as the rand weakens, despite higher inflation and an increase in the rand value of the JSE All Share index. We also note that, counter-intuitively, the foreign currency value of Richemont, a pure rand hedge company, can be influenced by the foreign exchange value of the rand, a phenomenon we attribute to an investor constituency that includes a large SA component. Journal: Studies in Economics and Econometrics Pages: 77-96 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106388 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106388 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:77-96 Template-Type: ReDIF-Article 1.0 Author-Name: E Anoruo Author-X-Name-First: E Author-X-Name-Last: Anoruo Author-Name: H Braha Author-X-Name-First: H Author-X-Name-Last: Braha Title: The Permanent and Transitory Effects of Budget Deficits on Private Investment in South Africa Abstract: This paper investigates the effects of the permanent and transitory budget deficits on private investment for South Africa. Specifically, the paper utilizes cointegration and error-correction models (ECM) to explore the long-run relationship between permanent budget deficits, private investment and transitory budget deficits. The results from the study suggest that (i) there is a long run relationship between permanent budget deficits, private investment and transitory budget deficits and (ii) the transitory rather than the permanent component of the budget deficits is an important determinant of private investment for South Africa. Above all, the study finds that transitory budget deficits crowd out private investment for the period under consideration. Journal: Studies in Economics and Econometrics Pages: 97-106 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106389 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106389 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:97-106 Template-Type: ReDIF-Article 1.0 Author-Name: W A Naude Author-X-Name-First: W A Author-X-Name-Last: Naude Author-Name: R Oostendorp Author-X-Name-First: R Author-X-Name-Last: Oostendorp Author-Name: P Serumaga-Zake Author-X-Name-First: P Author-X-Name-Last: Serumaga-Zake Title: Determinants of Manufacturing Exports: Results from a Regional Firm-Level Survey in South Africa Abstract: This paper uses data from a firm-level survey of 135 manufacturing firms in South Africa between 1999 and 2001 to identify the determinants of exports of manufacturing firms in South Africa. The sample was chosen to include a region of South Africa where manufacturing firms were particularly subject to adjustment shocks over the past six years. It is determined that large and very large firms are more likely to export. A regression model found that there is some evidence that larger firms are more likely to export than smaller firms, and that exporters are more efficient than non-exporters. Moreover, it would appear that exporting at any scale is only a real possibility for firms if they have achieved a sufficient level of efficiency. Journal: Studies in Economics and Econometrics Pages: 107-116 Issue: 2 Volume: 29 Year: 2005 Month: 8 X-DOI: 10.1080/10800379.2005.12106390 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106390 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:2:p:107-116 Template-Type: ReDIF-Article 1.0 Author-Name: J Fedderke Author-X-Name-First: J Author-X-Name-Last: Fedderke Author-Name: P Flamand Author-X-Name-First: P Author-X-Name-Last: Flamand Title: Macroeconomic News “Surprises” and the Rand/Dollar Exchange Rate Abstract: Economic theory in the context of floating exchange rates has focussed on underlying medium and long term directions of exchange rate movements. Daily volatility is less well understood. One theory that offers an explanation for short-term exchange rate movements is that of the efficient market hypothesis or EMH. Its application to the forex market allows exchange rate movements to be understood as the reaction of traders to relevant news. In an efficient market traders react to news and specifically to surprise news events which necessitate a re-evaluation of the currency value. We test for the validity of this hypothesis in the context of the daily rand/dollar forex market over a three-year period, adding an emerging market case to the literature. We test the significance of macroeconomic news surprises -measured by the difference between actual and forecast data - in driving daily exchange rates. We find that surprises in both real and nominal variables cause a statistically significant reaction in the exchange rate. The results support an asymmetry between news of different origin as only surprises that originate in the U.S. prove significant. Good news also seems to receive greater attention from traders than bad news in our sample. Finally, we find that the statistical significance of variables is time-varying. Journal: Studies in Economics and Econometrics Pages: 1-16 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106391 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106391 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:1-16 Template-Type: ReDIF-Article 1.0 Author-Name: Z B Kotze Author-X-Name-First: Z B Author-X-Name-Last: Kotze Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: An Investigation into the ManifestationOf Arbitrage Opportunities in SelectedSouth African Financial Markets Abstract: Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital and is typically risky. Often the perceived arbitrage opportunity is based on a number of assumptions with a degree of risk underlying these assumptions. Should any of these assumptions regarding market behaviour not materialise during the lifespan of the arbitrage position, varying degrees of risk are assumed. This study was undertaken to assess whether financial markets can still be profitably exploited through arbitrage trading.As far as possible South African currency (Rand) and securities - representing an emerging market environment - are incorporated into this study. Whereas many previous studies on the profitability of arbitrage trading are based on market closing prices or intra-day sampling rates of thirty minutes or longer, the greater part of this study was conducted - using real-time price data. Furthermore this study also ventured beyond the numerous and convenient simplifying assumptions, typical of most studies on the subject of arbitrage, to obtain a better assessment of real world arbitrage margins.The results of this study portray the financial markets as very efficient with very limited arbitrage opportunities available in the traditional deterministic arbitrage trade-rule environment. The heuristic arbitrage trade rule, however, offers significant profit opportunities above the risk-free rate of return. Journal: Studies in Economics and Econometrics Pages: 17-66 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106392 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106392 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:17-66 Template-Type: ReDIF-Article 1.0 Author-Name: A G V Naidoo Author-X-Name-First: A G V Author-X-Name-Last: Naidoo Author-Name: V S S Yadavalli Author-X-Name-First: V S S Author-X-Name-Last: Yadavalli Author-Name: N A S Crowther Author-X-Name-First: N A S Author-X-Name-Last: Crowther Title: A Multi-Dimensional Measure of Poverty Using the Totally Fuzzy and Relative Approach Abstract: Totally Fuzzy and Relative (TFR) approach is an effective tool to overcome the limitations of the traditional methods of measuring poverty. In this paper, a set of composite indicators are derived to analyse the different dimensions of poverty and determine the relative deprivation, degree of social exclusion and the inability for a household to achieve a living standard of the province in which it belongs. An uni-dimensional poverty ratio is calculated for each indicator and finally a multi- dimensional poverty ratio is calculated for each province allowing a comparison among provinces in the Republic of South Africa using the results from the 1996 census and 2001 census. Journal: Studies in Economics and Econometrics Pages: 67-80 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106393 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106393 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:67-80 Template-Type: ReDIF-Article 1.0 Author-Name: J U de Villiers Author-X-Name-First: J U Author-X-Name-Last: de Villiers Title: The Relationship Between Economic Value Added, Net Present Value and True Return Abstract: This paper investigates the relationship between economic value added (EVA) and the net present value (NPV) of projects, and especially the extent to which this is influenced by arbitrary depreciation schedules. For any depreciation schedule, the discounted EVA of a project is identical to its NPV. In project evaluation, EVA therefore overcomes the differences between earnings and cash flow introduced by arbitrary depreciation schedules. The paper also investigates the relationship between the true return of a project or a firm and the EVA reported by a project once in operation or the EVA reported by a firm. In these applications, the distortions caused by arbitrary depreciation schedules remain. Standardised EVA equals the true excess return for a firm that charges economic depreciation, or for a firm that grows at its IRR. In other instances large discrepancies are possible, and the use of standardised EVA as an indication of true excess return is potentially misleading. Journal: Studies in Economics and Econometrics Pages: 81-109 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106394 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106394 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:81-109 Template-Type: ReDIF-Article 1.0 Author-Name: S Mainardi Author-X-Name-First: S Author-X-Name-Last: Mainardi Title: Decomposition of Conditional Variance Persistence through Frequency-Domain Markov Chains Abstract: A Markov-switching (MS) approach is applied here to identify news with different intensity, such as weak but persistent shocks and apparently stronger shocks whose effects turn out to taper off and fade quicker. Hypotheses, indications and inference problems of time-domain MS models are reviewed. A three-step procedure for volatility persistence decomposition is formulated. Based on ad hoc MS specifications and related conditional probabilities, the aim is to examine time series properties of variables in levels, identify cut-off points in the spectrum of an efficient estimator of volatility, and construct time-varying weights for a component GARCH. The procedure is applied to 1989-2004 daily prices of two commodities. Phases of positive price performance tend to be steeper, deeper and less persistent than the opposite occurrences. The cocoa price undergoes relatively higher and more unstable volatility persistence, but this result is partly influenced by the modelling of a fourth regime in the coffee price series. Variance decomposition does not prove to strengthen the forecasting capacity of GARCH modelling. Journal: Studies in Economics and Econometrics Pages: 111-135 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106395 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106395 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:111-135 Template-Type: ReDIF-Article 1.0 Author-Name: N van Aswegen Author-X-Name-First: N Author-X-Name-Last: van Aswegen Author-Name: B W Steyn Author-X-Name-First: B W Author-X-Name-Last: Steyn Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Title: Economic Growth, Employment, Labour Productivity and Remuneration in South Africa: Evidence from Published Financial Data Abstract: This paper examines the changes which took place in a population of companies within the formal sector of the South African economy vis-à-vis economic growth, employment, labour productivity and remuneration and also compares these changes with projections put forward in the Growth, Employment and Redistribution (GEAR) policy. GEAR projected that an economic growth rate of 6% per annum would give rise to the creation of 400 000 additional jobs per year in the formal sector over the period 1996 to 2000.The data used in the study was gathered from the annual financial statements of 62 industrial companies listed on the JSE Securities Exchange over the period 1994 to 2000.Although it appeared as though labour productivity had increased, the increase was partly due to an overall decrease in employment, rather than a greater than expected increase in value added. It emerged that the majority of companies, which decreased employment, contributed negatively to economic growth. These companies were also shown to have increased salaries on a per employee basis, which meant that these companies did not reduce their overall salary expenses substantially. By decreasing employee numbers and increasing per capita remuneration, the companies in question only acted to further increase an already wide income differential in South Africa. It thus appeared that in reality few of the projections put forward in GEAR were achieved by these companies. Journal: Studies in Economics and Econometrics Pages: 137-152 Issue: 3 Volume: 29 Year: 2005 Month: 12 X-DOI: 10.1080/10800379.2005.12106396 File-URL: http://hdl.handle.net/10.1080/10800379.2005.12106396 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:29:y:2005:i:3:p:137-152 Template-Type: ReDIF-Article 1.0 Author-Name: J A Swanepoel Author-X-Name-First: J A Author-X-Name-Last: Swanepoel Title: The Impact of External Shocks on South African Inflation at Different Price Stages Abstract: Over the past few years the South African economy experienced strong exchange rate movements as well as shocks to oil prices and import prices. Thorough knowledge of the pass-through of these external factors to domestic inflation is of particular importance for monetary policy. This paper makes use of a VAR of a distribution chain to provide empirical evidence on the pass-through of three external shocks (oil price shocks, exchange rate shocks and non-oil import price shocks) on inflation in South Africa at different price stages. Including prices along a distribution chain is of great interest for price analysis as it reveals how external shocks are propagated from one price stage to the next. The study highlights the relative importance of different external shocks, as well as their combined importance in explaining domestic inflation in South Africa. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106397 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106397 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: C Auret Author-X-Name-First: C Author-X-Name-Last: Auret Author-Name: W Rudolph Author-X-Name-First: W Author-X-Name-Last: Rudolph Title: The Reaction of Stock Prices to Unexpected Inflation Abstract: This study analyses the reaction of daily stock prices on the JSE Securities Exchange to new information about inflation, contained in the announcement of the Consumer Price Index (CPI). Three different prediction models for inflation are compared. It is shown that a model based on the time-series of past inflation announcements performs as well, if not better, than a model based on the time-series of real rates of return. However, both these models are shown to be far more accurate predictors of inflation than a simple interest rate model. The results of a multiple regression model for stock returns based on unexpected inflation reveal that there is no significant reaction of stock prices to the information contained in CPI announcements. This suggests that such announcements do not really convey new information to the market, and that the announcement figure is already impounded into stock prices well before the actual announcement date. This evidence suggests that the JSE Securities Exchange may show stronger evidence of efficiency than previously believed. Journal: Studies in Economics and Econometrics Pages: 23-40 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106398 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106398 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:23-40 Template-Type: ReDIF-Article 1.0 Author-Name: G D I Barr Author-X-Name-First: G D I Author-X-Name-Last: Barr Author-Name: L J Sharp Author-X-Name-First: L J Author-X-Name-Last: Sharp Title: The Economics of Democracy in Resource-Producing Countries Abstract: It is common to treat the political system (including ownership and expropriation risks, and civil and electoral freedoms) as an exogenous influence over economic conditions. Nonetheless, there is an increasing tendency in economics and political science to view the political system as both a consequence and a determinant of economic conditions. However, the specific nature of these interrelationships is not well understood. For instance, it is common to use Africa and/or oil country ‘dummies’ when explaining international patterns of democratic freedom. This study uses a cross-sectional regression approach for 182 resource-producing countries and concludes that resource endowments affect political conditions through the factor markets. In particular, it demonstrates that the elasticity of factor substitution has a close and consistent empirical relationship with both democracy and resource intensity, and that the statistical significance of the Africa and oil-country dummies falls away when the econometric specification incorporates the elasticity of factor substitution. Journal: Studies in Economics and Econometrics Pages: 41-58 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106399 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106399 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:41-58 Template-Type: ReDIF-Article 1.0 Author-Name: C Swanepoel Author-X-Name-First: C Author-X-Name-Last: Swanepoel Title: Poverty and Poverty Dynamics in Rural Ethiopia Abstract: Poverty in rural Ethiopia is vast by any standard. Using the Ethiopian Rural Household Survey (ERHS), which is a panel data set consisting of four rounds between 1994 and 1997, this analysis aims to examine the broad trends in poverty by calculating poverty measures of the Foster-Greer-Thorbecke class, as well as to analyse the correlates of poverty by means of regression trees. Furthermore, in an attempt to determine how and why some households experience changes in their poverty status over time, the poverty dynamics of households is studied according to both the spells and the components approaches. Here the distinction is made between transient and chronic poor, and regression analysis is employed to determine whether the endowments and characteristics of these groups differ. Journal: Studies in Economics and Econometrics Pages: 59-82 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106400 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106400 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:59-82 Template-Type: ReDIF-Article 1.0 Author-Name: I Drine Author-X-Name-First: I Author-X-Name-Last: Drine Author-Name: C Rault Author-X-Name-First: C Author-X-Name-Last: Rault Title: What are the Long-Run Determinants of the Real Exchange Rate in Mena Countries? An Empirical Investigation Abstract: This paper investigates the main determinants of the real exchange rate in the Meadle East and North African (MENA) countries. We carry out recent panel data unit-root tests proposed by Im, Pesaran and Shin (1997, 2003) and panel data cointegration techniques developed by Pedroni (1999, 2004) to estimate the long-run determinants of the real exchange rate and we compare the results with those obtained with conventional time series unit-roots and cointegration tests. Our main finding is that whereas standard time series approach rejects the Balassa-Samuelson hypothesis for 12 countries out of 16, recent panel cointegration techniques permit to rescue this hypothesis for MENA countries. Moreover, further investigations show that government consumption, real interest rate differentials and the openness degree of the economy also influence real exchange rate in the long-run. Journal: Studies in Economics and Econometrics Pages: 83-100 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106401 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106401 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:83-100 Template-Type: ReDIF-Article 1.0 Author-Name: O A Akinboade Author-X-Name-First: O A Author-X-Name-Last: Akinboade Author-Name: D Makina Author-X-Name-First: D Author-X-Name-Last: Makina Title: Financial Sector Development In South Africa, 1970-2002 Abstract: The importance of financial sector development to overall economic development is well documented in the literature. Financial sector development literature has historically emphasized the connection between a country's financial superstructure and economic development. In this paper we discuss development of the financial sector in South Africa from the early 1970s to 2002, a period that comprises about two decades of the apartheid period and more or less a decade of democracy. We use various indices of financial development to draw some conclusions as to where the country is heading. Pertinent positive findings suggest a move towards the cashless economy, a trend of increasing credit allocation to the private sector as well as the ability of banks to extend mortgage loans, short term savings being better and more effectively mobilized than before, and the deepening of the JSE Securities Exchange. On the negative side, long-term savings which were on the decline have now stabilized; the banking sector has not been quite successful in attracting more savings from the wider population; the entry of new banks and the introduction of financial instruments have not significantly impacted on interest rate spread. Journal: Studies in Economics and Econometrics Pages: 101-128 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106402 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106402 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:101-128 Template-Type: ReDIF-Article 1.0 Author-Name: T S Mkhabela Author-X-Name-First: T S Author-X-Name-Last: Mkhabela Title: Technical Efficiency Estimates For The Kwazulu-Natal Midlands Dairy Industry Abstract: Since none of the production frontier models used in empirical analyses of production efficiency is without its limitations, it is very important to make a careful choice of model. The different types of production frontier models all have their strengths and weaknesses.Findings of previous studies on sensitivity of technical efficiency estimates by different methods are mixed thus more research comparing technical efficiency measurements from alternative models is needed in order to determine the robustness of estimates from a particular model. The present study analysed the extent to which DEA, econometric stochastic production frontier and the statistical deterministic frontier differ from one another in measuring technical efficiency using the KwaZulu-Natal midlands dairy industry.The general findings from this study indicate that estimates of technical efficiencies of individual dairy farms, and therefore the mean technical efficiency of the KZN dairy industry, are sensitive to the choice of production frontier estimation method. Journal: Studies in Economics and Econometrics Pages: 129-146 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106403 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106403 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:129-146 Template-Type: ReDIF-Article 1.0 Author-Name: H H A Yong Author-X-Name-First: H H A Author-X-Name-Last: Yong Author-Name: R Faff Author-X-Name-First: R Author-X-Name-Last: Faff Author-Name: H Nguyen Author-X-Name-First: H Author-X-Name-Last: Nguyen Title: Investigating the Determinants of the Decision to Engage In a Corporate Hedging Strategy Abstract: This paper investigates the decision to engage in a comprehensive corporate hedging strategy for Australian listed companies. Specifically the pursuit of a comprehensive hedging strategy is gauged by jointly investigating the corporate use of foreign currency derivatives; interest rate derivatives; commodity derivatives and foreign debt. The results show that firm size, leverage, dividend yield and block holdings are incentive factors to the comprehensive hedging decision, while executive shares is a disincentive factor. Consistent with hedging theory, the significance of the leverage variables supports the financial distress cost hypothesis. Support is also found for the dividend decision is a substitute for corporate hedging. Journal: Studies in Economics and Econometrics Pages: 147-160 Issue: 1 Volume: 30 Year: 2006 Month: 4 X-DOI: 10.1080/10800379.2006.12106404 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106404 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:1:p:147-160 Template-Type: ReDIF-Article 1.0 Author-Name: M J Aziakpono Author-X-Name-First: M J Author-X-Name-Last: Aziakpono Title: Financial Integration Amongst The Sacu Countries: Evidence From Interest Rate Pass-Through Analysis Abstract: Using cointegration and error correction techniques, as well as impulse response analysis, the study examined the extent of interest rates pass-through to measure the degree of financial integration amongst the SACU countries. The results confirm the dominant role of South Africa in the Union and show that there exists a hierarchy of integration of the financial systems of each member state with that of South Africa, with Namibia at the top, followed by Swaziland, then Lesotho, with Botswana at the bottom. The results further suggest that the prevailing integration between the financial systems is mainly as a result of policy convergence, rather than market convergence, which suggest limited arbitrage opportunities between the countries. The lack of arbitrage opportunities is attributed to poor institutional developments and limited investment opportunities in the BLNS countries when compared to South Africa. Journal: Studies in Economics and Econometrics Pages: 1-23 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106405 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106405 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:1-23 Template-Type: ReDIF-Article 1.0 Author-Name: J H Venter Author-X-Name-First: J H Author-X-Name-Last: Venter Author-Name: D C J de Jongh Author-X-Name-First: D C J Author-X-Name-Last: de Jongh Title: Extending The Ekop Model To Estimate The Probability Of Informed Trading Abstract: Easley, Kiefer, O'Hara and Paperman (1996) introduced a model that enables one to estimate the probability of informed trading in a stock using as input data the numbers of buyer and seller initiated trades over a period. Empirical testing suggests that this model does not fit data well. We formulate several extensions of the model improving its ability to fit data and discuss the effects this has on the accuracy of estimating the probability of informed trading. Journal: Studies in Economics and Econometrics Pages: 1-15 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106406 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106406 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:1-15 Template-Type: ReDIF-Article 1.0 Author-Name: J H Venter Author-X-Name-First: J H Author-X-Name-Last: Venter Author-Name: D C J de Jongh Author-X-Name-First: D C J Author-X-Name-Last: de Jongh Title: Further Extensions Of The Ekop Model Abstract: Easley, Kiefer, O'Hara and Paperman (1996) introduced a model that enables one to estimate the probability of informed trading in a stock using as input data the numbers of buyer and seller initiated trades over a period. Empirical testing reported in Venter and de Jongh (2006) indicated that this model does not fit data well and they formulated a model based on the Poisson Inverse Gaussian (PIG) distribution that fitted better. This model allowed for random daily news noise impacts on the trading intensities of the liquidity and informed traders. These news noise impacts were assumed to be independent over successive days. Further investigation of the model indicated that the independence assumption may not be realistic. In this paper we reformulate the model in terms of Poisson Log Normally (PLN) distributed news noise impacts with serial correlation. We show how the much more complicated likelihood function and other items of interest for inference purposes may be computed by means of efficient importance sampling. Journal: Studies in Economics and Econometrics Pages: 41-59 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106407 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106407 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:41-59 Template-Type: ReDIF-Article 1.0 Author-Name: W H Boshoff Author-X-Name-First: W H Author-X-Name-Last: Boshoff Title: The Transmission Of Foreign Financial Crises To South Africa: A Firm-Level Study Abstract: The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the different transmission hypotheses are evaluated for the East Asian, Russian and Argentinean crises using firm-level daily stock return data from the JSE Securities Exchange. A multivariate regression model, supplemented by sensitivity tests, forms the core of the empirical methodology. Journal: Studies in Economics and Econometrics Pages: 61-85 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106408 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106408 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:61-85 Template-Type: ReDIF-Article 1.0 Author-Name: Z Blignaut Author-X-Name-First: Z Author-X-Name-Last: Blignaut Author-Name: G N Farrell Author-X-Name-First: G N Author-X-Name-Last: Farrell Author-Name: L Rangasamy Author-X-Name-First: L Author-X-Name-Last: Rangasamy Title: An Estimate of the Weight of the Import Component of the South African CPI and CPIX Abstract: This paper provides an estimate of the share of imports in the CPI and CPIX, calculated from the supply and use tables for 2002. The methodology takes account of both "direct" imports (i.e. imports of final consumer goods) and "indirect" imports (imported intermediate inputs used in the domestic production of consumer goods). Imports make up around 15 per cent of the CPIX and around 14 per cent of the CPI. If these estimates are used as benchmarks for the pass-through from import prices to consumer prices, they suggest that a 10 per cent increase in import prices will result in a 1,5 per cent (1,4 per cent) increase in the CPIX (CPI) in the long run. Furthermore, they imply that approximately 85 per cent (86 per cent) of the movement in the CPIX (CPI) is accounted for by domestic factors. However, it may be that it is the share of importables, rather than the share of imports, that is important in this regard. In this context the impact of import parity pricing on domestic inflation in South Africa is worthy of further investigation. Journal: Studies in Economics and Econometrics Pages: 87-101 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106409 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106409 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:87-101 Template-Type: ReDIF-Article 1.0 Author-Name: I Botha Author-X-Name-First: I Author-X-Name-Last: Botha Author-Name: L Greyling Author-X-Name-First: L Author-X-Name-Last: Greyling Author-Name: D J Marais Author-X-Name-First: D J Author-X-Name-Last: Marais Title: Modelling the Business Cycle in South Africa: A Non-Linear Approach Abstract: In this paper the South African business cycle is modeled, using a simple linear method and comparing it to non-linear methods. This is useful to address the debate between the Classical and Keynesian economists regarding their views on the business cycle. They believe in a stable economy with exogenous shocks and an unstable economy with an endogenous business cycle respectively. Linear models are usually associated with the Classical view and non-linear models with the Keynesian view.A detailed discussion on the non-linear model-building process, with particular emphasis on the family of STAR models is done. The South African GDP is used and AR, TAR, LSTAR and ESTAR models are fitted and compared.It finds that a parameterized nonlinear model (such as the family of STAR models) outperforms the simple regression model. This is due to asymmetric behaviour in the GDP data and the possibility of a threshold between a recession and an expansion.The results in this paper support the structural or institutional view of business cycles, which states that economic fluctuations are caused by various structural or institutional changes. Journal: Studies in Economics and Econometrics Pages: 103-126 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106410 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106410 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:103-126 Template-Type: ReDIF-Article 1.0 Author-Name: L Edwards Author-X-Name-First: L Author-X-Name-Last: Edwards Author-Name: A Behar Author-X-Name-First: A Author-X-Name-Last: Behar Title: Trade Liberalisation and Labour Demand within South African Manufacturing Firms Abstract: Using new detailed tariff data, wages disaggregated by skill level and firm level information, this paper ascertains the relationships between trade, technology and labour demand and investigates the effects of tariff changes on factor prices in South African manufacturing. We find evidence that trade liberalization and technological change have affected the skill structure of employment. Export orientation, raw materials imports, training, investment in computers and firm age are positively associated with the skill intensity of production. We also find that tariff liberalisation raised the return to capital relative to labour, but that the negative impact on labour is concentrated on semiskilled workers. Tariff liberalisation mandated a rise in real returns to unskilled workers. Journal: Studies in Economics and Econometrics Pages: 127-146 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106411 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106411 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:127-146 Template-Type: ReDIF-Article 1.0 Author-Name: N L Samouilhan Author-X-Name-First: N L Author-X-Name-Last: Samouilhan Author-Name: C P van Walbeek Author-X-Name-First: C P Author-X-Name-Last: van Walbeek Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Convergence, Rationality and Accuracy in South African Consensus Economic Forecasts Abstract: The average values of numerous forecasts about South African economic variables are often calculated to give a summary measure of all the various forecasters' views. This mean forecast, often termed the consensus forecast, is found to increasingly represent the information held by forecasters as the forecast horizon declines. The forecasts of Inflation and GDP growth rates are investigated in this paper. The mean forecast is found to systematically underpredict large actual outcomes and overpredict low actual outcomes at long forecast horizons, with the opposite behaviour being found at short horizons. Both mean forecasts are found to be Muthian rational at all horizons. Forecasts of growth in GDP become more accurate as the forecast horizon declines, although not monotonically. Forecasts of inflation do become monotonically more accurate. The mean forecast is shown to be more accurate at all horizons compared to two extrapolation models. No relationship is found between the degree of dispersion of the forecasts around the mean and the means's accuracy for forecasts of both GDP growth and inflation. Journal: Studies in Economics and Econometrics Pages: 147-165 Issue: 2 Volume: 30 Year: 2006 Month: 8 X-DOI: 10.1080/10800379.2006.12106412 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106412 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:2:p:147-165 Template-Type: ReDIF-Article 1.0 Author-Name: P Digby Author-X-Name-First: P Author-X-Name-Last: Digby Author-Name: C Firer Author-X-Name-First: C Author-X-Name-Last: Firer Author-Name: E Gilbert Author-X-Name-First: E Author-X-Name-Last: Gilbert Title: The South African Equity Risk Premium Abstract: This report estimates the expected equity risk premium for South African by comparing the historical realised risk premium between 1900 and 2004 against results for two fundamental models that use dividend and earnings growth as unbiased estimators of long term equity price growth. The dividend model result of 6.6% based on data for the 1960-2004 period is proposed as the best unbiased estimate of the expected average annual equity premium over the risk free rate. The evidence provided suggests a decline in the expected South African equity risk premium, and a lower expected premium for the future than in the past. Journal: Studies in Economics and Econometrics Pages: 1-17 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106413 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106413 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:1-17 Template-Type: ReDIF-Article 1.0 Author-Name: A Kyereboah-Coleman Author-X-Name-First: A Author-X-Name-Last: Kyereboah-Coleman Title: Corporate Board Diversity And Performance Of Microfinance Institutions: The Effect Of Gender Abstract: This paper examines empirically the relationship between corporate board diversity and the performance of Microfinance Institutions (MFIs). The study uses a panel data set of 52 Microfinance Institutions in Ghana covering the ten year period 1995 - 2004. Analysis is done within the Panel Data GLS-Random Effect framework. Though, generally mixed results are found with regard to the broad corporate governance variables, the study shows that having women CEOs on MFI boards enhance performance and also the more women there are on a board, the better the performance. Thus, findings of the study suggest that board diversity through inclusion of women is important for enhanced performance of MFIs. Journal: Studies in Economics and Econometrics Pages: 19-33 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106414 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106414 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:19-33 Template-Type: ReDIF-Article 1.0 Author-Name: D K Shangodoyin Author-X-Name-First: D K Author-X-Name-Last: Shangodoyin Author-Name: R Arnab Author-X-Name-First: R Author-X-Name-Last: Arnab Author-Name: O I Osowole Author-X-Name-First: O I Author-X-Name-Last: Osowole Title: Gender Modelling Of Serving Time, Prison Population And Review Of Punishment In Oyo State-Nigeria Abstract: A model for estimating the total prison population, Pt , in Oyo State, Nigeria is proposed and a probable way of projecting for future years using an appropriate ARMA model is discussed. By using a monthly dataset for four consecutive years we observed that there is a decline in prison population, perhaps due to the impact of current crime reduction strategies. The prisoners' average serving time varies with gender between 0.7-1.3years. Journal: Studies in Economics and Econometrics Pages: 35-42 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106415 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106415 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:35-42 Template-Type: ReDIF-Article 1.0 Author-Name: O A Akinboade Author-X-Name-First: O A Author-X-Name-Last: Akinboade Author-Name: D Makina Author-X-Name-First: D Author-X-Name-Last: Makina Title: Purchasing Power Parity And The Real Rand-Dollar Exchange Rate Abstract: This paper tests for evidence in support of the purchasing power parity (PPP) in the bilateral real exchange rate series of the South African rand against the US dollar. The importance of considering structural breaks in the PPP test is illustrated. Using standard unit root tests without considering structural breaks, the study is unable to reject the null hypothesis of a unit root in the exchange rate series. However, our additive outlier model clearly demonstrates the importance of multiple sudden structural breaks and supports the stationarity of rand's real exchange rate against the dollar. As expected the innovative outlier model, which seeks to suggest gradual shifts, only identifies a limited number of breaks and does not support purchasing power parity. Journal: Studies in Economics and Econometrics Pages: 43-59 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106416 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106416 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:43-59 Template-Type: ReDIF-Article 1.0 Author-Name: T S Mkhabela Author-X-Name-First: T S Author-X-Name-Last: Mkhabela Title: An Sgm Restricted Cost Function Approach To Technology And Efficiency In A Panel Of Kwazulu-Natal Dairy Farms Abstract: The work reported here used a short-term specification of the symmetric generalised McFadden (SGM) cost function capable of incorporating quasi-fixed factors and variable returns. Temporary equilibrium and scale economies were investigated while maintaining the consistency of the estimated model with microeconomic theory and approximation properties. The methodology also makes use of a two-step procedure to estimate first the technology parameters and then time-varying efficiency at farm level. No distributional assumptions are required on efficiency as a fixed effect model was considered. A balanced panel of dairy farms in KwaZulu-Natal during the years from 1990 to 2002 was used for the analyses. The results show a rigid productive structure during the study period. In addition, milk producers in KwaZulu-Natal were found to exhibit considerable excess capacity and rather low input technical efficiency. Journal: Studies in Economics and Econometrics Pages: 61-78 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106417 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106417 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:61-78 Template-Type: ReDIF-Article 1.0 Author-Name: P Takaendesa Author-X-Name-First: P Author-X-Name-Last: Takaendesa Author-Name: T Tsheole Author-X-Name-First: T Author-X-Name-Last: Tsheole Author-Name: M Aziakpono Author-X-Name-First: M Author-X-Name-Last: Aziakpono Title: Real Exchange Rate Volatility And Its Effect On Trade Flows: New Evidence From South Africa Abstract: This paper empirically re-examines the impact of real exchange rate volatility on South Africa's export flows to the United States for the period 1992:1 - 2004:4, using the two-country model of international trade. The exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model is used to measure real exchange rate volatility. Cointegration and error- correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. Further, variance decomposition analysis is used to show the dynamic adjustments of real exports to shocks in the fundamentals and the proportion thereof. The results obtained in this paper summarily provide evidence that real exchange rate volatility has a negative effect on real exports. Journal: Studies in Economics and Econometrics Pages: 79-97 Issue: 3 Volume: 30 Year: 2006 Month: 12 X-DOI: 10.1080/10800379.2006.12106418 File-URL: http://hdl.handle.net/10.1080/10800379.2006.12106418 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:30:y:2006:i:3:p:79-97 Template-Type: ReDIF-Article 1.0 Author-Name: S F Koch Author-X-Name-First: S F Author-X-Name-Last: Koch Title: South African Household Expenditure Shares: South African Household Data Pitfalls Abstract: This paper presents research on South African household expenditure share behaviour. The research examines whether or not a theoretical and empirical model, which has been successful in explaining expenditure shares in Australia, is valid when applied to South African data. The primary conclusion of the research is that expenditure shares in South Africa do not conform to the assumptions set out in the model. Although there are many potential reasons for non-conformity, this paper provides evidence that the estimates produced within the AID system and the MAID system suffer from heteroskedasticity and non-normality. Therefore, in order to improve the understanding of spending behaviour by South African households, models will have to be specifically developed to deal with the idiosyncrasies of South African data. Journal: Studies in Economics and Econometrics Pages: 1-28 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106419 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106419 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:1-28 Template-Type: ReDIF-Article 1.0 Author-Name: L L Ellis Author-X-Name-First: L L Author-X-Name-Last: Ellis Title: The Impact of HIV/AIDS on Selected Business Sectors in South Africa Abstract: Based on the BER's 2005 survey1, this paper provides a snapshot view of the nature and the extent of the impact of HIV/AIDS on selected economic sectors in South Africa, as well as their response to the epidemic. Whereas the focus of most of the previous surveys has been on “evaluating workplace responses”, this study also considers the economic impact of HIV/AIDS. With 1032 participants from the mining, manufacturing, building & construction, trade, transport and financial services sectors, it is the largest survey on the economic impact of HIV/AIDS in South Africa to date. The survey results suggest that the mining sector, followed by the manufacturing and transport sectors, are the worst affected among the sectors surveyed. The companies that are the most active in the fight against HIV/AIDS seem to be the ones that are the hardest hit by the epidemic. The survey results also confirmed that fear of stigma is a significant impediment to the effectiveness of HIV/AIDS Journal: Studies in Economics and Econometrics Pages: 29-52 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106420 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106420 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:29-52 Template-Type: ReDIF-Article 1.0 Author-Name: T E Mutambara Author-X-Name-First: T E Author-X-Name-Last: Mutambara Title: Regional Cross Border Investment Between the Southern Africa Development Community (SADC) Member States and the Expected Potential Benefits Abstract: With the initiatives for greater cooperation and the move towards deeper integration within the SADC region, regional cross border investment is emerging as a significant form of investment as countries seek to form closer bonds with each other, as well as to link trade and industrial production. Article 22 of the SADC Protocol on Trade encourages countries to take advantage of the existing opportunities for regional cross border investment by adopting policies and measures that promote open cross-border investment regimes.South Africa is the leading investor in the SADC region, accounting for most of the foreign direct investment activity. Mauritius has also shown a keen interest in investing in the SADC region. While Zimbabwe had shown a keen interest, its deteriorating economic and political environment would entail that regional investment from Zimbabwe is most likely going to be due to disinvestment from Zimbabwe as firms seek better investment climates. Journal: Studies in Economics and Econometrics Pages: 53-77 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106421 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106421 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:53-77 Template-Type: ReDIF-Article 1.0 Author-Name: S A du Plessis Author-X-Name-First: S A Author-X-Name-Last: du Plessis Author-Name: B W Smit Author-X-Name-First: B W Author-X-Name-Last: Smit Title: Countercyclical Monetary Policy in South Africa Abstract: This paper represents an attempt to measure the extent to which monetary policy helped to stabilise output in South Africa since the early 1980s. The paper offers two complementary measures of countercyclical monetary policy: an econometric evaluation and a narrative account of policy decisions. These two methods are used to gauge the extent to which the monetary authorities were inclined to and able to focus on the goal of output stabilisation. The analysis uncovers the extent to which policy constraints prevented monetary authorities from pursuing an anti-cyclical policy, and contributes to an explanation of often pro-cyclical monetary policy in South Africa since the late 1970s. Journal: Studies in Economics and Econometrics Pages: 79-98 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106422 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106422 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:79-98 Template-Type: ReDIF-Article 1.0 Author-Name: N L Samouilhan Author-X-Name-First: N L Author-X-Name-Last: Samouilhan Title: The Persistence of SA Equity Volatility: a Component Arch Perspective Abstract: This paper investigates the conditional volatilities of equity returns on the JSE for both the broad ALSI40 index and its various sub-sectors. Using a Component ARCH (CARCH) model the paper disaggregates the conditional volatilities of the equities into three distinct components: a time-invariable mean, a long-run (Permanent) dynamic and a short-run (Transitory) dynamic. Significant evidence of volatility persistence is found over both the long-run and the short-run for each series and for the broad index. The half-lives of such persistence for the broad ALSI is found to be 5.60 trading days for the short-run dynamics and 169 trading days for the long-run dynamics; these estimated short-run and long-run half-lives are found to vary greatly amongst the sectors. The long-run time-invariable underlying magnitude of equity returns volatility for the ALSI40 index is estimated at 1.45% per trading day, though again much heterogeneity is found amongst the various individual sectors under investigation. Journal: Studies in Economics and Econometrics Pages: 99-118 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106423 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106423 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:99-118 Template-Type: ReDIF-Article 1.0 Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Title: A Modelling Of Ghana'S Inflation Experience: 1960-2003 Abstract: This paper examined the causes of inflation in Ghana between 1960 and 2003. Stylized facts about the inflation experience indicated that following the exit from the West African Currency Board inflation management had been ineffective despite two decades of vigorous reforms. Using the Johansen cointegration test and an error correction model the paper identified inflation inertia, changes in money supply, changes in Government of Ghana Treasury bill rates as well as changes in exchange rate as determinants of inflation in the short-run. Inflation inertia was found to be the dominant determinant of inflation in Ghana. These findings suggest that to make Treasury bill rates more effective as nominal anchor inflation expectations ought to be reduced considerably. Journal: Studies in Economics and Econometrics Pages: 119-144 Issue: 1 Volume: 31 Year: 2007 Month: 4 X-DOI: 10.1080/10800379.2007.12106424 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106424 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:1:p:119-144 Template-Type: ReDIF-Article 1.0 Author-Name: L Edwards Author-X-Name-First: L Author-X-Name-Last: Edwards Author-Name: M Stern Author-X-Name-First: M Author-X-Name-Last: Stern Title: Trade and Poverty in South Africa: Lessons and Policy Recommendations Abstract: South Africa engaged in extensive tariff liberalisation during the 1990s with the aim of improving growth, employment and national welfare. However, the benefits of trade reform do not accrue automatically and equally to all households or communities and in some cases poverty and unemployment may rise. This paper reviews the research conducted for the South Africa Trade and Poverty Research Project under the Southern Africa Labour Development Unit. We find that trade liberalisation in South Africa is an important source of welfare gain for the economy as a whole and has contributed towards productivity gains at the enterprise level and lower costs of living for poor households. However, the effects are not uniform across households and industries: poor households are both winners and losers in the process. This makes it difficult to measure the net impact of liberalisation on the poor. While we argue that the net effect of liberalisation has been positive, tariff liberalisation alone is not sufficient to reduce unemployment and poverty especially amongst the unskilled and rural poor. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106425 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106425 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: N Cattaneo Author-X-Name-First: N Author-X-Name-Last: Cattaneo Author-Name: S Dodd Author-X-Name-First: S Author-X-Name-Last: Dodd Title: Theoretical Approaches to the Analysis of Trade and Poverty and a Review of Related Literature on South Africa Abstract: This paper considers a variety of theoretical approaches to the analysis of trade and poverty, from conventional trade theory to a livelihoods approach towards the poverty impact of trade reform. The conclusion is reached that further development and integration of alternative frameworks that move beyond traditional trade theory is important for the evolution of pro-poor trade policy reform. The paper uses the methodological framework put forward by Winters (2000a,b) and McCulloch et al. (2001) to review existing research, prior to the SALDRU Trade and Poverty Project, relevant to the relationship between trade and poverty in South Africa. Important avenues for future research are identified. In concluding, the paper comments on appropriate policies that may be inferred from the theoretical discussion and South African research surveyed that could accompany trade reform to ameliorate potential adverse poverty outcomes. Journal: Studies in Economics and Econometrics Pages: 23-48 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106426 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106426 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:23-48 Template-Type: ReDIF-Article 1.0 Author-Name: P Dunne Author-X-Name-First: P Author-X-Name-Last: Dunne Author-Name: L Edwards Author-X-Name-First: L Author-X-Name-Last: Edwards Title: Trade and Poverty in South Africa: Exploring the Trade-Labour Linkages Abstract: An important mechanism through which trade affects poverty is through its impact on employment. This paper explores the relationship between trade, employment and technological change in South Africa using correlation analysis, a decomposition analysis and the estimation of an induced labour demand model using industry panel data. We find little correlation between employment changes and changes in protection or trade flows, but find a bias in tariff reductions towards labour-intensive sectors. Manufacturing trade flows have also been biased against labour-intensive sectors, but the net effect of trade on employment is close to zero or positive once indirect effects are included. The majority of employment change is attributed to technological change. We find little evidence that this technological change has been induced by increased openness. Journal: Studies in Economics and Econometrics Pages: 49-68 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106427 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106427 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:49-68 Template-Type: ReDIF-Article 1.0 Author-Name: R C Daniels Author-X-Name-First: R C Author-X-Name-Last: Daniels Author-Name: L Edwards Author-X-Name-First: L Author-X-Name-Last: Edwards Title: The Benefit-Incidence of Tariff Liberalisation in South Africa Abstract: This paper evaluates how tariff liberalisation affected households in South Africa over the period 1995, 2000 and 2004, focussing specifically on the incidence of tariffs over the expenditure distribution. It is demonstrated that trade liberalisation has reduced the tariff burden for households across the expenditure distribution, implying significant welfare improvements to consumers in the form of reduced prices. However, the gains from liberalisation and the burden of continued protection are not uniform across the expenditure distribution. We employ a nonparametric method to test the impact of the change in tariff incidence on the cumulative expenditure distribution. Results suggest that wealthy households gained relative to all but the very poor between 1995 and 2000. Between 2000 and 2004, this trend was reversed, and the poor gained relatively more than the wealthy. Importantly, it was found that poor households always bear a greater share of the tariff burden, relative to their share in total expenditure, compared to the wealthy, indicating the regressive nature of import tariffs. Our results indicate potentially large pro-poor gains to consumers from further liberalisation, but the realisation of these gains is dependent on the pass-through of tariff reductions to consumers. Journal: Studies in Economics and Econometrics Pages: 69-88 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106428 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106428 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:69-88 Template-Type: ReDIF-Article 1.0 Author-Name: K Pauw Author-X-Name-First: K Author-X-Name-Last: Pauw Author-Name: L Edwards Author-X-Name-First: L Author-X-Name-Last: Edwards Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Title: Trade-Induced Employment Changes: Promising or Problematic for Poor Households in South Africa? Abstract: This paper considers the impact of trade liberalisation on employment and income at the household level in South Africa using descriptive analyses and micro-simulations. Poor households are found to be weakly linked to employment opportunities, particularly so in the manufacturing sector. The location and skills requirements of manufacturing are central to this mismatch. These weak linkages make poor households less vulnerable to employments losses arising from liberalisation, but also less likely to gain from increased demand for labour arising from increased export production. An exception to this is the agricultural sector. This sector is located in the geographical proximity of the poor and entails a demand for skills that are prevalent among the poor. Therefore it is a substantial employer of the poor. Access to land and international markets for South African agricultural products are therefore important avenues through which trade can potentially alleviate poverty. Journal: Studies in Economics and Econometrics Pages: 89-90 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106429 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106429 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:89-90 Template-Type: ReDIF-Article 1.0 Author-Name: S van der Westhuizen Author-X-Name-First: S Author-X-Name-Last: van der Westhuizen Title: Trade and Poverty: A Case Study of the South African Clothing Industry Abstract: This case study examines how the South African clothing industry adjusted to the challenges of global competition, and the consequences thereof for the mostly female clothing worker corps. Trade liberalisation may detrimentally impact on income distribution as exposure of previously protected domestic industries to international competition may cause income and employment losses. The case of the clothing industry in South Africa is an illustration of such an outcome, as the swift rise in clothing imports precipitated the decline of the clothing industry with resultant employment loss. The predominantly female workers have had limited options for adjustment. The consequences of restructuring have been acute for these workers and have resulted in social dislocation. The study looks at restructuring in the industry; examines the social effects on clothing workers; and whether the export potential has alleviated the adverse effects by creating employment. Journal: Studies in Economics and Econometrics Pages: 109-124 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106430 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106430 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:109-124 Template-Type: ReDIF-Article 1.0 Author-Name: T Chaponda Author-X-Name-First: T Author-X-Name-Last: Chaponda Author-Name: M Stern Author-X-Name-First: M Author-X-Name-Last: Stern Title: Trade and Poverty Case Study: Small Household Appliances Abstract: South Africa manufactures a diverse range of small household appliances. Increased international competition has forced a substantial restructuring of the domestic industry and existing suppliers have become leaner, more focused and much more profitable. Although the two market leaders continue to manufacture locally, the primary activity of both companies has switched from manufacturing to importing and brand management. The recent financial performance of these companies is impressive and their brand presence within South Africa remarkably strong. It would appear that South African manufacturers of small household appliances have adapted very well to the ‘threat' of international competition and have captured most of the gains. The gains to consumers, in terms of product variety and quality, have also been substantial; and the employment losses have been small. But input and output prices remain distorted by unnecessary tariffs and South African consumers continue to pay a high price for basic home appliances. Journal: Studies in Economics and Econometrics Pages: 125-142 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106431 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106431 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:125-142 Template-Type: ReDIF-Article 1.0 Author-Name: F Flatters Author-X-Name-First: F Author-X-Name-Last: Flatters Author-Name: N Netshitomboni Author-X-Name-First: N Author-X-Name-Last: Netshitomboni Title: Trade and Poverty in South Africa: the Motor Industry Development Programme Abstract: There has been substantial trade liberalization in the motor industry over the past decade. Nevertheless, protection remains high and substantial new support has been provided to industry exports.The slow pace of liberalization has hurt the poor through its effects on vehicle prices, employment and the government budget. High tariffs raise the cost of transport, with adverse effects on the poor who are highly dependent on taxi services for commuting and job search, and on inexpensive vehicles to run small businesses. While protection has saved some jobs and created some new ones in the vehicle and components assembly industries, large subsidies have created few, if any, net new manufacturing jobs and have hindered employment growth in downstream service industries of greater relevance to the poor.Budgetary resources used to support this sector could have been used more effectively to help the poor, even after taking account of necessary adjustment assistance needed to help any workers displaced by speedier liberalization. Journal: Studies in Economics and Econometrics Pages: 143-160 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106432 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106432 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:143-160 Template-Type: ReDIF-Article 1.0 Author-Name: J Thurlow Author-X-Name-First: J Author-X-Name-Last: Thurlow Title: Trade Liberalization and Pro-Poor Growth in South Africa Abstract: Trade liberalization has been at the center of South Africa’s post-Apartheid development strategy. However, despite reforms, the country has failed to generate pro-poor growth, with both unemployment and inequality worsening over the last ten years. This raises concern that liberalization may have undermined the country’s development objectives. This study uses a general equilibrium and microsimulation model to assess the effects of liberalization on growth, employment and poverty. The results indicate that liberalization has not increased poverty and has accelerated growth. However, liberalization has altered production structures and exacerbated inequality. Coloured households in the coastal provinces have borne most of the structural adjustment costs. Trade reforms also contributed to the rising capital and skill-intensity of production, so that the decline in poverty has been small. Therefore, while there may not be a trade-off between trade reform and poverty reduction, the country should not overemphasize the role of further liberalization in generating pro-poor growth. Journal: Studies in Economics and Econometrics Pages: 161-179 Issue: 2 Volume: 31 Year: 2007 Month: 8 X-DOI: 10.1080/10800379.2007.12106433 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106433 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:2:p:161-179 Template-Type: ReDIF-Article 1.0 Author-Name: J W Fedderke Author-X-Name-First: J W Author-X-Name-Last: Fedderke Author-Name: A K Fitschen Author-X-Name-First: A K Author-X-Name-Last: Fitschen Title: The Structure of Growth in the Westen Cape Manufacturing Sector, 1970-1996 Abstract: This paper examines growth patterns in the Western Cape over the 1970-1996 period by means of primal growth accounting decompositions. Evidence by magisterial district, by statistical region and by SIC 3-digit manufacturing sector is presented. We find that the Western Cape differs from national growth patterns. Manufacturing in the Western Cape has relied consistently on capital accumulation for growth, while labour has contributed more to manufacturing growth than nationally. TFP growth has not been an important contributor to growth in Western Cape manufacturing, with a relatively minor exception in the 1980's. Journal: Studies in Economics and Econometrics Pages: 1-42 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106434 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106434 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:1-42 Template-Type: ReDIF-Article 1.0 Author-Name: P L Mohapi Author-X-Name-First: P L Author-X-Name-Last: Mohapi Author-Name: S I Motelle Author-X-Name-First: S I Author-X-Name-Last: Motelle Title: The Finance - Growth Nexus in Lesotho: Causality Revelations From Alternative Proxies Abstract: While it is generally felt that financial development enhances economic growth, the conflicting hypothesis in the causal role of finance in growth suggests that for any country that role is an empirical question. This paper takes up this task for the Lesotho economy. Causality between five alternative proxies of financial intermediation on the one hand and real GDP growth on the other is the subject of this paper. Time series properties of the variables - from unit roots to cointegration - are studied in order to establish the appropriate causality test to use between the Granger causality test and the VECM-based causality test. Four out of five proxies together with the growth variable are non-stationary. The non-stationary proxies are in turn not cointegrated with growth. Only one proxy Granger causes growth while for the rest there is no causality in either direction between them and growth. No-cointegration coupled with non-causality robustly reveals that the finance - growth nexus does not hold for the Lesotho economy. Journal: Studies in Economics and Econometrics Pages: 43-59 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106435 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106435 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:43-59 Template-Type: ReDIF-Article 1.0 Author-Name: P Takaendesa Author-X-Name-First: P Author-X-Name-Last: Takaendesa Author-Name: N M Odhiambo Author-X-Name-First: N M Author-X-Name-Last: Odhiambo Title: Financial Sector Development and Economic Growth: An Empirical Analysis of Two Southern African Countries Abstract: This study examines the direction of causality between financial development and economic growth in two Southern African countries, namely Zimbabwe and Malawi. Unlike the majority of previous studies, the study uses five proxies for financial development against real GDP per capita - a proxy for economic growth. The study seeks to answer one critical question: Does financial sector development lead in the process of economic development (as postulated by the proponents of a supply-leading phenomenon) or it is the real sector growth which drives the development of the financial sector (as postulated by the proponents of a demand-following phenomenon)Œ Using the Johansen and Juselius (1990, 1992) and the Hsiao's (1981) test procedures, the results of this study reveal that the direction of causality between financial development and economic growth is sensitive to the choice of measurement for financial development. Overall, the study finds a distinct bi-directional causality to prevail in Malawi and a supply-leading response to predominate in the case of Zimbabwe. Journal: Studies in Economics and Econometrics Pages: 61-80 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106436 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106436 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:61-80 Template-Type: ReDIF-Article 1.0 Author-Name: J H Eita Author-X-Name-First: J H Author-X-Name-Last: Eita Author-Name: A C Jordaan Author-X-Name-First: A C Author-X-Name-Last: Jordaan Title: South Africa Exports of Metal and Articles of Base Metal: A Gravity Model Approach Abstract: Using a gravity model, this study estimates trade potential of the metals and articles of base metal sector (SIC 72-83) for the period 1995 to 2004 between South Africa and 33 countries. The analysis shows that importer's GDP, exporter's GDP, exporter's population, membership of SADC and being part of Africa are associated with an increase in exports of metal products. Distance is associated with a decrease in metal exports. Importer's population does not have a significant impact on exports of metal and articles of base metal products. The study finds that that among others, Canada, Hong Kong, India, Mozambique, Republic of Korea, United Kingdom and Zimbabwe, have the biggest unexploited trade potential. It is important for trade analysts and policy makers to ensure that South Africa's trade potential is fully exploited to enhance economic growth. Journal: Studies in Economics and Econometrics Pages: 81-96 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106437 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106437 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:81-96 Template-Type: ReDIF-Article 1.0 Author-Name: C K D Adjasi Author-X-Name-First: C K D Author-X-Name-Last: Adjasi Title: Financial Liberalization and Investment in Ghana: A Test of the McKinnon's Complementarity Hypothesis Abstract: This paper tests the McKinnon complementarity hypothesis between money and investment in Ghana in a Vector Error Correction framework. The findings reveal that investment has a positive relationship with money demand, whilst domestic credit positively influences investment, suggesting complementarity between money and investment. However interest rate does not significantly influence money demand. In the short-run, though the interest rate has a positive relationship with investment it negatively influences money demand contrary to the McKinnon postulations. Hence the relationship between money and investment could not be attributed to a savings effect from an increase in money balances and interest rate liberalization. Journal: Studies in Economics and Econometrics Pages: 97-117 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106438 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106438 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:97-117 Template-Type: ReDIF-Article 1.0 Author-Name: C van Walbeek Author-X-Name-First: C Author-X-Name-Last: van Walbeek Author-Name: M Sessions Author-X-Name-First: M Author-X-Name-Last: Sessions Title: A Directional Analysis of the Bureau for Economic Research's Quarterly Forecasts Abstract: This paper investigates the ability of the Bureau for Economic Research (BER) to forecast directional changes in gross domestic product (GDP), gross domestic expenditure (GDE), final consumption expenditure by households (FCEH) and the Prime and Bankers' Acceptance (BA) interest rates. The analysis is based on the BER's quarterly forecasts for the period 1988Q1 to 2004Q4 published in Economic Prospects. Using Henriksson and Merton's (1981) test for independence and directional correctness, it is found that the BER's forecasts of GDE and the Prime rate are useful and better than a naïve same-as-last-period forecast for (at least) four quarters into the future. For the BA rate the BER performs marginally better than a naïve model. However, for predicting directional changes in GDP and FCEH, a naïve model performs better than the BER. Journal: Studies in Economics and Econometrics Pages: 119-138 Issue: 3 Volume: 31 Year: 2007 Month: 12 X-DOI: 10.1080/10800379.2007.12106439 File-URL: http://hdl.handle.net/10.1080/10800379.2007.12106439 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:31:y:2007:i:3:p:119-138 Template-Type: ReDIF-Article 1.0 Author-Name: J H Venter Author-X-Name-First: J H Author-X-Name-Last: Venter Author-Name: P Styger Author-X-Name-First: P Author-X-Name-Last: Styger Title: Structural Default Models Applied to South African Banks Abstract: We modify the structural default model of Merton to make it more readily applicable to banking firms in South Africa. In essence the modification assumes that both assets and liabilities follow geometric Brownian motion dynamics and then treats the equity of the bank as the value of swap options rather than a call option as is done in the traditional Merton model. We fit this new model to the data of three leading South African banks and find that it fits quite well and leads to useful and realistic failure probability and buffer capital results. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106440 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106440 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: G van der Westhuizen Author-X-Name-First: G Author-X-Name-Last: van der Westhuizen Title: Estimating Technical and Scale Efficiency and Sources of Efficiency Change in Banks Using Balance Sheet Data: A South African Study Abstract: Data Envelopment Analysis (DEA) and Malmquist DEA is applied to estimate the monthly technical and scale efficiency as well as the causes for efficiency change for the four largest banks in South Africa over a period of 36 months.Bank B appears to be the most technically efficient bank followed by Bank C, Bank A and Bank D, in this order. Bank B, Bank C and Bank A operated mainly in the region of increasing return to scale, implying that they were operating at a scale that is too small. Bank D operated mainly in the region of decreasing return to scale, implying that it was operating at a scale that is too large.From an input-orientated perspective, all four banks could reduce their inputs without reducing their outputs. Journal: Studies in Economics and Econometrics Pages: 23-46 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106441 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106441 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:23-46 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: An Empirical Analysis Of the Determinants of Fertility in Developing Countries Abstract: This paper examines the impact of various explanatory variables on the total fertility rate in developing countries. Based on data from the World Bank and the Population Reference Bureau for a sample of 107 developing countries, I find that the total fertility rate in a developing country is linearly affected by the fraction of married women who use all methods of contraception, per capita purchasing power parity gross national income, the percentage of females in the labour force, the infant mortality rate, and the extent of child labour. I also note that in spite of the high multicollinearity that exists among explanatory variables, they are all highly statistically significant and their coefficient estimates all have the expected sign. When the analysis is extended to a sub-group of 40 sub-Saharan countries the results remain qualitatively the same. Journal: Studies in Economics and Econometrics Pages: 47-56 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106442 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106442 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:47-56 Template-Type: ReDIF-Article 1.0 Author-Name: L Bo Author-X-Name-First: L Author-X-Name-Last: Bo Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: The Performance Of Value Stocks And Growth Stocks: The Hong Kong Stock Market 1981-2005 Abstract: This study finds that value stocks outperformed growth stocks in the case of the Hong Kong market over the period 1981 to 2005. It also finds that this is the case for the two sub-periods before and after the Asian financial crisis in 1997. Value stocks continued to outperform growth stocks after allowing for the firm size effect. The difference in return between value stocks and growth stocks increased when equally weighted portfolio returns were compared with value-weighted returns. The results were mixed when comparing risk adjusted returns using standard deviation as risk measure.The results of this study are in line with a number of international as well as South African studies. Journal: Studies in Economics and Econometrics Pages: 57-75 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106443 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106443 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:57-75 Template-Type: ReDIF-Article 1.0 Author-Name: G West Author-X-Name-First: G Author-X-Name-Last: West Title: Interest Rate Derivatives in the South African Market Based on the Prime Rate Abstract: Derivatives linked to the prime rate of interest have become quite relevant with the introduction to the exchange traded market of preference shares with payoffs linked to the prime rate. Furthermore, there is an interest in the retail market for retail banks to provide protection to their clients on movements in the prime rate. Here we discuss a possible approach to building models of forward prime and the pricing and hedging of such derivatives. The basic approach is to analyse the statistical cointegration relationship between prime and JIBAR rates. Journal: Studies in Economics and Econometrics Pages: 75-87 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106444 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106444 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:75-87 Template-Type: ReDIF-Article 1.0 Author-Name: E Ziramba Author-X-Name-First: E Author-X-Name-Last: Ziramba Title: A Cointegration Analysis of South African Aggregate Import Demand Function: Assessment from Bounds Testing Abstract: This paper empirically analyses the aggregated import demand behaviour for South Africa using annual data for the period 1970 to 2005. Given the small sample size, we use the unrestricted error correction model (UECM) based bounds test to investigate cointegration. The primary objective of the paper is to derive long-run price and income elasticities that can be used to analyze policy. The result of a bounds test (Pesaran, et al., 2001) indicates that the volume of imports, relative price and real income (gross domestic product) are cointegrated. The estimated long-run income and relative price elasticities are 2, 04 and -1, 43 respectively. These results have important policy implications. Journal: Studies in Economics and Econometrics Pages: 89-101 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106445 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106445 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:89-101 Template-Type: ReDIF-Article 1.0 Author-Name: C J Auret Author-X-Name-First: C J Author-X-Name-Last: Auret Author-Name: C C Schmitt Author-X-Name-First: C C Author-X-Name-Last: Schmitt Title: An Explanatory Model of South African White Maize Futures Prices Abstract: This paper develops a model that explains SA white maize futures prices using twelve independent variables including the Southern Oscillation Index (SOI) as a weather indicator, stock-use-ratio and export-supply-ratio as supply and demand variables, the dollar/rand exchange rate, the import and export parity prices, the Chicago Board of Trade corn futures price and three dummy variables. A unit root test for non-stationarity was conducted which resulted in using the 1st difference of the natural logarithm data in the final model. A stepwise multiple regression analysis is used to explain the relationship between the independent and dependant variables. The hypothesis for the white maize futures price was accepted at the 5% level after nine of the twelve independent variables were eliminated from the analysis. SOI, import parity prices, the JSE Alsi40 index and a lag of the white maize futures prices significantly explains the South African white maize futures prices, at the 5% level. Journal: Studies in Economics and Econometrics Pages: 103-131 Issue: 1 Volume: 32 Year: 2008 Month: 4 X-DOI: 10.1080/10800379.2008.12106446 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106446 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:103-131 Template-Type: ReDIF-Article 1.0 Author-Name: A Kyereboah-Coleman Author-X-Name-First: A Author-X-Name-Last: Kyereboah-Coleman Title: Corporate Governance and Firm Performance in Africa: A Dynamic Panel Data Analysis Abstract: The study examined the effect of corporate governance on the performance of firms in Africa by using both market and accounting based performance measures. Unique data from 103 firms drawn from Ghana, South Africa, Nigeria and Kenya covering the five year period 1997-2001 was used and analysis done within the dynamic panel data framework. Results indicate that the direction and the extent of impact of governance is dependent on the performance measure being examined. Specifically, our findings show that large and independent boards enhance firm value and that combining the positions of CEO and board chair has a negative impact on corporate performance. We also find that CEO’s tenure in office enhances a firm’s profitability whiles board activity intensity affects profitability negatively. The size of audit committees and the frequency of their meetings have positive influence on market based performance measures and that institutional shareholding enhances market valuation of firms. For enhanced performance of corporate entities, we recommend a clear separation of the positions of CEO and board chair and also to maintain relatively independent audit committees. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106447 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106447 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: O A Akanbi Author-X-Name-First: O A Author-X-Name-Last: Akanbi Author-Name: A C Jordaan Author-X-Name-First: A C Author-X-Name-Last: Jordaan Title: The Recardian Theory of Comparative Advantage Between South Africa and the Usa in the Manufacturing Sector Abstract: This study focuses on the Ricardian model of comparative advantage with one factor of production and two countries, but in a multi-goods dimension. This is used to explain the pattern of trade that exists between South Africa and the United States’s manufacturing industries. The empirical test of the Ricardian model is carried out using a panel data approach on 23 manufacturing industries. The estimations were performed using both a one-way and two-way error component model and a stationary panel technique were applied to the equations. The advantages of progressing from cross-sectional estimations to a panel data estimation technique is that the efficiency of estimating the parameters will be improved. It also gives more informative data, more variability, less collinearity, more degrees of freedom and the effect of omitted variable bias is reduced. The results show that the pattern of trade between South Africa and the United States conforms to the Ricardian theorem. Journal: Studies in Economics and Econometrics Pages: 25-44 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106448 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106448 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:25-44 Template-Type: ReDIF-Article 1.0 Author-Name: N M Odhiambo Author-X-Name-First: N M Author-X-Name-Last: Odhiambo Title: Financial Liberalisation and Investment in Tanzania: An Empirical Investigation Abstract: This study attempts to empirically examine the impact of financial liberalisation on investment in Tanzania using the cointegration based error-correction model. The study seeks to answer one critical question: Is the mechanism through which financial liberalisation affects economic growth in Tanzania based upon its impact on the volume or on the efficiency of investment? The empirical results of this study reveal that whilst financial liberalisation positively influences the volume of investment in Tanzania, its impact on the efficiency of investment is minimal. The study, therefore, concludes that the current financial liberalisation taking place in Tanzania may only impact on economic growth through its influence on the volume rather than the efficiency of investment. Other empirical results reveal that: 1) Public investment complements rather than substitutes private investment in Tanzania; 2) The growth rate of real GDP has a positive and significant effect on private investment in Tanzania; and 3) Foreign savings have a negative effect on the efficiency of investment in Tanzania. Journal: Studies in Economics and Econometrics Pages: 45-62 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106449 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106449 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:45-62 Template-Type: ReDIF-Article 1.0 Author-Name: P A E Serumaga-Zake Author-X-Name-First: P A E Author-X-Name-Last: Serumaga-Zake Author-Name: R Arnab Author-X-Name-First: R Author-X-Name-Last: Arnab Title: The Role of Sample Size in Testing a Hypothesis in Complex Cross-Sectional Studies: A Monte Carlo Simulation Study Abstract: In this study, we explore the relationship among sample size, variability of a variable, power of the statistical test and effect size in complex cross-sectional studies.The argument that power analysis can be used to optimize the resource usage through determining the smallest sample size needed for a study to assess the detectable effect size has been found questionable. It is worse when dealing with independent variables, which have more than two groups to be compared because the null hypothesis and alternative hypothesis keep on changing with the sample size. Any population mean difference, so long as it is absolutely not equal to zero, can be found statistically significant depending on the sample size, holding other factors constant. The study suggests that, in complex cross-sectional studies, it is very difficult, if not impossible, to determine the appropriate sample size for a hypothesis test in the planning stage of a study. Journal: Studies in Economics and Econometrics Pages: 63-68 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106450 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106450 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:63-68 Template-Type: ReDIF-Article 1.0 Author-Name: R de Wet Author-X-Name-First: R Author-X-Name-Last: de Wet Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: An Investigation into Performance Rankings of the Omega Ratio vs the Sharpe Ratio Applied to South African General Equity Unit Trusts Abstract: The Omega function is a relatively newly developed performance measure, falling in the class of downside risk measures. This measure does not make any assumptions regarding the return distributions evaluated, but incorporates the actual return distribution in the calculation.The sensitivity of this measure to simulated changes within the class of stable distributions was investigated, within a range of parameters that was representative of the South African investment environment. The Omega and Sharpe ratios calculated for these distributions were ranked and compared. Even though the rankings were largely similar, discrepancies did occur. On investigation it was found that these discrepancies were caused by the inability of the Sharpe measure to differentiate between increased volatility caused by higher probability weighted gains (or positive skewness) and losses, as the Sharpe ratio penalises funds for volatility.The simulated tests were extended to various distributions, which have different risk profiles and distribution shapes, and ranked. A higher incidence of ranking differences occurred due to the inability of the Sharpe ratio to differentiate between gains and losses, or to correctly account for the risk of positively skewed distributions. Negative Sharpe ratios, caused by the average realized returns being exceeded by the threshold (target) rate, resulted in incorrect rankings.Normally, practical performance evaluation is not initiated with a detailed analysis of the return distributions in order to determine which performance measure is more appropriate. The Omega measure, however, incorporates the distribution into the calculation, which is not the case with the Sharpe measure. If the distributions are normal, the Omega measure gives exactly the same result as the Sharpe measure. However, where return distributions diverge from normality, the Omega measure will incorporate the divergence, whilst the Sharpe measure fails in this regard. The result is a ranking of performance that is more relevant to investor decision-making. Journal: Studies in Economics and Econometrics Pages: 69-84 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106451 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106451 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:69-84 Template-Type: ReDIF-Article 1.0 Author-Name: A Beccarini Author-X-Name-First: A Author-X-Name-Last: Beccarini Title: Interest Rates and Business Cycle Fluctuations: A Focus on Higher Moments Abstract: This work aims at analysing the relationships between market interest rates and the business fluctuations. Asymmetries in the business cycles affect saving decisions of agents and interest rates. The relationships between interest rates and the expected value, the variance, the skewness and the kurtosis of the business cycle are demonstrated. The process for the business cycle variable is estimated by a Markov-switching model which allows explicitly to consider the alternation of the business cycles phases. Afterwards, conditional, time-varying moments of the business cycles are calculated. Then, these conditional moments are used as regressors for interest rates. Journal: Studies in Economics and Econometrics Pages: 85-106 Issue: 2 Volume: 32 Year: 2008 Month: 8 X-DOI: 10.1080/10800379.2008.12106452 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106452 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:2:p:85-106 Template-Type: ReDIF-Article 1.0 Author-Name: A Kahn Author-X-Name-First: A Author-X-Name-Last: Kahn Author-Name: M Ward Author-X-Name-First: M Author-X-Name-Last: Ward Title: The Impact of Collections Strategy on the Profitability of Unsecured Bank Micro-Loans Abstract: This research examines bank collections strategy by comparing two micro-loan books; one using a behaviour based strategy, in which a client is encouraged to re-establish regular payments and the other using an arrears based strategy, where the client must repay missed instalments immediately. The results show that the collections outcome does not vary according to collections strategy. However, in contrast to industry best practice, behaviour based collections results in 3,37% more revenue when the loan is rehabilitated, and a 4,54% reduction in losses when the loan is written off. The study also finds that the cost of using a behaviour based collections strategy is lower. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 3 Volume: 32 Year: 2008 Month: 12 X-DOI: 10.1080/10800379.2008.12106453 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106453 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:3:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: H Abraham Author-X-Name-First: H Author-X-Name-Last: Abraham Title: Bank Runs: A Microeconomic Analysis Abstract: In this paper bank equilibrium is, (a) deposit allocation deemed by customers as indexed by pure extrinsic events; and (b) beliefs of customers who choose to keep their deposits in long term maturity are self-fulfilling. The paper shows that, in an economy with a single commodity, beside any bank equilibrium there exists a bank run equilibrium. The bank run equilibrium is caused by panic resulting from non-appearance of the expected extrinsic event. When the bank acts only as an intermediary to facilitate market equilibrium, then depositors’ allocations may be suboptimal but the bank ceases to be susceptible to runs. Journal: Studies in Economics and Econometrics Pages: 21-27 Issue: 3 Volume: 32 Year: 2008 Month: 12 X-DOI: 10.1080/10800379.2008.12106454 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106454 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:3:p:21-27 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: The Determinants of Infrastructure Development in Developing Countries Abstract: This paper examines the determinants of infrastructure indicators in developing countries. Based on data from the World Bank and using four samples of developing economies, the study applies the least-squares estimation technique in a multivariate linear regression and finds that infrastructure indicators are linearly dependent upon the share of public expenditures on pensions in Gross Domestic Product, public spending for education as a percentage of government expenditures, the share of public spending for health in GDP, public saving as a percentage of GDP, and civil service wages as a fraction of government spending. The study also finds that only private spending for telecommunications as a percentage of GDP is statistically significant in explaining cross-country variations in the number of fixed and mobile telephone lines. Statistical results of such empirical examination will assist policy makers in those countries to identify areas of the budgets that need to be reallocated in order to improve infrastructure sectors and thus stimulate economic development. Journal: Studies in Economics and Econometrics Pages: 43-54 Issue: 3 Volume: 32 Year: 2008 Month: 12 X-DOI: 10.1080/10800379.2008.12106456 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106456 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:3:p:43-54 Template-Type: ReDIF-Article 1.0 Author-Name: C Sujoto Author-X-Name-First: C Author-X-Name-Last: Sujoto Author-Name: P S Kalev Author-X-Name-First: P S Author-X-Name-Last: Kalev Author-Name: R W Faff Author-X-Name-First: R W Author-X-Name-Last: Faff Title: An Examination of Commonality in Liquidity: New Evidence from the Australian Stock Exchange Abstract: Given a background of relatively weak findings documented in previous Australian work, the current study aims to provide new robust evidence of commonality in liquidity (CL) in this pure order driven market and some rationales regarding unexplained empirical findings. We also extend the methodology employed by previous studies in several ways. In so doing, we employ an enhanced research design, new liquidity proxies and an extended sample period. Apart from conventional measures of systematic liquidity, we also investigate potential non-linearities employing a simple ‘up’ and ‘down’ market setup, as well as a quadratic CL specification. Generally, we document a richer set of positive findings regarding the existence of CL in this order driven market setting. Journal: Studies in Economics and Econometrics Pages: 55-80 Issue: 3 Volume: 32 Year: 2008 Month: 12 X-DOI: 10.1080/10800379.2008.12106457 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106457 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:3:p:55-80 Template-Type: ReDIF-Article 1.0 Author-Name: Z Blignaut Author-X-Name-First: Z Author-X-Name-Last: Blignaut Author-Name: G N Farrell Author-X-Name-First: G N Author-X-Name-Last: Farrell Author-Name: L Rangasamy Author-X-Name-First: L Author-X-Name-Last: Rangasamy Title: Distinguishing Between Tradables and Non-Tradables: The Case of South Africa Abstract: The distinction between tradable and non-tradable commodities plays an important role in many theoretical models in economics. However, as Dixon et al. (2004) note, dividing commodities in an open economy into tradables and non-tradables is simple in theory, but difficult to implement empirically. The aim of this paper is to distinguish empirically between tradable and non-tradable commodities using information from the supply and use tables for South Africa. Journal: Studies in Economics and Econometrics Pages: 81-94 Issue: 3 Volume: 32 Year: 2008 Month: 12 X-DOI: 10.1080/10800379.2008.12106458 File-URL: http://hdl.handle.net/10.1080/10800379.2008.12106458 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:32:y:2008:i:3:p:81-94 Template-Type: ReDIF-Article 1.0 Author-Name: T G Gebreselasie Author-X-Name-First: T G Author-X-Name-Last: Gebreselasie Author-Name: A C Jordaan Author-X-Name-First: A C Author-X-Name-Last: Jordaan Title: Intra-Industry Trade in the Manufacturing Sector of South Africa Abstract: Previous studies have attempted to examine the level of South Africa’s intra-industry trade. Given the serious limitations of the various indices like the Grubel-Lloyd index that were used in prior studies, this study uses regression analysis to determine the significance of intra-industry trade in South Africa’s manufacturing trade. South Africa’s manufacturing trade is reasonably explained by the world share and similarity of South Africa and its trading partner countries. Since the Helpman theorem is based mainly on trade with differentiated products and since intra-industry trade refers to trade in these product varieties, the responsiveness of South Africa’s bilateral manufacturing trade to these variables is sound evidence that intra-industry trade constitutes a significant proportion of South Africa’s manufacturing trade with the rest of the world. Journal: Studies in Economics and Econometrics Pages: 1-11 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106459 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106459 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:1-11 Template-Type: ReDIF-Article 1.0 Author-Name: R Gupta Author-X-Name-First: R Author-X-Name-Last: Gupta Author-Name: K Komen Author-X-Name-First: K Author-X-Name-Last: Komen Title: Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue? Abstract: The literature on causality takes contradictory stands on the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. As an example, using the relationship between a nominal target and the instrument used to achieve it, we show that one can fall back upon the data in itself, and analyse it from the perspective of economic theory, not only as a source of second opinion to econometric theories and Monte Carlo simulations, but also to draw proper conclusions regarding the form of the causal relationship that might be actually existing in the data. Journal: Studies in Economics and Econometrics Pages: 16-27 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106460 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106460 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:16-27 Template-Type: ReDIF-Article 1.0 Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Author-Name: C Mlambo Author-X-Name-First: C Author-X-Name-Last: Mlambo Title: Excess Co-Movement in Asset Prices: The Case of South Africa Abstract: The paper investigates excess co-movement in asset prices in South Africa between 1995 and 2005 using the definition of excess co-movement as correlation between two asset prices beyond what could be explained by key economic fundamentals. The results of the study suggest that there is excess co-movement between returns on equities and bonds in South Africa. The findings suggest that there are considerable noise traders on the financial market in South Africa. The result of this behaviour would be the tendency for the equity and bond prices to move together more than would be predicted by their shared fundamentals. These results are consistent with the possibility that a fad or crowd psychology plays a role in the volatility on the market for the two asset classes. Journal: Studies in Economics and Econometrics Pages: 25-39 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106461 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106461 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:25-39 Template-Type: ReDIF-Article 1.0 Author-Name: B Hearn Author-X-Name-First: B Author-X-Name-Last: Hearn Author-Name: J Piesse Author-X-Name-First: J Author-X-Name-Last: Piesse Title: Modelling Stock Returns In Southern Africa'S Equity Markets Abstract: This paper contrasts the forecasting performance of three time series models for three very small frontier equity markets and one merging market in Africa. In the light of proposed regional equity market integration this study reveals potential benefits from diversification to South African investors from Namibia while Swaziland and Mozambique markets remain segmented. The evidence suggests that the CAPM with GARCH representation of errors outperforms the standard GARCH in capturing information. It also sheds light on the higher transactions costs faced by rational investors in Swaziland and Mozambique through the substantially higher conditional variance present in these markets. Journal: Studies in Economics and Econometrics Pages: 41-58 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106462 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106462 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:41-58 Template-Type: ReDIF-Article 1.0 Author-Name: J N Keuler Author-X-Name-First: J N Author-X-Name-Last: Keuler Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Predictive Models To Determine Market Timing Opportunities For the Jse Abstract: The objective of this study is to establish whether it is possible to develop a mathematical forecasting model which can be used to out-perform the JSE All Share Index (ALSI) by switching between the ALSI and cash on a monthly basis.A number of models were formulated, using regression analysis to determine a future value and then transforming this predicted value via logit scaling to a probability that the ALSI will outperform cash in the future period. Based on this probability one of two decisions was made at the end of each month, that is to stay in the current asset or to switch to the alternate asset.The best results from these models outperformed the ALSI (dividends included) by 7 – 9 % compound per year over 15 years. The inclusion of transaction costs reduced the gain to 4 – 5 % compound per year. These results were better than the performance of both a random model and the ALSI by a statistically significant margin. Furthermore, these results compare very favourably with similar international studies which have been conducted during the past 10 years. Journal: Studies in Economics and Econometrics Pages: 59-83 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106463 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106463 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:59-83 Template-Type: ReDIF-Article 1.0 Author-Name: A Endi Author-X-Name-First: A Author-X-Name-Last: Endi Title: An Examination Of The Value-At-Risk Volatility Relationship In The Options Market: New Evidence On Mispricing In The Black-Scholes Model Abstract: Given the price of a call or put option, the Black-Scholes (1973) implied volatility is the unique volatility parameter to be put into the Black-Scholes formula to give the same price as the option price. A prediction of the Black-Scholes formula is that all option prices on the same underlying stock with different exercise prices should have the same implied volatility. But in practice, as our results demonstrated, when the Black-Scholes formula is inverted to imply volatilities from reported option prices, the volatility estimates seem to be different across exercise prices. Furthermore, this article is concerned with the link between the implied volatility and the actual volatility of the underlying stock. In deriving this link, Value at Risk (VaR) was proposed to examine underlying stock volatilities and their forecasts. In the forecasting of volatility, the Value at Risk (VaR) approach was found to be a significant forecasting tool of future underlying stocks' volatility; and therefore the significance could be confirmed for the implied volatility forecasting. Journal: Studies in Economics and Econometrics Pages: 85-103 Issue: 1 Volume: 33 Year: 2009 Month: 4 X-DOI: 10.1080/10800379.2009.12106464 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106464 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:1:p:85-103 Template-Type: ReDIF-Article 1.0 Author-Name: J N Keuler Author-X-Name-First: J N Author-X-Name-Last: Keuler Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Predictive Models to Determine Market Timing Opportunities for the JSE (II) Abstract: As shown in the first article, it is possible to develop a mathematical forecasting model which can be used to out-perform the JSE AII Share Index (ALSI) by switching between the ALSI and cash on a monthly basis.The objective of this study is to establish whether this is still the case after allowing for risk, using the Sharpe ratio, Treynor ratio and Jensen’s alpha. It was established that the best models were able to out-perform the ALSI by about 5% per year on a cost adjusted basis, with a significantly reduced risk level.Model results were also analysed using the Treynor Mazuy (TM) model and the Henriksson Merton (HM) model to determine the market timing capabilities of the models. The calculated parameters from both the TM and HM models confirmed that the predictive models do indeed have some market timing capabilities. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 2 Volume: 33 Year: 2009 Month: 8 X-DOI: 10.1080/10800379.2009.12106465 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106465 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: H Abraham Author-X-Name-First: H Author-X-Name-Last: Abraham Title: Financial Fragility: An Assessment Abstract: The literature on bank runs and financial fragility suggests that banks may overcome the problem of incomplete markets by acting as central planners which pool all their customers’ deposits, and thereby transform an uncertain environment to one of no aggregate uncertainty. This leads to the possibility of bank runs where a large group of depositors may decide to withdraw their deposits from the bank for fear that others may do the same. It is argued in this paper that despite being able to pool all customers’ deposits, the most a bank can do is transform an environment of incomplete markets to one of complete markets where uncertainty still prevails. This has monetary implications. Journal: Studies in Economics and Econometrics Pages: 21-31 Issue: 2 Volume: 33 Year: 2009 Month: 8 X-DOI: 10.1080/10800379.2009.12106466 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106466 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:21-31 Template-Type: ReDIF-Article 1.0 Author-Name: L Bonga-Bonga Author-X-Name-First: L Author-X-Name-Last: Bonga-Bonga Title: Forward Exchange Rate Puzzle: Joining the Missing Pieces in the Rand-US Dollar Exchange Market Abstract: 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 conducted in order to test the UFRH and foreign market efficiency, have come to the conclusion that the hypothesis does not hold. This phenomenon is dubbed as the UFRH puzzle. A number of studies that reject the UFRH have made use of ordinary least square methods and support a linear adjustment between spot and forward exchange rates. This paper establishes that the use of a linear model in testing the UFRH can lead to a misspecification problem if indeed there is a nonlinear adjustment between the forward and spot exchange rates. In order to overcome the problem of model misspecification, this paper applies the nonlinear method of the class of the Smooth Transition Regression (STR) model in assessing the relationship between the rand-US dollar future spot and forward exchange rates. With the aid of a series of diagnostic tests, the paper shows that there is indeed a nonlinear adjustment process between the rand-US dollar spot and forward exchange rates and that there exists a regime in the STR model where the UFRH eventually holds. Journal: Studies in Economics and Econometrics Pages: 33-48 Issue: 2 Volume: 33 Year: 2009 Month: 8 X-DOI: 10.1080/10800379.2009.12106467 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106467 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:33-48 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: Division, International Integration, and Economic Development Abstract: This paper examines the impact of divisions between nation-states and of international integration on per capita GDP in developing countries. Based on data from the World Bank and using a sample of fifty-nine developing economies, we find that per capita GDP is linearly dependent upon various measures of economic divisions and integration such as the number of countries for which the nationals of a country need a visa, the percentage of foreigners born in a country other than that in which they live (including refugees), the index of shipping difficulties, average tariffs as a percentage of import value, country size, the proportion of the total population living in less than 25kms from a coastline, and trade with neighbouring countries as a proportion of the total trade of the country. The inclusion of interaction variables yields superior results as it takes into account the problem of multicollinearity among some explanatory variables. Statistical results of such empirical examination will assist policy makers in those countries identify areas the budgets for which need to be reallocated in order to stimulate economic development. Journal: Studies in Economics and Econometrics Pages: 49-58 Issue: 2 Volume: 33 Year: 2009 Month: 8 X-DOI: 10.1080/10800379.2009.12106468 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106468 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:49-58 Template-Type: ReDIF-Article 1.0 Author-Name: A Bashagi Author-X-Name-First: A Author-X-Name-Last: Bashagi Author-Name: E Muchapondwa Author-X-Name-First: E Author-X-Name-Last: Muchapondwa Title: What Actions Could Boost International Tourism Demand for Tanzania? Abstract: Tanzania recognises the potential of international tourism in accelerating socio-economic development, particularly as a supplier of foreign exchange, investment and employment. This paper investigates the factors affecting international tourism demand for Tanzania. The autoregressive distributed lag approach to cointegration is applied. Local tourism prices, tourist addiction, tourist income and the 2001 terror attack in the United States have significant impacts on international tourism demand for Tanzania between 1996 and 2006. The government needs to maintain macroeconomic stability, especially low inflation, if the country is to reap full economic benefits from tourism. To reduce sensitivity to local tourism prices, the tourism providers should put more efforts in diversifying tourism products away from the universally available ones. There is also a need to improve customer satisfaction to enhance tourist addiction for the Tanzanian experience. In this regard, there is a need to further train staff in the tourism industry, improve tourism infrastructure such as roads and hotels and aggressively market Tanzanian tourism products to the world. Journal: Studies in Economics and Econometrics Pages: 59-75 Issue: 2 Volume: 33 Year: 2009 Month: 8 X-DOI: 10.1080/10800379.2009.12106469 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106469 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:59-75 Template-Type: ReDIF-Article 1.0 Author-Name: T S Mkhabela Author-X-Name-First: T S Author-X-Name-Last: Mkhabela Title: Measuring Managerial Efficiency in South African Soccer Abstract: Direct measurement of managerial performance in firms is often problematic and is compounded by the problem of unobservable action in organisations. However, in the South African football association, unobservable action is unlikely to be a significantly important problem because the manager’s performance is observed by the owner of the club each time the team plays (at least once per week during the on-season period). In this situation, the production frontier analysis lends itself to being used to measure managerial performance (efficiency) and analyse the variation in efficiency across managers in terms of manager human capital. The results suggest that having some kind of prior affiliation with the club and achieving international recognition as a player is especially important. Overall, it is initial experience that counts more than specific and general managerial experience. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 3 Volume: 33 Year: 2009 Month: 12 X-DOI: 10.1080/10800379.2009.12106470 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106470 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:3:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: J Wolff Author-X-Name-First: J Author-X-Name-Last: Wolff Author-Name: C J Auret Author-X-Name-First: C J Author-X-Name-Last: Auret Title: Do Dividend Changes in South Africa Signal Earnings Changes? Abstract: Dividend theory suggests that changes in dividends convey information content about the future earnings of the firm. We examine such a relationship using South African data and find virtually no support for it. It is found using categorical analysis that the size of the dividend increase has a strong positive relationship with current earnings, but fails to predict future earnings with any consistency. Regression analysis shows the presence of a strong relationship between current dividend and earnings changes, but no significant relationships are found between dividend changes and earnings changes one year and two years post dividend change. Journal: Studies in Economics and Econometrics Pages: 19-38 Issue: 3 Volume: 33 Year: 2009 Month: 12 X-DOI: 10.1080/10800379.2009.12106471 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106471 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:3:p:19-38 Template-Type: ReDIF-Article 1.0 Author-Name: M Aziakpono Author-X-Name-First: M Author-X-Name-Last: Aziakpono Author-Name: P Burger Author-X-Name-First: P Author-X-Name-Last: Burger Author-Name: S du Plessis Author-X-Name-First: S Author-X-Name-Last: du Plessis Title: Is Financial Integration a Complement or Substitute to Domestic Financial Development in a Developing Country? Evidence from the Sacu Countries Abstract: Using a multivariate cointegration and error correction modelling framework, with data from the SACU countries, this paper tested two rival theories on the effect of financial integration (FI), that is whether FI is a complement or a substitute to financial development (FD). Financial integration is a complement where it helps to boost domestic FD through greater competitive pressures on financial intermediaries, and encourage international good practices in accounting, financial regulation and supervision. It is a substitute where FI renders the local financial system irrelevant or causes it to deteriorate.Overall, the empirical analysis finds strong evidence of a long-run relationship between FD and FI across the SACU countries. The results show that causality runs in both directions between FD and FI across the SACU countries with the exception of Lesotho where the causality runs mainly from FI to FD. No consistent effect of FI on FD (or the reverse) emerged from the empirical results in this sample. The results were also affected by the measurements used for the capital stock and FD. These results do not support any onesize-fits-all policy approach to stimulating FD or harnessing the benefits of FI, rather, they suggest that country specific aspects of the financial system should be paramount when analysing the impact of FI on FD. Journal: Studies in Economics and Econometrics Pages: 39-67 Issue: 3 Volume: 33 Year: 2009 Month: 12 X-DOI: 10.1080/10800379.2009.12106472 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106472 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:3:p:39-67 Template-Type: ReDIF-Article 1.0 Author-Name: Z Chinzara Author-X-Name-First: Z Author-X-Name-Last: Chinzara Author-Name: M J Aziakpono Author-X-Name-First: M J Author-X-Name-Last: Aziakpono Title: Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets Abstract: This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 1995-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk-premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but reasonably stable over time in all the stock markets studied, and no significant evidence was found in support for the risk-premium hypothesis. Journal: Studies in Economics and Econometrics Pages: 69-94 Issue: 3 Volume: 33 Year: 2009 Month: 12 X-DOI: 10.1080/10800379.2009.12106473 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106473 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:3:p:69-94 Template-Type: ReDIF-Article 1.0 Author-Name: R Gupta Author-X-Name-First: R Author-X-Name-Last: Gupta Author-Name: J Uwilingiye Author-X-Name-First: J Author-X-Name-Last: Uwilingiye Title: Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation Abstract: Two recent studies have found markedly different measures of the welfare cost of inflation in South Africa, obtained through the estimation of long-run money demand relationships using cointegration and long-horizon approaches. Realizing that the monetary aggregate and the interest rate variables are available at higher frequencies than the measure of income and that long-run properties of data are unaffected under alternative methods of time aggregation, we test for the robustness of the two estimation procedures under temporal aggregation and systematic sampling. Our results indicate that the long-horizon method is more robust to alternative methods of time aggregation, and, given this the welfare cost of inflation in South Africa for an inflation target band of 3 percent to 6 percent lies between 0,15 percent and 0,41 percent. Journal: Studies in Economics and Econometrics Pages: 95-109 Issue: 3 Volume: 33 Year: 2009 Month: 12 X-DOI: 10.1080/10800379.2009.12106474 File-URL: http://hdl.handle.net/10.1080/10800379.2009.12106474 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:33:y:2009:i:3:p:95-109 Template-Type: ReDIF-Article 1.0 Author-Name: C W Cheong Author-X-Name-First: C W Author-X-Name-Last: Cheong Title: Market Risks in Spot Markets of Crude Oil and Products: A Long Memory Value- At-Risk Approach Abstract: This study evaluates the market risks for three spot markets for crude oil and products. The market risk analysis considers both the bull and bear markets with long and short financial trading positions. For more reliable value-at-risk evaluations, a heavy-tailed long memory time varying volatility model is used under the robust quasi maximum likelihood estimation approach. It is found that only at a very low confidence level (≤ 99,75%), the heavy-tailed value-at-risk model provides an advantage in overcoming the risk of underestimating under the normality assumption. Journal: Studies in Economics and Econometrics Pages: 19-38 Issue: 2 Volume: 34 Year: 2010 Month: 8 X-DOI: 10.1080/10800379.2010.12097201 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097201 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:19-38 Template-Type: ReDIF-Article 1.0 Author-Name: T S Dlamini Author-X-Name-First: T S Author-X-Name-Last: Dlamini Author-Name: G C G Fraser Author-X-Name-First: G C G Author-X-Name-Last: Fraser Title: Foreign Direct Investment in the Agriculture Sector of South Africa: Do GDP and Exports Determine Locational Inflows? Abstract: This study investigates the causal link between agricultural foreign direct investment (FDI), agricultural exports, and agricultural gross domestic product (GDP) in South Africa for the period 1994 – 2006. The central goal of this paper is to answer the question of whether there exists any complementary relationships or not between the two sets of variables. The paper utilizes the Granger causality method and the error correction method (ECM), in a bivariate setting. The results show that while there is a bi-directional causality from FDI to exports, there is only one-way causality from GDP to FDI. Rather than FDI stimulating agricultural productivity, agricultural productivity stimulates FDI. Thus, an increase in agricultural productivity is envisaged to yield increased FDI in the agricultural sector of South Africa. Journal: Studies in Economics and Econometrics Pages: 57-68 Issue: 2 Volume: 34 Year: 2010 Month: 8 X-DOI: 10.1080/10800379.2010.12097202 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097202 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:57-68 Template-Type: ReDIF-Article 1.0 Author-Name: S-H Kang Author-X-Name-First: S-H Author-X-Name-Last: Kang Author-Name: H Nguyen Author-X-Name-First: H Author-X-Name-Last: Nguyen Title: Long Memory in the Australian Stock Market Abstract: In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long memory is present in the Australian stock market. Furthermore, we add to the literature by investigating the presence of long memory in the daily ASX 50 index and its 50 constituent stocks using a GPH test proposed by Geweke and Porter-Hudak (1983). The results of individual stocks differ from those of the ASX 50 index and suggest that a common stock index is not representative of all market features. Journal: Studies in Economics and Econometrics Pages: 39-56 Issue: 2 Volume: 34 Year: 2010 Month: 8 X-DOI: 10.1080/10800379.2010.12097203 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097203 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:39-56 Template-Type: ReDIF-Article 1.0 Author-Name: R Seymore Author-X-Name-First: R Author-X-Name-Last: Seymore Author-Name: P D Adams Author-X-Name-First: P D Author-X-Name-Last: Adams Author-Name: M Mabugu Author-X-Name-First: M Author-X-Name-Last: Mabugu Author-Name: J H van Heerden Author-X-Name-First: J H Author-X-Name-Last: van Heerden Author-Name: J Blignaut Author-X-Name-First: J Author-X-Name-Last: Blignaut Title: The Impact of an Environmental Tax on Electricity Generation in South Africa Abstract: In the 2008 budget of the Minister of Finance, the South African Government proposed to impose a 2 cents/kilowatt-hour (c/kWh) tax on the sale of electricity generated from non-renewable sources; this tax is to be collected at source by the producers/generators of electricity. The intention of this measure is to serve a dual purpose of protecting the environment and helping to manage the current electricity supply shortages by reducing demand. The objective here is to evaluate the impact of such an electricity generation tax on the South African, SACU and SADC economies.The paper firstly considers the theoretical foundations of an electricity generation tax supported by international experiences in this regard. This section also contrasts the suitability of a permit with a tax system to achieve CO2 emission reduction.We subsequently apply the Global Trade Analysis Project (GTAP) model to evaluate the impact of an electricity generation tax on the South African, SACU and SADC economies. We simulate the proposed tax as a 10 percent increase in the output price of electricity. We assume a closure rule that allows unskilled labour to migrate and a limited skilled workforce. As expected, the electricity generation tax will reduce demand. Due to the decrease in domestic demand, export volume increases and import volume decreases, this is despite a weaker terms of trade. We also found that unemployment for unskilled labour increases and wages of skilled workers are expected to decrease. A unilateral electricity generation tax will benefit other SACU and SADC countries through an improvement in relative competitiveness, as shown by the improvement of the terms of trade for these regions. If, however, the benefits of pollution abatement are internalised, then electricity generation tax is expected to yield a positive effect on the South African economy. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 2 Volume: 34 Year: 2010 Month: 8 X-DOI: 10.1080/10800379.2010.12097204 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097204 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: G van der Westhuizen Author-X-Name-First: G Author-X-Name-Last: van der Westhuizen Title: The Effect of the Shift in the Composition of Bank Income on Bank Efficiency Abstract: Data Envelopment Analysis (DEA) is used to estimate and compare the performance of the four largest banks in South Africa over a period of ten years. Technical, allocative, cost and scale efficiency are estimated for each of the banks and for each year over the ten year period. Two models were used to estimate relative efficiency – one estimated relative efficiency with regard to interest income (Model 1) and another estimated relative efficiency with regard to noninterest income (Model 2).There are differences in relative efficiency with regard to interest income and noninterest income. On average all the banks experienced an improvement in technical efficiency moving from Model 1 to Model 2, but the majority of the banks experienced a deterioration in allocative efficiency. There are mixed results in the case of cost and scale efficiency. It is evident that noninterest income plays an important role in overall bank efficiency. Journal: Studies in Economics and Econometrics Pages: 69-81 Issue: 2 Volume: 34 Year: 2010 Month: 8 X-DOI: 10.1080/10800379.2010.12097205 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097205 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:69-81 Template-Type: ReDIF-Article 1.0 Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Author-Name: V Ranchhod Author-X-Name-First: V Author-X-Name-Last: Ranchhod Author-Name: I Woolard Author-X-Name-First: I Author-X-Name-Last: Woolard Title: Introduction to the Special Edition on the South African National Income Dynamics Study Journal: Studies in Economics and Econometrics Pages: 1-5 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097206 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097206 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:1-5 Template-Type: ReDIF-Article 1.0 Author-Name: I Woolard Author-X-Name-First: I Author-X-Name-Last: Woolard Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Author-Name: L de Villiers Author-X-Name-First: L Author-X-Name-Last: de Villiers Title: The South African National Income Dynamics Study: Design and Methodological Issues Abstract: The National Income Dynamics Study (NIDS) is a nationally representative panel survey of 28 255 individuals that were resident in 7 305 households in South Africa at the time of the base wave in 2008. Attempts will be made to interview each of these individuals and all of their current household members at two-year intervals in the future. NIDS is the first national panel study of individuals of all ages in South Africa. As the panel unfolds, it will reveal the dynamic structure of households in South Africa and changes in the living conditions and well-being of household members. This article presents the core methodological decisions in the design of the first wave of the NIDS panel survey. It describes the data production process, the sampling methodology, the response rates, the derivation of weights, data processing issues and how researchers can download the data. The article concludes with a discussion of some key panel issues for NIDS going forward. Journal: Studies in Economics and Econometrics Pages: 7-24 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097207 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097207 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:7-24 Template-Type: ReDIF-Article 1.0 Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Author-Name: A Finn Author-X-Name-First: A Author-X-Name-Last: Finn Author-Name: J Argent Author-X-Name-First: J Author-X-Name-Last: Argent Author-Name: I Woolard Author-X-Name-First: I Author-X-Name-Last: Woolard Title: Changes in Income Poverty Over the Post-Apartheid Period: An Analysis Based on Data From the 1993 Project for Statistics on Living Standards and Development and the 2008 Base Wave of the National Income Dynamics Study Abstract: This paper compares the level and distribution of income poverty in the 2008 National Income Dynamics Study (NIDS) to that measured in the 1993 Project for Statistics on Living Standards and Development (PSLSD). Attempts are made to make the income variables as comparable as possible across the two surveys. This requires that agricultural income and implied rental income from owner-occupied housing are excluded from the measure of income. The potential bias resulting from these exclusions is also discussed. The paper finds that aggregate poverty fell between 1993 and 2008 and that this result is robust for a wide range of poverty lines. The poverty profile has changed over time, however. Urban poverty has increased significantly, driven largely by increased migration from rural to urban areas. The share of poverty in households where the household head has incomplete secondary education has also increased markedly. Journal: Studies in Economics and Econometrics Pages: 25-43 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097208 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097208 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:25-43 Template-Type: ReDIF-Article 1.0 Author-Name: K Hall Author-X-Name-First: K Author-X-Name-Last: Hall Author-Name: G Wright Author-X-Name-First: G Author-X-Name-Last: Wright Title: A Profile Of Children Living In South Africa In 2008 Abstract: The National Income Dynamics Study offers important new opportunities for exploring the dynamics of poverty in South Africa. This paper provides a largely descriptive overview of the situation of children in South Africa, drawing on the first wave of the panel study. It finds that children and households with children remain disproportionately represented in rural areas under traditional authority, and that children have proportionately lower levels of access to services and adequate living environments than adults. Many children live in households where their parents are absent, for a range of reasons including orphaning and adult migration. These children are cared for almost entirely by relatives, highlighting the importance of extended kinship networks in providing family care, particularly in the context of high mortality and labour migration rates. The income poverty analysis applies a range of poverty lines and finds that children are, on average, poorer than adults. Even using a relatively low poverty line equivalent to R515 per month in 2008, two thirds of children live in income poverty, and this rate increases substantially for children in rural areas. The severity of child poverty is related to the fact that over a third of children live in households where no adults are employed. While social grants are critical for reducing poverty levels, the widest reaching grant – the Child Support Grant – makes a relatively small impact on child poverty because the amount of the grant is set very low. Larger grants, such as the Old Age Pension and Disability Grants, have a far greater effect on reducing child poverty even though they are not intended for children. Journal: Studies in Economics and Econometrics Pages: 45-68 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097209 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097209 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:45-68 Template-Type: ReDIF-Article 1.0 Author-Name: C Ardington Author-X-Name-First: C Author-X-Name-Last: Ardington Author-Name: A Case Author-X-Name-First: A Author-X-Name-Last: Case Title: Interactions Between Mental Health And Socioeconomic Status In The South African National Income Dynamics Study Abstract: This paper investigates the association between mental health and socioeconomic status and assesses the extent to which the correlates of depression change over the life cycle. Mean depression scores for South Africans are markedly higher than those found in other countries. There are large differences in depression between population groups. For both men and women, sixty percent of the gap between Africans and whites can be explained by their socioeconomic status. Household expenditure per member and the number of assets owned by the household are significant negative correlates of depression, as is educational attainment. Reporting that one is on the lowest rung of the socioeconomic status ladder, or that children in the household are often hungry, is associated with reporting more depressive symptoms. Adults report more symptoms of depression and anxiety at older ages, with the most dramatic increase occurring between young adulthood and middle adulthood. For the African sub- sample, this can be explained in part by prime-age and older adults being more troubled by poverty. Journal: Studies in Economics and Econometrics Pages: 69-85 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097210 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097210 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:69-85 Template-Type: ReDIF-Article 1.0 Author-Name: N Branson Author-X-Name-First: N Author-X-Name-Last: Branson Author-Name: D Lam Author-X-Name-First: D Author-X-Name-Last: Lam Title: Education Inequality in South Africa: Evidence from the National Income Dynamics Study Abstract: he authors use NIDS wave 1 data to analyse the transitions of students through primary and secondary school. Special attention is given to the links between grade repetition and overall attainment, and how these outcomes correlate with school quality, household income and parental education. We estimate summary statistics and linear probability models. We observe large increases in attainment among younger cohorts relative to older cohorts. Racial differences in attainment are smaller in younger cohorts than in older ones. However, grade repetition continues to be correlated with race and income. Africans spend about 1 year longer in school, but attain about 1 year less schooling than their white counterparts. Controlling for school fees, which proxy for school quality, reduces the racial differences considerably. Journal: Studies in Economics and Econometrics Pages: 85-109 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097211 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097211 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:85-109 Template-Type: ReDIF-Article 1.0 Author-Name: V Ranchhod Author-X-Name-First: V Author-X-Name-Last: Ranchhod Title: Labour Force Participation And Employment In South Africa: Evidence From Wave 1 Of The National Income Dynamics Study Abstract: The authors use wave 1 of the NIDS dataset to describe salient features of the South African labour market across different stages of the life cycle. These include a high unemployment rate for all ages, particularly amongst the youth. Low levels of labour force participation in general are observed, and labour force withdrawal amongst the elderly occurs at relatively early ages. We use multivariate regressions to consider how education, family support structures, unearned income and health measures correlate with these patterns. Poor health is one reason that people of all ages in South Africa leave employment and the labour force. Retrenchment is the most frequent reason that people who are not employed report for why they left their most recent employment. Several important questions about labour market dynamics will become tractable once more waves of the dataset become available. Journal: Studies in Economics and Econometrics Pages: 111-128 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097212 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097212 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:111-128 Template-Type: ReDIF-Article 1.0 Author-Name: D Posel Author-X-Name-First: D Author-X-Name-Last: Posel Title: Households and Labour Migration in Post-Apartheid South Africa Abstract: This study compares measures of labour migration and remittance receipt in the National Income Dynamics Study with measures generated using earlier national household surveys conducted in South Africa. Household survey data suggest that although the temporary migration of individuals for employment reasons remained a persistent feature of the first decade post apartheid, the extent of labour migration and remittance receipt has fallen significantly in recent years. The study also considers how differences in the collection of information on labour migration may affect the comparability of measures across the surveys. Journal: Studies in Economics and Econometrics Pages: 129-141 Issue: 3 Volume: 34 Year: 2010 Month: 12 X-DOI: 10.1080/10800379.2010.12097213 File-URL: http://hdl.handle.net/10.1080/10800379.2010.12097213 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:3:p:129-141 Template-Type: ReDIF-Article 1.0 Author-Name: M J Aziakpono Author-X-Name-First: M J Author-X-Name-Last: Aziakpono Title: Financial Development And Economic Growth: Theory And a Survey Of Evidence Abstract: This paper presents a simple endogenous growth model to demonstrate the role of financial development in economic growth. It further explores the causal relationship between financial development and economic growth. Lastly, it reviews the empirical evidence on the relationship between financial development and economic growth. In reviewing the empirical literature the paper highlights issues worthy of consideration in future empirical studies on the finance-growth nexus, especially in developing countries. Such issues among others include appropriate indicators of financial development that will best capture the functions perform by the financial system and the empirical modelling framework. Journal: Studies in Economics and Econometrics Pages: 15-44 Issue: 1 Volume: 35 Year: 2011 Month: 4 X-DOI: 10.1080/10800379.2011.12097214 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097214 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:1:p:15-44 Template-Type: ReDIF-Article 1.0 Author-Name: M du Preez Author-X-Name-First: M Author-X-Name-Last: du Preez Title: The Opportunity Cost Of Travel Time In Recreational Fishing Demand Analysis: A South African Case Study Abstract: The value individuals place on travel time to recreation sites constitutes an important component of the total travel cost variable in recreational demand analysis. Failure to include the opportunity cost of travel time in travel cost models will lead to an underestimate of the demand and benefit valuation of recreation sites. Using a count data model, this paper calculates the opportunity cost of travel time by inferring it within a recreational fishing demand model estimated. The paper shows that the estimated opportunity cost of travel time for recreational fishing in South Africa is 28 percent of the wage rate or R118,72 per hour. This is somewhat less than the fraction of the wage rate, namely 33 percent, most often employed in TCM studies. Journal: Studies in Economics and Econometrics Pages: 45-58 Issue: 1 Volume: 35 Year: 2011 Month: 4 X-DOI: 10.1080/10800379.2011.12097215 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097215 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:1:p:45-58 Template-Type: ReDIF-Article 1.0 Author-Name: K Thaver Author-X-Name-First: K Author-X-Name-Last: Thaver Author-Name: M Ward Author-X-Name-First: M Author-X-Name-Last: Ward Title: Abnormal Volume Traded as an Indication of Insider Trading in Jse Listed Companies Abstract: This research examines the volume traded in shares included in the JSE All Share Index for the period 1 January 2000 to 24 June 2009, to determine if this measure can be used as an indicator of potential insider trading, using event study methodology.142 price-sensitive announcements qualified for analysis after controlling for confounding events. Of these, 34 announcements exhibited significant abnormal volume traded prior to the public announcement of the related event. The announcements were categorised into seven categories: Black Economic Empowerment (BEE) and governance; financial structure; investment/disinvestment; key personnel; mergers and acquisitions; trading updates; and ‘other’. Two categories exhibited significant cumulative abnormal returns – BEE and governance, and key personnel.We find that volume traded is a useful indicator of potential insider trading, and should be used in conjunction with other methods. Journal: Studies in Economics and Econometrics Pages: 59-77 Issue: 1 Volume: 35 Year: 2011 Month: 4 X-DOI: 10.1080/10800379.2011.12097216 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097216 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:1:p:59-77 Template-Type: ReDIF-Article 1.0 Author-Name: G M Wessels Author-X-Name-First: G M Author-X-Name-Last: Wessels Title: Is The Reign of the Us Dollar Coming to an End? Abstract: The ascent to prominence of the US dollar was and still is supported by the US’s unmatched economic, financial, military and political position which allowed the dollar to fulfill all of the six required functions of a key currency in an unsurpassed way. The upsetting defect in the current dollar-based international monetary system is that the US is running increasing current account and budget deficits, high international debt levels and a significant decline in its net international investment position. These threaten the key currency status of the dollar. Although the dollar is set to maintain its dominant position and its accompanying benefits to the US over the short run, over the long run the dollar inevitably will have to make room for another ascending currency(ies) in view of the decline in the US’s international stature. This, however, contains the potential for serious financial instability, particularly during the transition period. Journal: Studies in Economics and Econometrics Pages: 79-94 Issue: 1 Volume: 35 Year: 2011 Month: 4 X-DOI: 10.1080/10800379.2011.12097217 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097217 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:1:p:79-94 Template-Type: ReDIF-Article 1.0 Author-Name: E Ziramba Author-X-Name-First: E Author-X-Name-Last: Ziramba Title: Export-Led Growth In South Africa: Evidence From The Components Of Exports Abstract: The main objective for this paper is to test the export-led growth hypothesis by analyzing the causal relationships between the components of exports and real gross domestic product for South Africa for the quarterly period 1960:1 to 2008:3. Total exports are decomposed into merchandise exports, net gold exports, export of services and income receipts. The study also uses a modified version of the Granger causality test developed by Toda and Yamamoto (1995), which is an innovative and more efficient econometric methodology compared to traditional Granger causality tests, to test for the causal relationship between the variables. This study does find long-run relationships between the components of real exports and real gross domestic product. Causality tests find evidence of export-led growth only in the case of merchandise exports. For income receipts and service exports there was reverse causality. There was no evidence of causality in either direction in the case of net gold exports. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 1 Volume: 35 Year: 2011 Month: 4 X-DOI: 10.1080/10800379.2011.12097218 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097218 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:1:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: Z Bholla Author-X-Name-First: Z Author-X-Name-Last: Bholla Author-Name: M.J Aziakpono Author-X-Name-First: M.J Author-X-Name-Last: Aziakpono Author-Name: J Snowball Author-X-Name-First: J Author-X-Name-Last: Snowball Title: How Ready is the East African Community for Monetary Union? New Evidence From an Interest Rate Pass-Through Analysis Abstract: The five member countries of the East African Community (EAC), namely, Burundi, Kenya, Rwanda, Tanzania and Uganda have set the target of achieving a monetary union by 2012. The question that arises is: to what extent are they prepared for a monetary integration? Against this backdrop, this paper evaluates the current level of convergence amongst these East African countries by analysing whether the pass-through of monetary policy in the five countries has become similar over time. We use cointegration, error correction, and asymmetric error correction modelling frameworks and interest rate data over a ten year sample period, from 1999 to 2008, in the analysis. The results suggest that the degree of convergence amongst the countries remains low and that there are significant rigidities in the banking markets over time. While the pass-through of monetary policy has improved with respect to the banking loan markets, it has not done so in the deposit market. Overall the evidence suggests that implementing an EAC-wide monetary union will require more work to be done to stimulate the development of their financial systems and to harmonise their financial and monetary policies. Journal: Studies in Economics and Econometrics Pages: 39-70 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097219 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097219 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:39-70 Template-Type: ReDIF-Article 1.0 Author-Name: A.C Jordaan Author-X-Name-First: A.C Author-X-Name-Last: Jordaan Title: Analysing Exports in South Africa’S Chemical Sector: A Panel Data Approach Abstract: Under the Industrial Policy Action Plan of 2007, the South African government identified priority sectors that need to be promoted and developed in order to accelerate growth, reduce unemployment and alleviate poverty. Among these, the chemical sector was identified as a priority sector that needs to be developed for this purpose. This paper analyses exports within the chemical sector using a gravity model approach. It further investigates whether there is unexploited trade potential between South Africa and its trading partners within this sector. The paper identified unexploited trade potential in Austria, Czech Republic, Finland, France, Greece, Hungary, Japan, Malawi, Mauritius, Spain, Tanzania, United Kingdom, United States and Zimbabwe. The analysis concludes by identifying stable and reliable export destinations within the chemical sector which could be targeted to alleviate unemployment, poverty and stimulate growth. Journal: Studies in Economics and Econometrics Pages: 95-112 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097220 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097220 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:95-112 Template-Type: ReDIF-Article 1.0 Author-Name: N A Labia Author-X-Name-First: N A Author-X-Name-Last: Labia Title: Shock-Induced And Trend Investment In Durable Goods Abstract: Part I deals with the fundamental problem of combining, as functions of price, the stock demand for a durable good and the flow supply of new units, the rate of increase in stock supply: The analysis deals with investment in an industry where demand is boosted by an unanticipated demand shock. A model is set out in which the criterion for the optimal increase in capital stock is the quantity that maximises capital gain discounted to the time of the investment decision, rather than that of project completion. The model implies simultaneous determination of the desired capital stock and the rate of investment per period. The implications are analysed, particularly in regard to the economic effects of fiscal and monetary policy. The conclusion is that optimal investment is less than that of Tobin’s q model.In Part II the model is based on the assumption of balanced growth in which capital, labour and output grow at the natural rate. The model accepts that capital installation is sporadic and investigates the problem of the optimal quantum of investment and analyses the causal factors involved. Journal: Studies in Economics and Econometrics Pages: 113-131 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097221 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097221 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:113-131 Template-Type: ReDIF-Article 1.0 Author-Name: P le Roux Author-X-Name-First: P le Author-X-Name-Last: Roux Author-Name: V Gorlach Author-X-Name-First: V Author-X-Name-Last: Gorlach Title: An Econometric Analysis Of The Impact Of Economic Freedom On Economic Growth In The Sadc Abstract: The SADC is attempting to achieve development and economic growth. By improving economic freedom, a country can experience sustained economic growth without increasing fundamental inputs i.e. labour and capital. This study tests the effects of population growth, openness and economic freedom on economic growth as well as the causality between economic freedom and economic growth. A panel data model is used due to the lack of data for individual SADC countries. The fixed effects model is statistically significant and allows county-specific differences, arising from independent variables, to be measured. Results reveal that population growth positively affects economic growth although it is not significant. Openness is positively related to economic growth. However, the magnitude of this openness relationship is relatively small. Economic freedom has a significantly favourable effect on economic growth, stronger than that of openness. The Granger causality test confirms the direction of causality, economic freedom precedes economic growth. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097222 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097222 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: V L Mmutle Author-X-Name-First: V L Author-X-Name-Last: Mmutle Author-Name: P A E Serumaga-Zake Author-X-Name-First: P A E Author-X-Name-Last: Serumaga-Zake Title: Market Integration And Price Transmission In A Selected Area Of The South African Market Abstract: This study analyses the performance of a part of the South African market by studying the transmission mechanism of some selected market prices, price spreads and market volatility in the market. A comparative assessment of future forecasts for import and export prices is also conducted using three forecasting models – double exponential smoothing, Winters’ multiplicative method and the Box- Jenkins forecasting method. The analyses reveal that a cointegrating relationship exists between producer and consumer prices of goods, producer prices Granger-cause consumer prices but not the reverse, the transmission between producer and consumer prices of goods is asymmetrical, and price transmission is elastic and perfect in the mark- up model but inelastic and imperfect in the mark-down price transmission model.The producer price shock effect is observed with a total consumer price increase after 4 periods (1 year), exchange rates significantly explain import prices (but only a small part of oil prices), and low standard deviations of the cyclical components of the import and export prices are observed suggesting high volatility of the prices. The best forecasting model for both import and export prices is produced by the Box-Jenkins method as ARIMA (1,1,1) model. Journal: Studies in Economics and Econometrics Pages: 15-38 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097223 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097223 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:15-38 Template-Type: ReDIF-Article 1.0 Author-Name: P Thupayagale Author-X-Name-First: P Author-X-Name-Last: Thupayagale Author-Name: K Jefferis Author-X-Name-First: K Author-X-Name-Last: Jefferis Title: Real Versus Spurious Long-Memory Volatility In Foreign Exchange Data: Evidence From The Rand Against The G4 Currencies Abstract: This paper investigates the extent to which volatility estimates and forecasts may be biased because of the existence of, and failure to account for structural change in the evolution of the exchange rate volatility series. The results of this analysis show that evidence of volatility persistence and long-memory in the Rand against the G4 currencies is overestimated when structural breaks are not considered. A modification of the standard GARCH model to allow for time-variation in the unconditional variance is shown to generate improved volatility forecasting performance over long(er)1 horizons for some currency pairs. Finally, the performance of the standard GARCH, modified GARCH and FIGARCH models are evaluated in the context of value-at- risk (VaR) estimation given the Basle regulatory framework. The results show that both the modified GARCH model and long-memory models generally deliver more accurate VaR measures relative to the standard GARCH model. In terms of VaR estimation our findings may provide guidance on more effective prudential standards for operational risk measurement and, as result, may help ensure adequate capitalisation and reduce the probability of financial distress. Our results highlight the importance of using out-of-sample forecasting techniques and the stipulated probability level for the identification of methods that minimise the occurrence of VaR exceptions. We find that models that account for structural change and long memory attributes generally outperform the basic GARCH model in estimating VaR across the probability levels we considered. Journal: Studies in Economics and Econometrics Pages: 71-94 Issue: 2 Volume: 35 Year: 2011 Month: 8 X-DOI: 10.1080/10800379.2011.12097224 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097224 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:2:p:71-94 Template-Type: ReDIF-Article 1.0 Author-Name: A Charteris Author-X-Name-First: A Author-X-Name-Last: Charteris Author-Name: B Strydom Author-X-Name-First: B Author-X-Name-Last: Strydom Title: An Examination of the Volatility of South African Risk-Free Rate Proxies: A Component Garch Analysis Abstract: He Capital Asset Pricing Model has become the standard model for estimating the required rate of return on equity. Application of themodel requires the selection of proxies for key inputs including the risk- free asset. Despite the clear theoretical requirements for the risk-free asset a surprising divergence is evident in the proxies employed, particularly in the choice of a short-term or longer-term government security. This paper employs the Component GARCH model to examine the volatility of the most commonly used proxies. We find that for both South African and United States Treasury securities long-term shocks have a more sustained impact on future volatility than short- term shocks to the system and that for South African Treasury-Bonds negative shocks have a greater impact on volatility than positive shocks of equal magnitude. The returns on South African Treasury-Bills are found to include a risk premium for the volatility in their returns unlikeU.S. government securities or longer-term South African Treasury- Bonds. This volatility risk premium contravenes the requirements of a risk-free asset and provides empirical evidence that in the South African context, Treasury-Bills are not an appropriate proxy for the risk- free asset and that Treasury-Bonds should be employed instead. Journal: Studies in Economics and Econometrics Pages: 49-64 Issue: 3 Volume: 35 Year: 2011 Month: 12 X-DOI: 10.1080/10800379.2011.12097225 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097225 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:3:p:49-64 Template-Type: ReDIF-Article 1.0 Author-Name: M Du Preez Author-X-Name-First: M Du Author-X-Name-Last: Preez Author-Name: D E Lee Author-X-Name-First: D E Author-X-Name-Last: Lee Author-Name: S G Hosking Author-X-Name-First: S G Author-X-Name-Last: Hosking Title: The Recreational Value Of Beaches In The Nelson Mandela Bay Area, South Africa Abstract: Using beach visitation data collected via the administration of a questionnaire to 226 respondents, this paper estimates a randomutility model of beach recreation. The relative value of selected attributes of beaches is estimated, and the recreational values of lost access to four Blue Flag beaches in the Nelson Mandela Bay area, namely Kings beach, Humewood beach, Hobie beach and Wells Estate beach, respectively are calculated to be R44,73, R24,61, R37,85 and R2,68 per person, per trip. Journal: Studies in Economics and Econometrics Pages: 85-102 Issue: 3 Volume: 35 Year: 2011 Month: 12 X-DOI: 10.1080/10800379.2011.12097226 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097226 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:3:p:85-102 Template-Type: ReDIF-Article 1.0 Author-Name: L Janse van Rensburg Author-X-Name-First: L Janse Author-X-Name-Last: van Rensburg Author-Name: P Burger Author-X-Name-First: P Author-X-Name-Last: Burger Title: House Price Inflation in Johannesburg Abstract: Did Johannesburg suffer a house price bubble during the last decade? To explore this question the paper first estimates a hedonic model using data from real estate transactions in Johannesburg. A hedonic model may capture pure house price inflation more accurately compared to a median house price series (e.g. the ABSA series). The paper uses the hedonic pure price series to estimates a number of Vector Error-Correction Models (VECM). These models highlight the rather significant impact of credit extension on the growth of house prices. This impact is over and above the impact of disposable income and the mortgage rate, two fundamental factors that explain house prices. The results also highlight the need to let the mortgage rate play a bigger role in the allocation of mortgage credit. Journal: Studies in Economics and Econometrics Pages: 65-84 Issue: 3 Volume: 35 Year: 2011 Month: 12 X-DOI: 10.1080/10800379.2011.12097227 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097227 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:3:p:65-84 Template-Type: ReDIF-Article 1.0 Author-Name: C Simleit Author-X-Name-First: C Author-X-Name-Last: Simleit Author-Name: G Keeton Author-X-Name-First: G Author-X-Name-Last: Keeton Author-Name: F Botha Author-X-Name-First: F Author-X-Name-Last: Botha Title: The Determinants of Household Savings in South Africa Abstract: In South Africa, substantial government dissaving as well as poor household savings performance has caused a decline in aggregate savings. Whilst government dissaving has been successfully reversed, household savings continue to fall. Low domestic savings have required South Africa to attract large, volatile portfolio capital inflows to fund a structural current account deficit. Repeated reversals of such inflows have constrained domestic growth and hence an understanding of the factors that have caused this decline in savings is essential in order to formulate policies supportive of sustained higher rates of economic growth. Within the context of the existing literature, this article examines the various determinants of household savings using a vector error-correction model (VECM). The results suggest that interest rates, a wealth effect and upturns in the business cycle all contribute to explaining the decline in household savings. The presence of a partial offset between household savings and government savings also has important implications for the effectiveness of using the fiscal position of the South African government to boost savings. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 3 Volume: 35 Year: 2011 Month: 12 X-DOI: 10.1080/10800379.2011.12097228 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097228 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:3:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: R Burger Author-X-Name-First: R Author-X-Name-Last: Burger Author-Name: S du Plessis Author-X-Name-First: S Author-X-Name-Last: du Plessis Title: Examining the Robustness of Competing Explanations of Slow Growth in African Countries Abstract: This research examines previous findings regarding the robustness of the African growth dummy by (i) expanding the list of variables to include those suggested by Easterly and Levine (1998) and Sachs and Warner (1997b) and (ii) with a modelling strategy that allows explicitly for model uncertainty. Using the Bayesian Averaging of Classical Estimates approach, this paper concludes that the African growth dummy does not appear to be robustly related to growth. This supports the interpretation that the significance of the African dummy may be attributable to omitted variable bias. The paper also contributes to the debate on growth strategies for Africa by assessing the robustness of divergent perspectives offered in the recent literature Journal: Studies in Economics and Econometrics Pages: 21-47 Issue: 3 Volume: 35 Year: 2011 Month: 12 X-DOI: 10.1080/10800379.2011.12097229 File-URL: http://hdl.handle.net/10.1080/10800379.2011.12097229 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:35:y:2011:i:3:p:21-47 Template-Type: ReDIF-Article 1.0 Author-Name: W H Boshoff Author-X-Name-First: W H Author-X-Name-Last: Boshoff Title: Gasoline, Diesel Fuel And Jet Fuel Demand In South Africa Abstract: The paper investigates the price and income elasticity of gasoline (petrol), diesel and jet fuel demand in South Africa using autoregressive distributed lag (ARDL) models. We compare elasticity estimates for 1982Q1-2010Q4 with estimates for 1998Q1-2010Q4. Price and income elasticity estimates for gasoline remain unchanged compared to previous estimates and robust across smaller sub-periods. Similar to recent findings for other developing countries, income is the dominant driver of South African diesel demand even when controlling for the increased number of diesel vehicles. Similarly, income dominates jet fuel demand, a finding that is robust to controls for international tourist departures and is consistent with international findings. Journal: Studies in Economics and Econometrics Pages: 43-78 Issue: 1 Volume: 36 Year: 2012 Month: 4 X-DOI: 10.1080/10800379.2012.12097230 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097230 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:1:p:43-78 Template-Type: ReDIF-Article 1.0 Author-Name: I Botha Author-X-Name-First: I Author-X-Name-Last: Botha Author-Name: A Saayman Author-X-Name-First: A Author-X-Name-Last: Saayman Title: Time Varying Parameter Error Correction Model Approach To Forecasting Tourist Arrivals In South Africa Abstract: In the field of tourism forecasting, the application of time-varying parameters has been successful in forecasting arrivals taking into account the changing behaviour of tourists. This article uses quarterly data to forecast intercontinental tourism demand for a long-haul, developing destination (South Africa) by applying time-varying parameters (TVP) to single equation estimates, and comparing these with vector autoregressive results. Ex-ante forecasts are done for tourist arrivals from various continents, and forecasting accuracy is evaluated by determining the Mean Absolute Percentage Error (MAPE), the Mean Absolute Deviation/Mean ratio (MAD/mean), the percentage Root Mean Square Error (RMSE) and Theil’s inequality coefficient. The results show that TVP do not always outperform other forecasting techniques. Journal: Studies in Economics and Econometrics Pages: 23-42 Issue: 1 Volume: 36 Year: 2012 Month: 4 X-DOI: 10.1080/10800379.2012.12097231 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097231 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:1:p:23-42 Template-Type: ReDIF-Article 1.0 Author-Name: L du Toit Author-X-Name-First: L Author-X-Name-Last: du Toit Author-Name: J Fourie Author-X-Name-First: J Author-X-Name-Last: Fourie Title: Africa’ s Comparative advantage In Travel Service Exports Abstract: While trade in African merchandise has lagged behind that of other developing countries, services exports – notably travel and tourism – have shown remarkable growth over the past decade. This paper calculates revealed comparative advantage for 147 countries using a new measure of the Balassa index. The results indicate that 29 of the 50 African countries in the dataset reveal a comparative advantage in travel service exports. The source of this comparative advantage lies in the natural and cultural resources of African countries, and the relative advantages of air versus sea transport – validating an augmented Heckscher-Ohlin hypothesis. If African countries are to benefit from the growth in world service exports, researchers and policymakers should note the (relative) potential for African travel service exports, especially in the smaller, landlocked destinations. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 36 Year: 2012 Month: 4 X-DOI: 10.1080/10800379.2012.12097232 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097232 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: J D G Nhavira Author-X-Name-First: J D G Author-X-Name-Last: Nhavira Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Title: The Determinants Of Monetary Policy Transparency In Sub-Saharan Africa Abstract: he study investigates the contribution of key macroeconomic and institutional variables in shaping the likelihood of choosing a monetary policy transparency regime in Sub-Saharan Africa. Monetary policy transparency refers to political transparency, operational transparency, policy transparency, economic transparency and procedural transparency by a central bank. Whereas monetary policy, on the other hand, refers to the regulation of the money supply and interest rates by a central bank, with the goal of controlling inflation and stabilizing the currency. One of the peculiarities of developing countries is that they lack credibility in their monetary policy because of a lack of transparency. Therefore this study employs the logit model in determining the factors likely to lead to a choice of monetary policy transparency in Sub-Saharan Africa. The results reveal that only four variables; (current account, real output, financial depth and trade openness) out of seven independent variables are the determinants of transparency in Sub-Saharan Africa. The other variables, real interest rate, consumer price index and GDP growth are found to be statistically insignificant. Journal: Studies in Economics and Econometrics Pages: 79-106 Issue: 1 Volume: 36 Year: 2012 Month: 4 X-DOI: 10.1080/10800379.2012.12097233 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097233 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:1:p:79-106 Template-Type: ReDIF-Article 1.0 Author-Name: G M Wessels Author-X-Name-First: G M Author-X-Name-Last: Wessels Title: The Future Of The Euro As a Global Key Currency: First Place Or Second Fiddle? Abstract: In a globalised world efficient international trade and investment require a respected and stable international key currency. The current key currency, the US dollar (hereafter dollar), faces serious predicaments because of its home country’s economic woes. This strengthens the likelihood of the euro assuming future primacy in the constellation of global key currencies. This paper assesses such likelihood by researching the requirements and determinants for the attainment of international key currency status and applying them to the euro. It is argued that any expectation about the euro becoming the dominant key currency in the foreseeable future is unrealistic. This is because the euro lacks a competitive financial and structural basis in comparison to the dollar, but even more so because the euro is deficient in its geostrategic and political support base in the global economy. Journal: Studies in Economics and Econometrics Pages: 107-125 Issue: 1 Volume: 36 Year: 2012 Month: 4 X-DOI: 10.1080/10800379.2012.12097234 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097234 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:1:p:107-125 Template-Type: ReDIF-Article 1.0 Author-Name: D E Adenutsi Author-X-Name-First: D E Author-X-Name-Last: Adenutsi Author-Name: M J Aziakpono Author-X-Name-First: M J Author-X-Name-Last: Aziakpono Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Title: Macroeconomic Environment and Remittances in Post-Independent Sub-Saharan Africa: Magnitudes, Trends and Stylised Facts Abstract: This paper examines macroeconomic performance and policy environment of post-independent sub-Saharan Africa (SSA) vis-à- vis remittance flows to the sub-region. The paper finds that SSA is the only developing region in the world that still depends on foreign aid as its leading external non-debt capital and attracts the least remittances, notwithstanding the positive growth trend since the pursuit of economic policy reforms in the 1980s. In general, low inflation, higher real income growth, domestic savings, investment, exports, financial development, and fiscal policy effectiveness strongly and positively correlate with remittance inflows. This implies remittances are likely to be driven by sound macroeconomic environment in recipient countries. An affirmation of this finding is that, in SSA, (and, indeed, for all developing economies), remittances are pro-cyclical and positively correlate with macroeconomic performance and stability. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 2 Volume: 36 Year: 2012 Month: 8 X-DOI: 10.1080/10800379.2012.12097235 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097235 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:2:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: K Brock Author-X-Name-First: K Author-X-Name-Last: Brock Author-Name: G Fraser Author-X-Name-First: G Author-X-Name-Last: Fraser Author-Name: F Botha Author-X-Name-First: F Author-X-Name-Last: Botha Title: A Production Function for Cricket: the South African Perspective Abstract: Production functions are common to any productive activity. Although it may not appear obvious, cricket is no different.Production functions in cricket provide a wide range of information, utilised to enhance efficiency and maximize match success. Given these benefits, this study involved the derivation of a production function for the South African SuperSport Series and an analysis of technical efficiency. An econometric analysis was conducted on data from the 2004-2011 cricket seasons and it was concluded that the most optimal strategy for South African teams involved a combination of attacking batting and defensive bowling. Furthermore, South African teams had a relatively low variable substitutability and a high degree of technical efficiency. Journal: Studies in Economics and Econometrics Pages: 37-52 Issue: 2 Volume: 36 Year: 2012 Month: 8 X-DOI: 10.1080/10800379.2012.12097236 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097236 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:2:p:37-52 Template-Type: ReDIF-Article 1.0 Author-Name: M Du Preez Author-X-Name-First: M Author-X-Name-Last: Du Preez Author-Name: M C Sale Author-X-Name-First: M C Author-X-Name-Last: Sale Title: Determining the Impact of a Low-Cost Housing Development on Nearby Property Prices Using Discrete Choice Analysis Abstract: This paper presents an application of the conditional logit model to a small, Nelson Mandela Bay neighbourhood housing data set, with the objective of determining the impact of proximity to a low-cost housing development on nearby property prices. The results of this pilot study show that the average household in the neighbourhood of Walmer is willing to pay between R27 262 and R195 564 to be located 86m further away from an existing low–cost housing development. Journal: Studies in Economics and Econometrics Pages: 23-36 Issue: 2 Volume: 36 Year: 2012 Month: 8 X-DOI: 10.1080/10800379.2012.12097237 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097237 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:2:p:23-36 Template-Type: ReDIF-Article 1.0 Author-Name: T L A Leshoro Author-X-Name-First: T L A Author-X-Name-Last: Leshoro Title: Estimating the Inflation Threshold for South Africa Abstract: How detrimental is inflation to economic growth in South Africa? At what level? Motivated by the adoption of inflation targeting in many countries, the author of this paper sets out to empirically determine the threshold level of inflation in South Africa. Quarterly time-series data spanning the period 1980:Q2 to 2010:Q3 was adopted for this study. The threshold regression model developed by Khan and Senhadji (2001) was used in this study. The econometric technique that was used is the ordinary least squares (OLS) model, which was re-estimated using the two-stage least squares instrumental variable (2SLS-IV) to check for robustness. The results show that the inflation threshold level occurs at 4%. At inflation levels below and up to 4%, there is a positive but insignificant relationship between inflation and growth. The relationship becomes negative and significant when the inflation rate is above 4%. The tests of robustness support these findings. Journal: Studies in Economics and Econometrics Pages: 53-66 Issue: 2 Volume: 36 Year: 2012 Month: 8 X-DOI: 10.1080/10800379.2012.12097238 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097238 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:2:p:53-66 Template-Type: ReDIF-Article 1.0 Author-Name: E Ziramba Author-X-Name-First: E Author-X-Name-Last: Ziramba Title: Revisiting the South African Aggregate Import Demand: a View From Expenditure Components Abstract: This paper examines the long run and short run relationship between South African aggregate imports and expenditure components and the price of imports relative to the price of domestic substitutes (RP) using the bounds test approach. Annual data for the period 1970 - 2009 are used. The final demand expenditure variable is disaggregated into final consumption expenditure (FCE), investment expenditure (EIG) and exports expenditure (EX). The use of a disaggregated demand variable, as opposed to a single demand variable, is justified by the possibility that each final demand component may have different import contents. The major findings are; first, aggregate import demand is co- integrated with its determinants, second, different components of final demand expenditure have different impacts on aggregate import demand in both the short and long-run periods. Journal: Studies in Economics and Econometrics Pages: 67-83 Issue: 2 Volume: 36 Year: 2012 Month: 8 X-DOI: 10.1080/10800379.2012.12097239 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097239 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:2:p:67-83 Template-Type: ReDIF-Article 1.0 Author-Name: H P Pienaar Author-X-Name-First: H P Author-X-Name-Last: Pienaar Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Market Reaction To Open Market Share Repurchases On The Johannesburg Stock Exchange Over The Period 2000 To 2007 Abstract: This study examines the market behaviour of South African companies listed on the Johannesburg Stock Exchange (JSE) that have repurchased their own shares on the open market during the period October 2000 to December 2007. Consistent with prior studies on the North American and South African markets, the mean market response around the announcement date (-2 to +2 days) is positive, albeit quite small at 0,94%. The mean market response in the period following the announcement (+3 to +20 days) is negative at -3,95%, which differs from previous studies. The study also finds that the average 36-months buy- and-hold abnormal cumulative return for companies classified as non- resource companies is 26,57%. The largest abnormal returns are observed in small companies; for large companies no positive abnormal returns are observed. Finally, value shares have the largest abnormal returns in most of the company size categories. Journal: Studies in Economics and Econometrics Pages: 101-122 Issue: 3 Volume: 36 Year: 2012 Month: 12 X-DOI: 10.1080/10800379.2012.12097240 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097240 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:101-122 Template-Type: ReDIF-Article 1.0 Author-Name: T E Mutambara Author-X-Name-First: T E Author-X-Name-Last: Mutambara Title: Mutual Accessibility Amongst Markets In India, Brazil And South Africa (IBSA) Abstract: Using data for the period 2001-2011, trade by each country with its fellow IBSA countries was analysed. It was found that since 2004, a year after the inception of the IBSA development initiative, intra-IBSA trade has been rising. However, tariff barriers continue to be of concern. Data available for tariffs show that each country continues to have a very high number of tariff lines which complicates their tariff structures. Each country has huge disparities between bound and applied tariff rates, which results in exporter uncertainty as countries can raise applied tariff rates to bound levels so as to manage prices and supply. On some products, countries continue to apply significantly high tariffs to each other. In an effort to reduce tariffs on each other, the countries have taken initiatives to negotiate and sign preferential trade agreements with a free trade area as the eventual outcome. Non-tariff barriers also continue to constrain intra-IBSA trade. These include infrastructure constraints, inadequate business information, import licensing and customs regimes. Through IBSA Working Groups, initiatives are being taken to address non-tariff barriers. To ensure that such initiatives are legally binding, Memoranda of Understanding are being signed and ratified. Journal: Studies in Economics and Econometrics Pages: 65-100 Issue: 3 Volume: 36 Year: 2012 Month: 12 X-DOI: 10.1080/10800379.2012.12097241 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097241 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:65-100 Template-Type: ReDIF-Article 1.0 Author-Name: S N A Mensah Author-X-Name-First: S N A Author-X-Name-Last: Mensah Title: The Impact Of Dwindling Opportunities For Mine Migration On Rural Household Income In Lesotho Abstract: The numbers of Basotho men in the South African mines dropped from almost 126,000 in 1990 to just over 41,000 in 2010. Using primary data, this paper analyses the sources and levels of income in former migrant, current migrant and non-migrant households in rural Lesotho, and then identifies the variables that significantly correlate with both household income and household per capita income. In the absence of panel data, the paper uses the differences in mean incomes between current and former migrant households to highlight the impact of dwindling opportunities for mine migration on household income. The paper finds that with the loss of migration status, monthly household income dropped by M2040 in 2006/2007 when per capita income for the country was M5624. The paper recommends investment in the country’s comparative advantage areas and skills development for productive engagement in the domestic economy of rural men who by tradition look for work in the South African mines. Journal: Studies in Economics and Econometrics Pages: 25-46 Issue: 3 Volume: 36 Year: 2012 Month: 12 X-DOI: 10.1080/10800379.2012.12097242 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097242 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:25-46 Template-Type: ReDIF-Article 1.0 Author-Name: J P S Sheefeni Author-X-Name-First: J P S Author-X-Name-Last: Sheefeni Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Title: Monetary Policy Transmission In Namibia: A Review Of The Interest Rate Channel Abstract: This paper analyses the channels through which monetary policy shocks are transmitted to the economy. Specifically, the responses of the output, prices and long-term interest rates to monetary policy shocks for Namibia over the quarterly period 1993:Q1 – 2009:Q4 are investigated using impulse response functions and variance decompositions obtained from a structural vector autoregressive model (SVAR). Estimation results showed that the interest rate channel is effective. The results implies that monetary policies working through both long run and short run interest rates have a significant effect on prices and output Journal: Studies in Economics and Econometrics Pages: 47-64 Issue: 3 Volume: 36 Year: 2012 Month: 12 X-DOI: 10.1080/10800379.2012.12097243 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097243 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:47-64 Template-Type: ReDIF-Article 1.0 Author-Name: H P E Ngalawa Author-X-Name-First: H P E Author-X-Name-Last: Ngalawa Title: Banking Instability And Deposit Insurance In Low Income Countries Abstract: hile deposit insurance aimed at minimising the risk of banking instability has been adopted in the regulatory structures of a large number of middle to high income countries and in only a few low income countries, most cases of banking instability have been recorded in the low income countries. Does the absence of deposit insurance explain the high prevalence of banking instability in low income countries relative to their high income counterparts? Or, are low income countries just prone to banking instability more than high income countries? This study sets out to answer these and other questions. Using an empirical framework that distinguishes bank runs and insolvency of banks as identifiers of banking instability, the study establishes that deposit insurance per se has no bearing on banking fragility. The study further finds very weak evidence that low income countries are vulnerable to banking instability more than high income countries. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 3 Volume: 36 Year: 2012 Month: 12 X-DOI: 10.1080/10800379.2012.12097244 File-URL: http://hdl.handle.net/10.1080/10800379.2012.12097244 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: Y S Stander Author-X-Name-First: Y S Author-X-Name-Last: Stander Author-Name: D J Marais Author-X-Name-First: D J Author-X-Name-Last: Marais Author-Name: I Botha Author-X-Name-First: I Author-X-Name-Last: Botha Title: A Comparison of Cointegration and Copula Asset Allocation Approaches Abstract: The empirical performance of cointegration and copula asset allocation techniques are compared against that of the market. Multivariate copula structures are used to derive index-tracking portfolios which are then compared with that of portfolios constructed using cointegration techniques. The results suggest that modelling the long-term relationships between stocks by means of the cointegration approach do not consistently lead to portfolios that outperform the benchmark. Using a short-term asset allocation approach, such as the copula-simulation approach, lead to portfolios that perform at least as well as the cointegration portfolios. Journal: Studies in Economics and Econometrics Pages: 1-28 Issue: 1 Volume: 37 Year: 2013 Month: 4 X-DOI: 10.1080/10800379.2013.12097245 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097245 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:1:p:1-28 Template-Type: ReDIF-Article 1.0 Author-Name: C Auret Author-X-Name-First: C Author-X-Name-Last: Auret Author-Name: C Chipeta Author-X-Name-First: C Author-X-Name-Last: Chipeta Author-Name: S Krishna Author-X-Name-First: S Author-X-Name-Last: Krishna Title: Financial Constraints and Capital Structure Dynamics Across the Business Cycle: Some Evidence from The Jse Abstract: This paper investigates the dynamics of capital structure adjustment speeds for financially constrained, unconstrained and full sample JSE listed non-financial firms across the business cycle. Using the generalised method of moments (GMM) estimation technique, and controlling for the effects of mean reversion and extreme leverage observations, we find some evidence of moderate target adjustment behaviour for total and long term leverage in both the good and bad macroeconomic states. However adjustment speeds are higher for the short term debt ratio. Furthermore, the manner in which adjustment speeds change is highly sensitive to the definition of macroeconomic states used. We also find evidence that there is a statistically significant difference in the speed of adjustment for firms across the different macroeconomic states. However, this significance dissipates when the short term debt ratio is used. It is also documented that the difference in the speed of adjustment for the constrained and unconstrained firms is significantly different across the good and bad macroeconomic states. Journal: Studies in Economics and Econometrics Pages: 75-103 Issue: 1 Volume: 37 Year: 2013 Month: 4 X-DOI: 10.1080/10800379.2013.12097246 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097246 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:1:p:75-103 Template-Type: ReDIF-Article 1.0 Author-Name: O Adegboye Author-X-Name-First: O Author-X-Name-Last: Adegboye Author-Name: D Kotze Author-X-Name-First: D Author-X-Name-Last: Kotze Title: An Exploratory Look at Associated Factors of Poverty on Educational Attainment in Africa and in-Depth Multi- Level Modelling for Namibia Abstract: This study examines several indicator variables related to education and poverty in Africa from the Demographic and Health Surveys (DHS). Many have described income and education as one of the fundamental determinants of health and as one of the indicators for socio-economic status. Firstly, data from thirty-six African countries were explored, geographical heterogeneity of the countries were discussed. Secondly, we carried out in-depth multi-level analyses using generating estimating equations on data for 72,230 respondents and from 5,436 households in the Namibia DHS (1992-2006). Results from statistical analyses indicate that age of household head, socio- economic status of household, parent’s level of education, family size and position of a child in the family play a significant role in the educational attainment of household members. We found that these household level characteristics are important predictors of educational attainment. Thus, government policy aimed at reducing household level poverty should be implemented to alleviate the economic power at household level thereby increasing educational attainment. Journal: Studies in Economics and Econometrics Pages: 105-127 Issue: 1 Volume: 37 Year: 2013 Month: 4 X-DOI: 10.1080/10800379.2013.12097247 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097247 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:1:p:105-127 Template-Type: ReDIF-Article 1.0 Author-Name: J D van Heerden Author-X-Name-First: J D Author-X-Name-Last: van Heerden Author-Name: F J Koegelenberg Author-X-Name-First: F J Author-X-Name-Last: Koegelenberg Title: Optimal Asset Allocation Strategies for South African Pension Funds Abstract: In this article we investigate whether it is optimal for South African pension funds to allocate the full twenty-five per cent of available assets to offshore asset classes as allowed under the revised Regulation 28. Asset allocation optimisation strategies differ with respect to the optimised objective, and we compare the results of seven commonly used asset allocation optimisation models over a 10-, 20- and 30-year investment period. The majority of optimisation models show that domestic-only funds significantly out-perform funds with a foreign allocation component over the 10-year investment horizon. Over a 30-year period only one strategy recommends a domestic-only portfolio, three strategies recommend portfolios with a twenty-five per cent foreign exposure that significantly outperform their domestic-only counterparts while the remaining three are indifferent between domestic-only or foreign-allocation portfolios.To compare the seven asset allocation optimisation strategies, the frequency of out-performing four pre-defined benchmarks was calculated for each of the portfolios over each of the three investment periods. Applying a bootstrap approach we find that the re-sampled mean-variance optimisation strategy applied using a 20-year historical data period is the superior optimisation strategy. Journal: Studies in Economics and Econometrics Pages: 29-53 Issue: 1 Volume: 37 Year: 2013 Month: 4 X-DOI: 10.1080/10800379.2013.12097248 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097248 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:1:p:29-53 Template-Type: ReDIF-Article 1.0 Author-Name: M K Ocran Author-X-Name-First: M K Author-X-Name-Last: Ocran Author-Name: I Anyikwa Author-X-Name-First: I Author-X-Name-Last: Anyikwa Title: Trends and Volatility in Residential Property Prices in South Africa Abstract: The paper examines the trends and volatility in residential property prices in South Africa from 1980Q1 to 2011Q4. The empirical analysis uses a range of unit root and stationary tests as well as a number of ARCH-family of models. The results from the trend analysis suggest that shocks to house prices tend to be permanent in nature. Investigation into the dynamic behaviour of house prices supports the existence of conditional volatility that is time-varying and persistent. Moreover, volatility is found to be asymmetric in news suggesting evidence of anti-leverage effects. Accordingly, these outcomes suggest that residential property could provide hedging opportunity to investors with regards to risk management. Journal: Studies in Economics and Econometrics Pages: 55-74 Issue: 1 Volume: 37 Year: 2013 Month: 4 X-DOI: 10.1080/10800379.2013.12097249 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097249 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:1:p:55-74 Template-Type: ReDIF-Article 1.0 Author-Name: G D I Barr Author-X-Name-First: G D I Author-X-Name-Last: Barr Author-Name: B S Kantor Author-X-Name-First: B S Author-X-Name-Last: Kantor Title: Money Supply and Economic Activity in South Africa – the Relationship Updated To 2011 Abstract: This paper reconsiders the relationship between measures of money and measures of economic activity in the South African economy and the role of the Reserve Bank in moderating South African economic cycles. By using data for the past twenty years, the earlier analysis is updated and reassessed so that it is possible to see if the fundamental relationships between money, credit and economic activity have changed and whether the role of the Reserve Bank in managing economic activity has become more pivotal and constructive. One important difference noted is that broadly defined money (M3) does better in explaining economic activity between 2000 and 2011 than narrowly defined money. The opposite is true for the earlier sub-periods. The paper utilises a model of the money supply process to explain why the relationship between narrowly and broadly defined money changed after the year 2000 with regulations that encouraged the banks to reduce their demands for cash leading to an increase in the money multiplier. The paper concludes that the ability of the SA Reserve Bank to moderate the money and bank credit cycles, utilising interest rates as the primary instrument of monetary policy, remains as elusive as ever. Journal: Studies in Economics and Econometrics Pages: 23-39 Issue: 2 Volume: 37 Year: 2013 Month: 8 X-DOI: 10.1080/10800379.2013.12097250 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097250 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:2:p:23-39 Template-Type: ReDIF-Article 1.0 Author-Name: M Gustafsson Author-X-Name-First: M Author-X-Name-Last: Gustafsson Title: More Countries, Similar Results: A Nonlinear Programming Approach to Normalising test Scores Needed for Growth Regressions Abstract: Analysts such as Hanushek and Woessman have brought to the fore the deceptiveness of education enrolments, or years of schooling, in growth regressions and the need to consider educational quality. In this paper, a nonlinear programming solution is proposed as a way of normalising to a single scale country average test scores from various international testing programmes. This method, though less transparent and more dependent on certain subjective choices than the existing approach put forward by Hanushek and Woessman, allows for the inclusion of more countries, in particular more African and developing countries, into a growth regression. The regression produces the results one would expect, namely a strong conditional correlation between growth and educational quality. The utility of growth regressions with an educational quality variable for the education policymaker is discussed. A method for arriving at feasible annual improvements in educational quality and hence feasible country targets is presented. Journal: Studies in Economics and Econometrics Pages: 95-114 Issue: 2 Volume: 37 Year: 2013 Month: 8 X-DOI: 10.1080/10800379.2013.12097251 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097251 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:2:p:95-114 Template-Type: ReDIF-Article 1.0 Author-Name: A C Mahomedy Author-X-Name-First: A C Author-X-Name-Last: Mahomedy Title: International Trade and Labour Demand Elasticities: Empirical Evidence from South Africa Abstract: There are various pathways through which the impact of trade openness may be transmitted to the labour market. This study explores a relatively new linkage identified by the literature: the impact on labour demand elasticities via a substitution effect through increased factor substitutability and/or via a scale effect brought about by an increase in product market elasticities. More elastic factor demands have adverse implications for labourers vis-à-vis employers. Using an industry-level panel dataset covering the South African manufacturing sector spanning a period of over three decades, I empirically test for this relationship focusing primarily on the substitution effect. I am able to find, at best, only limited empirical support for my hypothesis of a positive and significant impact of trade liberalisation on labour demand elasticities. Whilst demand for labour appears to have become more elastic for manufacturing overall and in one of ten sectors within manufacturing, this result fails to hold for any of the other industries examined. Journal: Studies in Economics and Econometrics Pages: 63-93 Issue: 2 Volume: 37 Year: 2013 Month: 8 X-DOI: 10.1080/10800379.2013.12097252 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097252 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:2:p:63-93 Template-Type: ReDIF-Article 1.0 Author-Name: M du Preez Author-X-Name-First: M du Author-X-Name-Last: Preez Author-Name: D E Lee Author-X-Name-First: D E Author-X-Name-Last: Lee Author-Name: M C Sale Author-X-Name-First: M C Author-X-Name-Last: Sale Title: Nonparametric Estimation of A Hedonic Price Model: A South African Case Study Abstract: Parametric regression models of hedonic price functions suffer from two main specification issues: the identification of appropriate dependent and independent variables, and the choice of functional form. Although the first issue remains relevant with the use of nonparametric regression models, the second issue becomes irrelevant since these models do not presume functional forms a priori. We estimate a linear parametric model via OLS, which fails a common specification test, before showing that recently developed nonparametric regression methods outperform it significantly. In addition to estimating the models, we compare the out-of-sample prediction performance of the OLS and nonparametric models. Our data reveals that the nonparametric models provide more accurate predictions than the parametric model. Journal: Studies in Economics and Econometrics Pages: 41-62 Issue: 2 Volume: 37 Year: 2013 Month: 8 X-DOI: 10.1080/10800379.2013.12097253 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097253 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:2:p:41-62 Template-Type: ReDIF-Article 1.0 Author-Name: E J Zeelie Author-X-Name-First: E J Author-X-Name-Last: Zeelie Author-Name: H R Lloyd Author-X-Name-First: H R Author-X-Name-Last: Lloyd Title: A Framework for South African Industrial Cluster Identification and Analysis Abstract: This paper seeks to detect whether a statistically significant relationship can be established between cluster growth and the degree of cluster specialisation and the level of cluster competition in the Eastern Cape Province. It firstly establishes a national industrial clusters framework for the South African economy, based on an analysis of functional inter-industry relationships. Through top-down cluster applications, groups of industries with linked value chains are detected. Secondly, the relationship between cluster growth and economic structure in the Eastern Cape Province is analysed. The findings indicate that a relationship exists between the level of value chain cluster concentration and the ability to outperform its less concentrated cluster counterparts in the rest of the country. The empirical assessment of the impact of competition on value chain cluster performance reveals that neither the differential, nor the total value chain cluster growth variables exhibit a significant relationship with the level of intra-cluster competitiveness. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 2 Volume: 37 Year: 2013 Month: 8 X-DOI: 10.1080/10800379.2013.12097254 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097254 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:2:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: C P van Walbeek Author-X-Name-First: C P Author-X-Name-Last: van Walbeek Title: How Accurate are South African Macroeconomic Forecasts? Abstract: This paper considers the ex post accuracy of two published sets of macroeconomic forecasts: the Economist Intelligence Unit’s (EIU’s) Country Report and the “Economist of the Year” consensus forecast, sponsored by Media 24. Root weighted mean square errors (RWMSEs) of these two competing entities’ forecasts are, on average, about 60% of the RWMSEs of adaptive naïve predictions for current-year forecasts and about 75% of the RWMSEs of adaptive naïve predictions for one- year-ahead forecasts. There is no substantial difference in the forecast accuracy of the two entities, despite large differences in forecasting methodology. Forecasts are revised on a monthly basis. Monthly revisions in Media 24’s consensus forecast are substantially more likely to reduce forecast errors than the EIU’s monthly forecast revisions. Revisions in the next-year forecasts for GDP growth and inflation are only marginally better than random, and thus such revisions have little credibility. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 3 Volume: 37 Year: 2013 Month: 12 X-DOI: 10.1080/10800379.2013.12097255 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097255 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:3:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: A Jansen Author-X-Name-First: A Author-X-Name-Last: Jansen Author-Name: E Stoltz Author-X-Name-First: E Author-X-Name-Last: Stoltz Author-Name: D Yu Author-X-Name-First: D Author-X-Name-Last: Yu Title: The Targeting of Zero-Rated Basic Foodstuffs Under Value-Added Tax (VAT) in South Africa Abstract: Since the inception of VAT in South Africa, various studies have been conducted to investigate the distributional impact of the tax as well as the effectiveness of zero-rating as tool to alleviate the burden on poor households. This paper argues that the targeting of the zero- rated basket can be improved to enhance the intended equity gain. Using the food category of vegetables as a case study, and distinguishing between sub-groups of vegetables, this paper conducts tax incidence analyses to compare the relative burden of VAT on different categories of vegetables for various income groups. The findings suggest that canned vegetables should be included in the zero-rated basket, frozen vegetables should remain zero-rated, but some (not ‘basic’) fresh vegetables should be taxed at the standard rate. It also strongly suggests that the specific items in the zero-rated basket should be reviewed on a regular basis. Journal: Studies in Economics and Econometrics Pages: 87-104 Issue: 3 Volume: 37 Year: 2013 Month: 12 X-DOI: 10.1080/10800379.2013.12097256 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097256 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:3:p:87-104 Template-Type: ReDIF-Article 1.0 Author-Name: F Bismans Author-X-Name-First: F Author-X-Name-Last: Bismans Author-Name: P Le Roux Author-X-Name-First: P Author-X-Name-Last: Le Roux Title: Dating the Business Cycle in South Africa by Using a Markov-Switching Model Abstract: This paper applies a Markov-switching dynamic regression model to the real quarterly GDP time series from 1981 to 2010 in order to detect turning points in the South African business cycle. The model comprises several explicative variables. These include short- and long- term interest rates, monetary aggregates as well as the difference between long- and short-term interest rates. For all these variables, the possibility of dynamic lags was also considered. A chronology for the South African classical and growth cycles, using a quarterly algorithm is established. Application of this non-parametric procedure yields six complete cycles over the period 1960-2011. Journal: Studies in Economics and Econometrics Pages: 25-40 Issue: 3 Volume: 37 Year: 2013 Month: 12 X-DOI: 10.1080/10800379.2013.12097257 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097257 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:3:p:25-40 Template-Type: ReDIF-Article 1.0 Author-Name: M J Aziakpono Author-X-Name-First: M J Author-X-Name-Last: Aziakpono Title: Financial Integration and Economic Growth: Theory and a Survey of Evidence Abstract: Despite the growing studies on the effect of financial integration on economic growth, the lack of consensus among the studies calls for further research to enhance our understanding of the financial integration-growth nexus. This paper, instead of attempting another empirical investigation of the relationship between financial integration and economic growth, provides a review of the theoretical and the growing empirical literature. The aim of the theoretical review is to identify the potential benefits and costs of financial integration and to highlight the channels through which the effects are brought about. While the issues are explored in general, more emphasis is placed on developing countries. The empirical review helps to show the extent to which data corroborate the theoretical predictions. It further highlights the gaps in the existing studies on the effects of financial integration, which any new empirical investigation must carefully address to provide robust results. Journal: Studies in Economics and Econometrics Pages: 61-86 Issue: 3 Volume: 37 Year: 2013 Month: 12 X-DOI: 10.1080/10800379.2013.12097258 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097258 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:3:p:61-86 Template-Type: ReDIF-Article 1.0 Author-Name: L Mncube Author-X-Name-First: L Author-X-Name-Last: Mncube Title: On Market Power And Cartel Detection: The South African Flour Cartel Abstract: For several different reasons, competition authorities are expected to identify the source of market power, which may not be the result of anti-competitive conduct. Empirical techniques could help to gauge the degree of market power, and firm conduct. We ask the question, do observed prices and quantities in the flour industry reflect switching from collusive to non-collusive behavior and test for this empirically using the monthly time series data from September 2003 to December 2008. Within the framework of a structural model of equilibrium pricing, we specify a simultaneous equation switching regression model in which the parameters of the demand and cost functions are estimated. Our estimated conduct parameters suggest that the level of market power exercised by the flour millers is quite low in both periods. The perfect collusion hypothesis is rejected by the data. In addition, the estimated level of the conduct parameter diverges from those implied the models of competition and therefore we cannot define precisely the firm behaviour. Journal: Studies in Economics and Econometrics Pages: 41-60 Issue: 3 Volume: 37 Year: 2013 Month: 12 X-DOI: 10.1080/10800379.2013.12097259 File-URL: http://hdl.handle.net/10.1080/10800379.2013.12097259 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:37:y:2013:i:3:p:41-60 Template-Type: ReDIF-Article 1.0 Author-Name: J van Greunen Author-X-Name-First: J Author-X-Name-Last: van Greunen Author-Name: A Heymans Author-X-Name-First: A Author-X-Name-Last: Heymans Author-Name: C van Heerden Author-X-Name-First: C Author-X-Name-Last: van Heerden Author-Name: G van Vuuren Author-X-Name-First: G Author-X-Name-Last: van Vuuren Title: The Prominence of Stationarity in Time Series Forecasting Abstract: The stationarity of a time series can have a significant influence on its properties and forecasting behaviour, where the inability to render a time series to the correct form of stationarity can lead to spurious results. Although there are several different approaches to render a non-stationary time series stationary, few econometricians look past the first differencing method. This paper employs a novel process to determine whether using the correct form of stationary data will enhance forecasting accuracy. The results from this paper substantiate the hypothesis that the correct form of stationarity will outperform any other form of stationarity. Journal: Studies in Economics and Econometrics Pages: 1-16 Issue: 1 Volume: 38 Year: 2014 Month: 4 X-DOI: 10.1080/10800379.2014.12097260 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097260 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 Author-Name: A Reisinger Author-X-Name-First: A Author-X-Name-Last: Reisinger Author-Name: J D van Heerden Author-X-Name-First: J D Author-X-Name-Last: van Heerden Title: Is Liquidity a Pricing Factor on the JSE? Abstract: This paper builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining excess stock returns on the JSE by adding a further potential explanatory factor, namely liquidity. Five liquidity proxies are used: the bid-ask spread, turnover, the price impact measure and two zero return measures. Our findings suggest that while size, value and momentum are significant in explaining excess stock returns on the JSE, liquidity is not found to be significant, irrespective of the type of liquidity measure used. Journal: Studies in Economics and Econometrics Pages: 17-34 Issue: 1 Volume: 38 Year: 2014 Month: 4 X-DOI: 10.1080/10800379.2014.12097261 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097261 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:1:p:17-34 Template-Type: ReDIF-Article 1.0 Author-Name: R P Burger Author-X-Name-First: R P Author-X-Name-Last: Burger Author-Name: D P von Fintel Author-X-Name-First: D P Author-X-Name-Last: von Fintel Title: Rising Unemployment in a Growing Economy: A Business Cycle, Generational and Life Cycle Perspective of Post-Transition South Africa’s Labour Market Abstract: This paper performs age-period-cohort decompositions of post-apartheid South African labour market outcomes in a period where unemployment worryingly rose, despite robust economic growth. We disentangle short-term from long-run factors, concluding that the first post-transition decade led to higher equilibrium unemployment. Claims of jobless growth over the business cycle are invalidated, with unemployment following a counter-cyclical pattern. Rather, generational components highlight long-run wage rigidities, decreases in labour demand within poorly educated groups and a gradual increase in participation amongst the most recent birth cohorts, reflecting higher education levels and changes in household formation. A disproportionate surge in entry amongst the very youngest (who were affected by post-transition education reforms) explains why unemployment rose in spite of an economic upswing in this period, and raises the concern of labour market scarring for this group. Journal: Studies in Economics and Econometrics Pages: 35-64 Issue: 1 Volume: 38 Year: 2014 Month: 4 X-DOI: 10.1080/10800379.2014.12097262 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097262 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:1:p:35-64 Template-Type: ReDIF-Article 1.0 Author-Name: F Toerien Author-X-Name-First: F Author-X-Name-Last: Toerien Author-Name: D Rosenberg Author-X-Name-First: D Author-X-Name-Last: Rosenberg Author-Name: R Kruger Author-X-Name-First: R Author-X-Name-Last: Kruger Title: The Asymmetry of Gain Loss Time Horizons on the JSE Abstract: Although the equity investment horizon required to optimise the probability of realising specific returns is of significant interest to investors, little research has been published globally in this regard. In this paper we, for the first time, use reverse statistics to derive probability distributions of the times required to achieve specific levels of returns on the JSE. Specifically, we consider the total returns of the All Share Index (ALSI) for the period 1995 to 2012. We show that for matched pair target returns ranging from ±2% to ±8%, the maximum probability of the negative return on a timeline lies to the left of the maximum probability of the equivalent positive return. This gain-loss asymmetry is similar to that previously found for developed markets (e.g. for the Dow Jones Index), but opposite to that found for indices in Eastern Europe. Given that previous researchers ascribed this difference to a developed vs. emerging market dichotomy, this may indicate that the JSE more closely resembles developed than emerging equity markets. In addition, our probability distributions for the times required to achieve both specific positive and negative total returns should assist investors on the JSE to better plan their investment strategies. Journal: Studies in Economics and Econometrics Pages: 65-74 Issue: 1 Volume: 38 Year: 2014 Month: 4 X-DOI: 10.1080/10800379.2014.12097263 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097263 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:1:p:65-74 Template-Type: ReDIF-Article 1.0 Author-Name: M Q Dao Author-X-Name-First: M Q Author-X-Name-Last: Dao Title: Drivers of Economic Growth in Developing Countries Abstract: This paper examines the impact of the drivers of economic growth in developing countries. We modify the conventional neoclassical growth model to account for the impact of the increase in the number of people working relative to the total population and that of the increase in the value added per worker over time. Based on data from the World Bank for the 1995-2010 period and a sample of thirty-eight developing economies we find that the growth rate of per capita GDP is linearly dependent on technological progress, gross capital formation, the initial level of output per capita, and labour productivity growth, measured as the growth rate of the value added per worker, as well as human capital formation, measured as the growth rate of the average number of years of formal schooling among all persons aged 15 and above. We observe that all coefficient estimates except one have their expected sign and these explanatory variables except one are found to be statistically significant. We note that the increase in the number of people working, relative to the total population does not help explain cross-country differences in per capita GDP growth in developing economies. Statistical results of such empirical examination will assist governments in developing countries identify policy fundamentals that are essential for economic growth. Journal: Studies in Economics and Econometrics Pages: 75-85 Issue: 1 Volume: 38 Year: 2014 Month: 4 X-DOI: 10.1080/10800379.2014.12097264 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097264 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:1:p:75-85 Template-Type: ReDIF-Article 1.0 Author-Name: D.E. McClelland Author-X-Name-First: D.E. Author-X-Name-Last: McClelland Author-Name: C.J. Auret Author-X-Name-First: C.J. Author-X-Name-Last: Auret Author-Name: T.K. Wright Author-X-Name-First: T.K. Author-X-Name-Last: Wright Title: Thin-Trading and Beta Estimation: Results From a Simulated Environment Abstract: This study contributes to the literature on common stock Beta estimation in an environment of varying levels of infrequent trading, or market frictions. In this study a stock market environment with a range of Beta relationships and varying levels of trading infrequency is artificially created using Normal and Bernoulli-distributed Monte Carlo simulations. Four different modified Beta estimation techniques are compared to the OLS-Beta. The rate of deterioration of the various models is investigated with respect to systematic bias (bias of the mean) as well as a measurement bias (bias of the estimate's standard error). The Trade-to-Trade model performed best overall followed by the simple OLS-adjustment with respect to systematic bias; however, both models showed increasing levels of measurement bias from an early stage. Due to the data-intensive nature of the Trade-to-Trade model it does not serve as a one-size-fits-all solution. The strongest alternative is shown to be the adjusted OLS estimate. The choice of an appropriate thin-trading filter is a function of the choice of the Beta estimator which is in-turn determined by the researchers’ tolerance for either systematic or measurement bias. The contribution of this study is that it provides guidance to the use of alternative methods to estimate risk coefficients. Journal: Studies in Economics and Econometrics Pages: 19-31 Issue: 2 Volume: 38 Year: 2014 Month: 8 X-DOI: 10.1080/10800379.2014.12097265 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097265 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:2:p:19-31 Template-Type: ReDIF-Article 1.0 Author-Name: D. Bradfield Author-X-Name-First: D. Author-X-Name-Last: Bradfield Author-Name: D Hendricks Author-X-Name-First: D Author-X-Name-Last: Hendricks Title: Monitoring Market Fragility Using the Absorption Ratio Abstract: The objective of this report is to introduce a measure called the absorption ratio, for monitoring systemic risk in the South African environment. We follow an academic paper by Kritzman, Li, Page and Rigobon (2011) who proposed this metric. The measure is intended to signal when the market is becoming highly fragile because risk is beginning to concentrate in a narrow direction. We extend these ideas to measure the systemic risk of an individual portfolio.The absorption ratio is essentially the fraction of a set of assets’ total variance ‘absorbed’ by a fixed number of risk factors. A high absorption ratio suggests the risk in the market is beginning to concentrate, making it vulnerable to a narrow negative shock. Our empirical analysis assesses an equity market environment and a typical local portfolio. The evidence in both cases shows there was an increase in the absorption ratio prior to significant losses in the market. Interestingly, the results also show that, subsequent to the 2008 crash, the absorption ratio remained at relatively high levels, indicating that the market remained fragile and vulnerable to any further narrow shocks - but that perhaps bail-outs averted any further shocks.Our results using both data sets thus confirm the usefulness of the absorption ratio as a signalling metric of rising systemic risk in the South African environment. Journal: Studies in Economics and Econometrics Pages: 33-46 Issue: 2 Volume: 38 Year: 2014 Month: 8 X-DOI: 10.1080/10800379.2014.12097266 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097266 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:2:p:33-46 Template-Type: ReDIF-Article 1.0 Author-Name: J.W. Kinghorn Author-X-Name-First: J.W. Author-X-Name-Last: Kinghorn Author-Name: J.D. Snowball Author-X-Name-First: J.D. Author-X-Name-Last: Snowball Author-Name: P.J. Britz Author-X-Name-First: P.J. Author-X-Name-Last: Britz Author-Name: O.L.F. Weyl Author-X-Name-First: O.L.F. Author-X-Name-Last: Weyl Title: A Cross-Model Comparison of Travel Time Inclusion Techniques in Recreational Fishing Demand Analysis Abstract: Incorporating travel time into recreational demand analysis is a much debated topic. The aim of this paper is to contribute to discourse surrounding the travel cost method by analysing data from a bass angling tournament, the Amatola Bass Classic, held annually in the Eastern Cape Province of South Africa. Firstly, data collected from 64 respondents were used to test the goodness-of-fit of four models: the Standard Poisson, the Zero-Truncated Poisson, the Negative Binomial and the Zero-Truncated Negative Binomial. These models were then utilised to gauge the difference between two standard ways of treating time, by including it both as a separate parameter and as an intrinsic part of travel costs. The data were found to be overdispersed, pointing to a greater level of reliability in the Negative Binomial Models. Using all four models it was shown that the incorporation of time into the overall cost of the trip produced results which were better able to explain the amount of trips taken by anglers than those model specifications where time was included as a separate parameter. Journal: Studies in Economics and Econometrics Pages: 47-64 Issue: 2 Volume: 38 Year: 2014 Month: 8 X-DOI: 10.1080/10800379.2014.12097267 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097267 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:2:p:47-64 Template-Type: ReDIF-Article 1.0 Author-Name: S. Hosking Author-X-Name-First: S. Author-X-Name-Last: Hosking Author-Name: D. Du Preez Author-X-Name-First: D. Author-X-Name-Last: Du Preez Author-Name: V. Kaczynsky Author-X-Name-First: V. Author-X-Name-Last: Kaczynsky Author-Name: J. Hosking Author-X-Name-First: J. Author-X-Name-Last: Hosking Author-Name: M. Du Preez Author-X-Name-First: M. Author-X-Name-Last: Du Preez Author-Name: R. Haines Author-X-Name-First: R. Author-X-Name-Last: Haines Title: The Economic Contribution of the Ocean Sector in South Africa Abstract: The contribution of the ocean sector in South Africa is of interest to many - from researchers of ocean resources and environments to firms using the ocean and government departments and nongovernmental organizations with interest in, or responsibility for, the ocean resources and environment. For the purpose of identifying the overall economic contribution this paper describes and applies alternative methods of apportioning GDP into ocean and non-ocean parts. One method uses ocean closeness as the reference for apportioning GDP. It has been estimated that in 1995 the ocean sector contributed about 33% of South Africa's GDP. A major weakness of the closeness to ocean basis for apportioning GDP is that many of the economic activities taking place near to the ocean use little, if anything, of the ocean resources and its environment as inputs in production. A preferred method of identifying ocean and non-ocean parts of GDP is to divide the value added per economic sub-sector (and sub-set) into ocean and non-ocean parts and summing the ocean parts. This method is outlined and demonstrated using South African data for the 2010 year at the third digit level of the standard industrial classification code list (ICCL or SIC). It is found that in 2010 the overall contribution of the ocean-linked sector to GDP was about 4.4 per cent. Journal: Studies in Economics and Econometrics Pages: 65-82 Issue: 2 Volume: 38 Year: 2014 Month: 8 X-DOI: 10.1080/10800379.2014.12097268 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097268 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:2:p:65-82 Template-Type: ReDIF-Article 1.0 Author-Name: A. Dicks Author-X-Name-First: A. Author-X-Name-Last: Dicks Author-Name: W.J. Conradie Author-X-Name-First: W.J. Author-X-Name-Last: Conradie Author-Name: T. de Wet Author-X-Name-First: T. Author-X-Name-Last: de Wet Title: Value At Risk Using Garch Volatility Models Augmented With Extreme Value Theory Abstract: Accurate estimation of Value at Risk (VaR) and Expected Shortfall ( ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be large.Both symmetric and non-symmetric GARCH stochastic volatility models are investigated as traditional methods to estimate 99% 10 day VaR and ES. Some important practical problems in GARCH model fitting are highlighted, especially the convergence of these models when the sample period contains extreme return observations. As a solution, Extreme Value Theory (EVT) models that focus especially on extreme market returns are considered. The Peaks Over Threshold (POT) approach is followed and a proposal is provided for the scaling of one day to ten day estimates.As a novel approach, this paper considers the augmentation of the GARCH models with EVT forecasts during periods where the first do not converge. Various combinations are investigated and applied to the JSE Financials Index (J580). Model performance is judged by the actual number of VaR and ES violations compared to the expected number, where the latter is taken as the number of return observations multiplied by 0.01. This augmentation approach provided impressive results for the data under consideration, although it is also clear that no single forecasting model is universally optimal and that the choice will depend on the nature of the data. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 3 Volume: 38 Year: 2014 Month: 12 X-DOI: 10.1080/10800379.2014.12097269 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097269 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:3:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: S. du Plessis Author-X-Name-First: S. Author-X-Name-Last: du Plessis Author-Name: A. Freytag Author-X-Name-First: A. Author-X-Name-Last: Freytag Title: The Adjustment of Current Account (Im-)Balances in Africa Abstract: Large current account imbalances are perceived to be a macroeconomic risk. Consequently a reversal (especially of a deficit) is often regarded as good in itself, and is frequently pursued as a policy objective or as part of reform programme. This perception is surprising in light of the intertemporal approach to the balance of payments, where international borrowing and lending - and therefore current account imbalances - result from rational economic decisions with a time dimension. But the theory does not settle the matter. Hence, this paper investigates the actual experience of current account reversals in Africa, the region where current account imbalances have been the largest (relative to GDP) in recent decades. We identify periods of current account reversal (both deficits and surpluses) and identify the associated development in real GDP growth, the real effective exchange rate, inflation, investment and aid inflows, both prior to and following the reversal. These results are compared with a control group. The results do not suggest that these reversals have been associated with either disruptive business cycle episodes or other macroeconomic risks in the sample group. Journal: Studies in Economics and Econometrics Pages: 19-38 Issue: 3 Volume: 38 Year: 2014 Month: 12 X-DOI: 10.1080/10800379.2014.12097270 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097270 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:3:p:19-38 Template-Type: ReDIF-Article 1.0 Author-Name: R. Mussa Author-X-Name-First: R. Author-X-Name-Last: Mussa Title: Extending the Oaxaca-Blinder Decomposition to the Independent Double Hurdle Model: With Application to Parental Spending on Education in Malawi Abstract: The study develops the Blinder-Oaxaca decomposition technique for the independent double hurdle model. The proposed decomposition is done at the aggregate level. Using the Second Malawi Integrated Household Survey (IHS2), the paper applies the proposed decomposition to explain the rural-urban difference in parental spending on own primary school children. The results show that at least 66% of the expenditure differential is explained by differences in characteristics between rural and urban households. Journal: Studies in Economics and Econometrics Pages: 39-54 Issue: 3 Volume: 38 Year: 2014 Month: 12 X-DOI: 10.1080/10800379.2014.12097271 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097271 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:3:p:39-54 Template-Type: ReDIF-Article 1.0 Author-Name: E. Calitz Author-X-Name-First: E. Author-X-Name-Last: Calitz Author-Name: S.A. du Plessis Author-X-Name-First: S.A. Author-X-Name-Last: du Plessis Author-Name: F.K. Siebrits Author-X-Name-First: F.K. Author-X-Name-Last: Siebrits Title: Fiscal Sustainability in South Africa: Will History Repeat Itself? Abstract: Several empirical studies have found that fiscal policy has been sustainable in South Africa since 1960. This paper complements these studies by providing perspective on the manner in which fiscal sustainability was maintained. It discusses two episodes of significant increases and one period of substantial reduction in the public debt burden to show that periods of rising deficits and government debt in South Africa were followed by returns to sustainable levels, thereby preventing major domestic economic crises and external interventions. The paper also provides a projection of the fiscal outlook for South Africa based on a structural VAR model. The results suggest that the discretionary fiscal decisions of 2007 to 2010 might pose a serious threat to the sustainability of fiscal policy unless the authorities respond as they did in the past by checking large budget deficits and concomitant rapid increases in the public debt burden promptly. Journal: Studies in Economics and Econometrics Pages: 55-78 Issue: 3 Volume: 38 Year: 2014 Month: 12 X-DOI: 10.1080/10800379.2014.12097272 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097272 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:3:p:55-78 Template-Type: ReDIF-Article 1.0 Author-Name: D. Maxwell Author-X-Name-First: D. Author-X-Name-Last: Maxwell Author-Name: G. van Vuuren Author-X-Name-First: G. Author-X-Name-Last: van Vuuren Title: A Review and Update of Value at Risk Abstract: Large bank losses in the mid-1980s resulted in financial risk management - as a distinct professional activity - becoming increasingly important. Several statistical techniques have since evolved to measure and manage market risk, of which Value at Risk (VaR) remains highly popular. Even the recently (2013) proposed expected shortfall metric by the Basel Committee still requires VaR as benchmark. No universally-accepted method exists for VaR's calculation, but the technique remains widely used. This article reviews several computational variations of VaR, as well as assessing some assumptions employed by each model. Finally, each variations performance is measured at various confidence levels using equity portfolios in two different financial milieus and periods of market volatility. Journal: Studies in Economics and Econometrics Pages: 79-102 Issue: 3 Volume: 38 Year: 2014 Month: 12 X-DOI: 10.1080/10800379.2014.12097273 File-URL: http://hdl.handle.net/10.1080/10800379.2014.12097273 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:38:y:2014:i:3:p:79-102 Template-Type: ReDIF-Article 1.0 Author-Name: C. May Author-X-Name-First: C. Author-X-Name-Last: May Title: Copious Structural Shifts in Exchange Rates of the South African Rand (Post-1994) Abstract: There is a theoretical case for real exchange rates to be stationary, but conventional unit root tests generally find nonstationarity in most economic data expressed in nominal terms; exchange rates in particular. Perron (1989) questioned the latter interpretation on the basis that the presence of a unit root may be a manifestation of not allowing for structural change - a finding reaffirmed later by Zivot and Andrews (1992) and Clemente, Montanes, and Reyes (1998) when single and double sudden and gradual endogenous breakpoints are accounted for in unit root tests. This paper considers testing for structural breaks and unit roots - in the presence of structural shifts - in the univariate data generating process (DGP) of the key nominal foreign exchange rates of the South African rand. Additionally, the connexions between the timing of the structural shifts and important economic and noneconomic events are explored. The key findings show overwhelming support for structural shifts in the DGP and nonstationarity across all exchange rates examined - even after accounting for structural change. The convergence of the t-statistics for the yen/rand towards their critical values when at most two breaks are allowed for in the unit root tests is also a significant discovery; suggesting that stationarity is a possibility contingent on the sample period selected and the true number of breaks incorporated in the tests. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 1 Volume: 39 Year: 2015 Month: 4 X-DOI: 10.1080/10800379.2015.12097274 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097274 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:1:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: P. C. Wa Cipamba Author-X-Name-First: P. C. Author-X-Name-Last: Wa Cipamba Title: The Export-Output Relationship in South Africa: An Empirical Investigation. Abstract: This study re-investigates the empirical relationship between exports and economic growth in South Africa using econometric techniques of co-integration and Granger causality over the period 1970Q1-2012Q4. Empirical findings are summarized as follows: (i) there exists a single co-integrating vector among variables; (ii) Granger causality based on a Vector Error Correction model reveals the existence of short and long run bi-directional causality between export and GDP growth; (iii) Granger causality based on the Toda- Yamamoto procedure confirms that export Granger causes GDP in the long run and vice versa. (iv) The analysis of impulse responses suggests that real GDP reacts positively to changes in exports. Overall, the empirical findings of this study support the validity of export-led growth hypothesis as well evidence of growth-driven export in the case of South Africa. The implications for policy include boosting and implementing measures that aim at stimulating both production for exports and output growth. Journal: Studies in Economics and Econometrics Pages: 25-46 Issue: 1 Volume: 39 Year: 2015 Month: 4 X-DOI: 10.1080/10800379.2015.12097275 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097275 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:1:p:25-46 Template-Type: ReDIF-Article 1.0 Author-Name: J.J. Szczygielski Author-X-Name-First: J.J. Author-X-Name-Last: Szczygielski Author-Name: C. Chipeta Author-X-Name-First: C. Author-X-Name-Last: Chipeta Title: Risk Factors in Returns of the South African Stock Market Abstract: This paper employs a multifactor model motivated by the Arbitrage Pricing Theory (APT) to describe the time series behaviour of the South African stock market as represented by the JSE All-Share Index. Factors representative of eight risk factor categories are considered, namely inflation, real activity, the money supply, interest rates, commodities, exchange rates, business cycles indicators and international market indices. These categories are then represented in the return generating process. The results indicate that the South African stock market is influenced by movements in international markets, inflation, inflation expectations, real activity, the money supply, oil prices, exchange rates and cyclical variations in the business cycle. Furthermore, the Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) model framework is found to be a more appropriate econometric framework relative to the Least Squares framework (LS) for models of the return generating process of South African stock returns. Journal: Studies in Economics and Econometrics Pages: 47-70 Issue: 1 Volume: 39 Year: 2015 Month: 4 X-DOI: 10.1080/10800379.2015.12097276 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097276 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:1:p:47-70 Template-Type: ReDIF-Article 1.0 Author-Name: A. Nsabimana Author-X-Name-First: A. Author-X-Name-Last: Nsabimana Author-Name: M.K. Ocran Author-X-Name-First: M.K. Author-X-Name-Last: Ocran Title: Money Demand Stability and Inflation Prediction in the EAC Countries: Burundi, Kenya, Rwanda, Tanzania, and Uganda Abstract: In this study, we estimated to what extent monetary quantities such as M3 money overhang (excess money stock), M3 money stock growth, and M3 money stock available in the economy are useful in predicting future inflation in the East African Community (EAC) countries. To investigate this, we used Johansen cointegration analysis to estimate and analyse the stability of the M3 money demand model for each country member of the EAC. From this estimation, we derived a country-specific measure of money overhang. We compared its forecasting power of future inflation with that of money stock growth, and money stock available in the economy. Over the study period (from 2000 to 2012), except for Uganda, we identified a reasonable and stable country-specific M3 money demand model. Also, for predicting future inflation, the estimation results showed that M3 money stock growth is more reliable in Burundi and in Kenya, while M3 money overhang is preferable in Rwanda and M3 money stock in Tanzania. Journal: Studies in Economics and Econometrics Pages: 71-98 Issue: 1 Volume: 39 Year: 2015 Month: 4 X-DOI: 10.1080/10800379.2015.12097277 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097277 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:1:p:71-98 Template-Type: ReDIF-Article 1.0 Author-Name: B. De Beer Author-X-Name-First: B. Author-X-Name-Last: De Beer Author-Name: L. Rangasamy Author-X-Name-First: L. Author-X-Name-Last: Rangasamy Title: Some Impacts of South African FDI Flows on the Current Account Balance Abstract: There has been a significant surge in capital flows to emerging market economies over the last decade. This paper analyses South Africa’s experience with FDI flows. The paper highlights the South African experience in an international comparative context. The results indicate that South Africa has performed below-par (on-par) with comparator countries in terms of FDI inflows (outflows). Since 2004, the South African economy has become increasingly dependent on capital inflows to finance the widening current account deficit. While FDI inflows have been much smaller than portfolio flows, net dividend payments on FDI flows (non-fdi flows) made up 36 per cent (15 per cent) of the current account deficit for the period 2004 to 2012. Unless there is a significant rise (decline) in the exports (imports) of goods and services, the South African economy will be dependent on foreign capital inflows to offset the investment income repayments and the current account deficit. The policy challenge is to promote FDI that enhances exports production and economic growth. In this regard, the nature of the FDI, the manner in which it is funded and the impact on the current account and economic growth are important characteristics that warrant special attention when devising policies to promote FDI inflows. Journal: Studies in Economics and Econometrics Pages: 99-116 Issue: 1 Volume: 39 Year: 2015 Month: 4 X-DOI: 10.1080/10800379.2015.12097278 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097278 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:1:p:99-116 Template-Type: ReDIF-Article 1.0 Author-Name: D. Page Author-X-Name-First: D. Author-X-Name-Last: Page Author-Name: J. Britten Author-X-Name-First: J. Author-X-Name-Last: Britten Author-Name: C. Auret Author-X-Name-First: C. Author-X-Name-Last: Auret Title: Rand Hedge as an Investment Strategy on the JSE Abstract: This study examines the performance of Rand Hedge shares on the Johannesburg Stock Exchange (JSE) and investigates the impact of fluctuations in the dollar-Rand exchange rate (hereafter USDZAR) using a risk-based framework. The exchange rate beta is used as the sole determinant for classifying shares into three portfolios namely, Rand Hedge, Rand Neutral and Rand Tracker. Over the period January 1996 to December 2013, Rand Hedge shares typically underperformed Rand Neutral and Rand Tracker shares. Therefore, from a pure investment perspective, a Rand Hedge investment strategy does not offer significant alpha. However, the results of the time series regressions and vector auto-regression (VAR) analysis indicate that Rand Hedge shares hedge against exchange rate shocks and significant Rand depreciations. As a result, Rand Hedge shares offer investors protection from currency-induced tail-risk, thereby mitigating extreme currency devaluations. This suggests that the pattern of returns realised by the Rand Hedge portfolio are driven by a currency specific risk factor. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 2 Volume: 39 Year: 2015 Month: 8 X-DOI: 10.1080/10800379.2015.12097279 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097279 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:2:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: V.I. Gorlach Author-X-Name-First: V.I. Author-X-Name-Last: Gorlach Author-Name: P. le Roux Author-X-Name-First: P. Author-X-Name-Last: le Roux Title: The Impact of Economic Freedom on Economic Growth in the SADC: An Individual Component Analysis Abstract: The SADC is attempting to achieve development and economic growth. This paper investigates the relationship between economic freedom - in aggregate and on an individual component basis - on economic growth in the SADC. The annual data for 13 SADC countries from 2000 to 2009 are used to construct a generalised method of moments, dynamic panel-data model. When cross-sectional dependence of the error term, individual- and timespecific effects are controlled, economic freedom and GDP per capita are positively related and freedom Granger-causes growth. Gross fixed capital formation and economic openness are positively related to growth but government consumption expenditure is an insignificant driver of growth in the SADC. All five individual components are highly significant and are positively related to growth; however, the magnitude of the elasticity parameters varies. The causality among the individual freedom components indicates that linkages exist between certain of these components1. Journal: Studies in Economics and Econometrics Pages: 41-63 Issue: 2 Volume: 39 Year: 2015 Month: 8 X-DOI: 10.1080/10800379.2015.12097280 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097280 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:2:p:41-63 Template-Type: ReDIF-Article 1.0 Author-Name: C. Roelofse Author-X-Name-First: C. Author-X-Name-Last: Roelofse Title: Security Expenditure: Cost Benefit Analyses Based on the Quantified Crime Hypothesis Abstract: The article explains the development and application of a model, based on the expanded crime hypothesis proposed by Coetzee (1989). The model enables analysts to perform a cost-benefit analysis on security expenditure as expressed by a Return on Investment. Security is an important part of modern societies. Crime rates, especially in South Africa, have forced organisations, businesses, individuals and even the state to employ security guards and to install, security hardware and technology. Burger (2014:1) raised the point that 74% of business executives in South Africa indicated that rising security costs is a great concern. The frequency was 45% in 2005. Security expenditure is a great concern for executives and often decision-makers struggle with the problem whether money spent on security has any benefits. Part of the problem of justifying expenditure is that the industry lacks a reliable model to calculate cost-benefits. This article's aim is to provide industry-standard terminology and to develop a cost efficiency model culminating in a model to calculate a Return on Investment on security expenditure. The cost-efficiency model is based on an integration of a number of disciplines and fields of study, notably, criminology, probability and finance. The outcome is a model for which the author developed a number of formulae that can be used to calculate a return on investment for security expenditure. Journal: Studies in Economics and Econometrics Pages: 63-86 Issue: 2 Volume: 39 Year: 2015 Month: 8 X-DOI: 10.1080/10800379.2015.12097281 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097281 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:2:p:63-86 Template-Type: ReDIF-Article 1.0 Author-Name: D.W. Uys Author-X-Name-First: D.W. Author-X-Name-Last: Uys Author-Name: E.J.T. Alant Author-X-Name-First: E.J.T. Author-X-Name-Last: Alant Title: Predicting the Highest Grade Most Likely to Be Reached By a Learner in the South African Education System Abstract: We propose the use of a statistical model to predict the highest grade most likely to be reached by a learner in the South African school system. The method is based on promotion, repetition and dropout rates of learners, and makes a valuable contribution in the context of claims against the Road Accident Fund (RAF) as well as in medical malpractice cases. Forensic psychologists are likely to derive value from this method during the process of compiling reports for such claims. Journal: Studies in Economics and Econometrics Pages: 87-103 Issue: 2 Volume: 39 Year: 2015 Month: 8 X-DOI: 10.1080/10800379.2015.12097282 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097282 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:2:p:87-103 Template-Type: ReDIF-Article 1.0 Author-Name: G. van Vuuren Author-X-Name-First: G. Author-X-Name-Last: van Vuuren Author-Name: R. Yacumakis Author-X-Name-First: R. Author-X-Name-Last: Yacumakis Title: Hedge Fund Performance Evaluation Using the Kalman Filter Abstract: In the capital asset pricing model, portfolio market risk is recognised through β while α summarises asset selection skill. Traditional parameter estimation techniques assume time-invariance and use rolling-window, ordinary least squares regression methods. The Kalman filter estimates dynamic αs and βs where measurement noise covariance and state noise covariance are known - or may be calibrated - in a state-space framework. These time-varying parameters result in superior predictive accuracy of fund return forecasts against ordinary least square (and other) estimates, particularly during the financial crisis of 2008/9 and are used to demonstrate increasing correlation between hedge funds and the market. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097283 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097283 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: J. de Klerk Author-X-Name-First: J. Author-X-Name-Last: de Klerk Title: Adapting the Singular Spectrum Analysis Trajectory Matrix Technique to Identify Multiple Additive Time-Series Outliers Abstract: Singular spectrum analysis is a powerful non-parametric time series method that unfolds an observed time series into a special structured matrix, called a trajectory matrix. The trajectory matrix has a Hankel structure, whereby off-diagonal elements are non-unique. Singular value decomposition is then applied to the trajectory matrix to extract time series structures. The method can handle complex time series structures that include combinations of polynomials, sinusoids and exponentials. Time series structures that SSA can handle are very typical of seasonal series researched by economists and econometricians alike. The possible presence of multiple additive time series outliers can adversely affect time series forecasting and construction of bootstrap results. An additive time series outlier typically involves a single time series observation which either resulted due to some recording error or temporal shock (upwards/downwards) to the time series at a specific time. When more than a single additive outlier is present in a time series, we are faced with multiple additive outliers. An algorithm is proposed in this paper whereby Robust Principal Component Analysis (ROBPCA) methods are applied to the trajectory matrix, in order to identify multiple additive outliers and also estimate their size and appropriate imputations, based on the underlying time series structure. The procedure is iterative in the sense that, following identification of a single additive outlier, a signal processing procedure (Cadzow signal reconstruction) is used to impute identified outliers at each stage of the iterations. Monte Carlo simulations are used to illustrate the effectiveness of the iterative approach to handle identification of multiple additive time series outliers. The practical usefulness of the method is also illustrated by application to a real-life time series containing multiple additive outliers in a South African tourism time series. Journal: Studies in Economics and Econometrics Pages: 25-48 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097284 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097284 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:25-48 Template-Type: ReDIF-Article 1.0 Author-Name: P.L. la Grange Author-X-Name-First: P.L. Author-X-Name-Last: la Grange Author-Name: J.D. Krige Author-X-Name-First: J.D. Author-X-Name-Last: Krige Title: Profitability of Momentum Strategies on the JSE Abstract: This study evaluates the profitability of practical momentum strategies on the Johannesburg Stock Exchange (JSE) over the period January 1998 to May 2013 and compares the risk-adjusted return that could be achieved with the ALSI40. The study finds that, even after adjusting for risk and including transaction costs, momentum strategies provide abnormal annualised returns of up to 8.7% in excess of the benchmark. The effect of the portfolio start date is also evaluated and although there is some evidence of a calendar year effect, the momentum strategies continue to provide robust returns. Next, the study attempts to improve the return of momentum strategies by implementing a fixed stop-loss arrangement, without a meaningful improvement in returns. Finally, the momentum strategy is combined with other financial ratios, resulting in an improvement in annualised risk-adjusted returns of up to 14.1% in excess of the benchmark. Journal: Studies in Economics and Econometrics Pages: 49-66 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097285 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097285 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:49-66 Template-Type: ReDIF-Article 1.0 Author-Name: S.E. Terblanche Author-X-Name-First: S.E. Author-X-Name-Last: Terblanche Author-Name: J.H. Venter Author-X-Name-First: J.H. Author-X-Name-Last: Venter Title: Profitability of Short Term Reversal Strategies on the Johannesburg Stock Exchange Abstract: Short term reversal strategies involve the frequent buying (or selling) of l oser (or winner) stocks in order to profit in the short run if prices revert. Several studies report profitability of these strategies while others reject profitability due to trading costs. This study reports profitability of a short term reversal rule when trading in large capitalization Johannesburg Stock Exchange listed stocks, while allowing for trading costs and taking trade execution skills into account. Evaluation of the performance of the rule is done in terms of newly introduced reward and risk measures based on daily cash flows and market exposures respectively. Journal: Studies in Economics and Econometrics Pages: 67-92 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097286 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097286 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:67-92 Template-Type: ReDIF-Article 1.0 Author-Name: N. Mupunga Author-X-Name-First: N. Author-X-Name-Last: Mupunga Author-Name: P. Le Roux Author-X-Name-First: P. Author-X-Name-Last: Le Roux Title: Analysing the Effects of Macroeconomic Shocks on Public Debt in Zimbabwe Abstract: This paper analyses the impact of macroeconomic shocks on public debt in Zimbabwe. Understanding the impact of macroeconomic shocks on public debt is necessary as this allows debt managers to focus on a public debt structure which limits the potential of debt from deviating from its long-run steady state. The study applied the Bayesian Vector Auto regression (BVAR) model to simulate the impact of macroeconomic shocks on public debt. The results show that Zimbabwe’s public debt is more vulnerable to interest rate, exchange rate, economic growth and primary balance shocks. Together these shocks account for about 61 per cent of forecast error variation in the debt to GDP ratio. From this analysis, the major policy implication is the need for government to pay particular attention to automatic debt dynamics. There is also a need to maintain the primary balance at manageable levels as well as instituting growth enhancing policies to ensure long-term sustainability of public debt. The need for appropriate selection of the currency composition of public debt is also necessary to mitigate the risk of unexpected increases in public debt from adverse external sector developments. Journal: Studies in Economics and Econometrics Pages: 93-116 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097287 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097287 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:93-116 Template-Type: ReDIF-Article 1.0 Author-Name: R.S. Dauda Author-X-Name-First: R.S. Author-X-Name-Last: Dauda Author-Name: J.M. Aziakpono Author-X-Name-First: J.M. Author-X-Name-Last: Aziakpono Title: Population Dynamics and Economic Outcomes in West Africa Abstract: In recent times, there appears to have been a resurgence in research investigating the effects of population dynamics on economic outcomes in different regions of the world. This has further been inspired by the performance of some Asian economies, where the demographic transition has been observed to play a prominent role. Most African countries are beginning to experience declining fertility and mortality rates. This is expected to enhance economic outcomes. It is against this backdrop that the present study attempts to examine the effect of population dynamics (declining fertility and mortality, growth of population and labour force) on economic growth in West Africa over the period 1970 to 2011. A panel data modelling approach was employed, using fixed effects and random effects estimation techniques. The findings revealed that the demographic transition is beginning to yield positive and significant effects on growth in the region, while some negative effect through mortality remains. Specifically, growth rates of fertility, labour force and population enhanced economic growth, while infant mortality growth lowered the level of output in West Africa. To maximize the gains from the demographic transition, the study recommends, among other things, increased investment in education and training of the younger population to enhance their productivity. Journal: Studies in Economics and Econometrics Pages: 117-145 Issue: 3 Volume: 39 Year: 2015 Month: 12 X-DOI: 10.1080/10800379.2015.12097288 File-URL: http://hdl.handle.net/10.1080/10800379.2015.12097288 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:39:y:2015:i:3:p:117-145 Template-Type: ReDIF-Article 1.0 Author-Name: G. Farrell Author-X-Name-First: G. Author-X-Name-Last: Farrell Title: Countercyclical Capital Buffers and Real-Time Credit-To-GDP Gap Estimates: A South African Perspective Abstract: Countercyclical capital buffers are intended to protect the banking sector and the broader economy from episodes of excessive credit growth, which have been associated with financial sector procyclicality and the build-up of systemic risk. The Basel Committee on Banking Supervision has suggested in its guidance to national authorities that the credit-to-GDP gap be used as a guide to taking decisions regarding the countercyclical capital buffer. This paper provides a South African perspective on the implementation of this guidance. Credit-to-GDP gaps are estimated by applying Hodrick-Prescott filters to real-time South African data, specifically constructed for this study, and these gaps are mapped to countercyclical buffers. The properties of these estimates are compared, and the calibration of the lower and upper thresholds of the buffer in the South African case is also investigated. The study confirms that the mechanical application of the credit-to-GDP guide is not advisable, and raises a number of issues that policymakers will have to consider when implementing the countercyclical buffer guidance. The analysis also suggests that the calibration of the lower and upper thresholds for the gaps may need to be adjusted in the South African case if the Basel Committee's expectation that the buffers be employed only every 10-20 years is to be met. Journal: Studies in Economics and Econometrics Pages: 1-20 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097289 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097289 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: V.A. Mashiqa Author-X-Name-First: V.A. Author-X-Name-Last: Mashiqa Author-Name: T. Mokoaleli-Mokoteli Author-X-Name-First: T. Author-X-Name-Last: Mokoaleli-Mokoteli Author-Name: P. Alagidede Author-X-Name-First: P. Author-X-Name-Last: Alagidede Title: Complementarity of Fundamental and Technical Analysis of JSE-Listed Stocks: An Empirical Appraisal Abstract: Extant studies on fundamental and technical analysis frequently focus on analysing each of the valuation techniques independently. This study constructs a hybrid of the two to determine whether this model can have a superior explanatory power to models based on each of the valuation techniques in isolation. The results confirm the complementarity of fundamental and technical analysis with the hybrid model delivering superior performance. Further, fundamental variables that play a significant role in explaining stock price movements of JSE listed stocks are noted to be the book value, cash flow, earnings and dividends per share. Journal: Studies in Economics and Econometrics Pages: 21-40 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097290 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097290 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:21-40 Template-Type: ReDIF-Article 1.0 Author-Name: T. Petousis Author-X-Name-First: T. Author-X-Name-Last: Petousis Author-Name: G.D.I. Barr Author-X-Name-First: G.D.I. Author-X-Name-Last: Barr Title: Nelson Siegel Parameterisation of the South African Sovereign Yield Curve: A Link to the Rand Exchange Rate and Jse Sectors Abstract: This paper applies the Nelson Siegel (NS) parameterisation framework adopted by Diebold and Li (2006) to model the 10-year South African Government yield curve over the period February 2005 to October 2014, producing R-squared values exceeding 80% in 77% of the 117 months falling within the sample period. It goes on to consider the addition of a further “Svensson curvature parameter” over and above the NS Level, Slope, and Curvature factors but concludes that the inclusion of an additional parameter is not statistically justified. These NS parameter estimates, along with a residual rand exchange rate factor, are then used to estimate models of the key Johannesburg Stock exchange indices in return form. The paper is able to show that particular sectors are consistently related to particular NS parameter estimates over the period of analysis and, for example, is able to conclude that share return weakness in the case of “Rand Play” sectors such as Financials, Listed Property and Retail (which occur during periods of rand weakness) takes place only when the bond market is simultaneously selling off. The analysis points to a model of broader- based risk-off market sentiment towards South African assets (currency, equities, and bonds) rather than the often-applied onedimensional, standalone currency effect. Journal: Studies in Economics and Econometrics Pages: 41-70 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097291 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097291 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:41-70 Template-Type: ReDIF-Article 1.0 Author-Name: C. Chipeta Author-X-Name-First: C. Author-X-Name-Last: Chipeta Author-Name: C. Deressa Author-X-Name-First: C. Author-X-Name-Last: Deressa Title: Financial Reforms and Firm Performance on the Johannesburg Stock Exchange Abstract: This paper examines the effects of financial reforms on the operating and financial performance of firms listed on the Johannesburg Stock Exchange (JSE). Using panel data estimation models, the results show; firstly, that the combined effect of the stock market liberalisation waves that commenced with the lifting of international sanctions is associated with a statistically significant increase in average shareholder returns. Secondly, the stock market reforms that commenced with the introduction of the electronic trading system are associated with improved financial performance. Thirdly, the first and second waves of stock market liberalisation cause large firms to increase their financial performance. However this trend reverses after the third wave of stock market liberalisation. Fourthly, the liberalisation of the capital account is associated with a significant increase in the probability for firms to become highly levered, thus increasing the possibility of these firms to become financially constrained. Lastly, firm specific characteristics play a significant role in explaining the variability in the probability for firms to become financially constrained (unconstrained). Journal: Studies in Economics and Econometrics Pages: 71-94 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097292 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097292 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:71-94 Template-Type: ReDIF-Article 1.0 Author-Name: N. Mupunga Author-X-Name-First: N. Author-X-Name-Last: Mupunga Author-Name: P. Le Roux Author-X-Name-First: P. Author-X-Name-Last: Le Roux Title: Analysing the Theoretical and Empirical Foundations of Public Debt Dynamics in Zimbabwe Abstract: This paper provides an analysis of the theoretical and empirical foundations of public debt dynamics in Zimbabwe. The analysis was undertaken by applying the debt dynamics equation that enables estimating the required primary balance, building on the government inter-temporal budget constraint to infer the factors that influence public debt, as well as to ascertain specific policy issues required to ensure a sustainable public debt structure. The results show that debt dynamics in Zimbabwe are largely composed of huge stock flow adjustments to finance social and political related expenditures. Results also indicate that the output gap had a significant influence on public debt dynamics in Zimbabwe. As such, the results underscore the need for prudent debt management to guard against unexpected changes in public debt, which are not explained by fundamentals. The major policy implication from the study is the need to minimize the interest rate growth differential and to implement growth enhancing fiscal policies to ensure a sustainable long term public debt position. Journal: Studies in Economics and Econometrics Pages: 95-118 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097293 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097293 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:95-118 Template-Type: ReDIF-Article 1.0 Author-Name: S.J Retief Author-X-Name-First: S.J Author-X-Name-Last: Retief Author-Name: M. Pretorius Author-X-Name-First: M. Author-X-Name-Last: Pretorius Author-Name: I. Botha Author-X-Name-First: I. Author-X-Name-Last: Botha Title: Comparing Linear and Non-Linear Benchmarks of Exchange Rate Forecasting Abstract: Throughout the past 3 decades, the random walk model served as exchange rate forecasting benchmark to verify that a model is able to outperform a random process. However, its application as forecasting benchmark is contradictory. Rather than serving as a benchmark that explains exchange rate behaviour, it serves as a benchmark of what we do not understand in exchange rate forecasting - the random component. In order to accommodate for the observed mean reverting and non-linear patterns in exchange rate information, this study considers various univariate models to serve as linear or nonlinear benchmarks of exchange rate forecasting. The results of forecasting performance indicate that the random walk model is an insufficient benchmark to explain exchange rate movements for nonstatic models. As linear alternative, an autoregressive model performed best to explain the mean reverting patterns in exchange rate information for quarterly, monthly and weekly forecasts of the exchange rate. As non-linear alternative, a Kernel regression was best able to explain volatile exchange rate movements associated with daily forecasts of the exchange rate. Journal: Studies in Economics and Econometrics Pages: 119-138 Issue: 1 Volume: 40 Year: 2016 Month: 4 X-DOI: 10.1080/10800379.2016.12097294 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097294 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:1:p:119-138 Template-Type: ReDIF-Article 1.0 Author-Name: J. Britten Author-X-Name-First: J. Author-X-Name-Last: Britten Author-Name: D. Page Author-X-Name-First: D. Author-X-Name-Last: Page Author-Name: C. Auret Author-X-Name-First: C. Author-X-Name-Last: Auret Title: Investigating the Interaction Between Long-Term Reversal and value on the JSE Abstract: This study examines the overreaction hypothesis wherein investors overweight current events and underweight historical information. It tests whether price-based overreaction is present on the cross-section of shares on the JSE and further attempts to identify whether overreaction can be used as a blanket theory for both long-term reversal and the value premium. The authors examine monthly price and accounting data of all JSE listed shares over the period 1 January 1998 to 30 June 2013. The results show that profits attributable to historical winner portfolios decline while historical loser portfolios begin generating returns in excess of their winner counterparts as holding periods are extended beyond 12 months. The findings contradict previous literature as the interaction between long-term reversal and value (proxied by book to market) appears to be weak. Over the sample period, the best performing portfolios were the high value, high momentum portfolios while the most consistent evidence of long-term reversal was found in the medium value extreme loser portfolios. This is the first study to investigate the interaction between the value premium and long term reversal on South African data. This study improves on earlier research by employing the zero daily trade liquidity filter and combining price-based and accounting-based tests to isolate the effect of overreaction. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097295 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097295 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: F. Bhoola Author-X-Name-First: F. Author-X-Name-Last: Bhoola Author-Name: J. Rossouw Author-X-Name-First: J. Author-X-Name-Last: Rossouw Author-Name: F. Joubert Author-X-Name-First: F. Author-X-Name-Last: Joubert Author-Name: B.N. Iyke Author-X-Name-First: B.N. Author-X-Name-Last: Iyke Title: On the Accuracy of the Private Sector Macroeconomic Forecasts of the South African Economy Abstract: This paper evaluates the forecasting accuracy of private sector forecasters who participate in the annual “Media24 Economist of the Year” forecasting competition in South Africa. Our primary aim is to examine whether the accuracy of private sector forecasters improved over time, particularly their ability to predict the 2008/2009 recession and whether there was a distinct change in forecasting accuracy along this turning point of the business cycle. Our estimates from a forecasting error measure known as Theil's U-Statistic show that, on the average, the Root Weighted Mean Squared Error (RWMSE) of the growth forecast for the current period was 0.62 of an adaptive-naïve forecast, whereas the inflation forecast was 0.71 of an adaptive-naïve forecast. In order to determine whether there was an improvement in forecasting accuracy after the recession, we segregate the sample period along this break date and compare the size of the forecast errors between the two periods. To this end, we find that with respect to the growth predictions, there was a marginal reduction in the magnitude of the forecasting errors. However, in the case of inflation forecasts (both current and year-ahead), there was a marked reduction in the size of both the RWMSE and Theil's U-Statistic, implying that the post recessionary period was characterized by an improvement in accuracy of inflation forecasts made by the private sector. Furthermore, with respect to year-ahead forecasts, the results from both the nonparametric and the more formal parametric test allows us to reject the hypothesis of equality between the mean squared errors of the competing forecasts. Although the private sector forecasters were unable to accurately predict the recession, they were at the least able to produce forecasts that were more accurate than the adaptive-naïve model. Journal: Studies in Economics and Econometrics Pages: 25-52 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097296 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097296 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:25-52 Template-Type: ReDIF-Article 1.0 Author-Name: Y. Gopi Author-X-Name-First: Y. Author-X-Name-Last: Gopi Author-Name: D. Bradfield Author-X-Name-First: D. Author-X-Name-Last: Bradfield Title: A Note on the Predictive Power of the Variance Risk Premium: South African Evidence Benchmarked Against the USA Abstract: Recent international evidence on the Variance Risk Premium, defined as the difference between implied and realised return variation, shows that this metric has predictive power in forecasting aggregate stock market returns. This evidence seems to be strongest for the US market. In this article we conduct a study on the ability of the Variance Risk Premium to predict aggregate stock returns for both the US market and the South African market, allowing us to contrast our South African results against the US. Our empirical study using US data confirms the predictive power of the Variance Risk Premium in the US market. The evidence from our empirical study in the South African market however reveals little or no predictive power of South African market returns, even when combined with typical economic predictor variables. Thus the use of a South African Variance Risk Premium for predictive purposes in the South African environment is currently not supported by this research. Our analysis does however suggest that the US VRP does have some predictive power for the SA stock market, but that this relationship is period dependent and might not persist into the future. Journal: Studies in Economics and Econometrics Pages: 53-70 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097297 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097297 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:53-70 Template-Type: ReDIF-Article 1.0 Author-Name: D. Farhat Author-X-Name-First: D. Author-X-Name-Last: Farhat Title: The Performance of Artificial Neural Networks and Tier-Structured Information Transmission in Identifying Aggregate Consumption Patterns in New Zealand Abstract: This study explores the value of information transmission in training heterogeneous Artificial Neural Network (ANN) models to identify patterns in the growth rate of aggregate per-capita consumption spending in New Zealand. A tier structure is used to model how information passes from one ANN to another. A group of ‘tier 1’ ANNs are first trained to identify consumption patterns using economic data. ANNs in subsequent tiers are also trained to identify consumption patterns, but they use the patterns constructed by ANNs trained in the preceding tier (secondary information) as inputs. The model's results suggest that it is possible for ANNs downstream to outperform ANNs trained using empirical data directly on average. This result, however, varies from time period to time period. Increasing access to secondary information is shown to increase the similarity of heterogeneous predictions by ANNs in lower tiers, but not substantially affect average accuracy. Journal: Studies in Economics and Econometrics Pages: 71-86 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097298 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097298 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:71-86 Template-Type: ReDIF-Article 1.0 Author-Name: M. Some Author-X-Name-First: M. Author-X-Name-Last: Some Author-Name: N. Rashied Author-X-Name-First: N. Author-X-Name-Last: Rashied Author-Name: A. Ohonba Author-X-Name-First: A. Author-X-Name-Last: Ohonba Title: The Impact of Obesity on Employment in South Africa Abstract: Obesity is a growing health problem in South Africa. This health problem could have various implications for the South African economy. The aim of this paper is to investigate the impact of obesity on employment status in South Africa with the use of household survey data. The paper follows a quantitative research design that involves household survey data analysis through the use of a bivariate probit model to validate the relationship between obesity and employment. Data from the National Income Dynamic Study (NIDS), administered by the Southern African Labour and Development Research Unit (SALDRU), is used. The findings suggest that obesity has a negative impact on employment status in South Africa. Journal: Studies in Economics and Econometrics Pages: 87-104 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097299 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097299 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:87-104 Template-Type: ReDIF-Article 1.0 Author-Name: N. Moodley Author-X-Name-First: N. Author-X-Name-Last: Moodley Author-Name: C. Muller Author-X-Name-First: C. Author-X-Name-Last: Muller Author-Name: M. Ward Author-X-Name-First: M. Author-X-Name-Last: Ward Title: Director Dealings as an Investment Strategy Abstract: The Insider Trading Act of 1999 and Johannesburg Stock Exchange (JSE) regulations require transparency in director dealings. Directors are required to report all share trading in companies of which they are principals, and this information has been regarded as a signal to the market. We examine the value of this information, using 13 840 director trades and a portfolio time series approach from 2002 to 2013. Whereas most studies have used an event study methodology, we treat the problem primarily as an investment style, and using a trading rule approach we optimise the look-back and holding periods to show statistically and economically significant returns for investors who mimic director trades. When directors of companies report net acquisitions of shares over the preceding three months, investors who then purchase an equal weighted portfolio of the same shares, and hold these for four months, would have achieved an annualised return of 24.3% after transaction costs. When directors of companies report net disposals of shares over the preceding three months, investors who purchase a portfolio of the same shares, and hold these for three months, would have achieved an annualised return of 21.0% after transaction costs. Both of these strategies out-performed the comparable equal weighted benchmark return of 19.1% pa over the same period. We triangulate these results using an event-study methodology, and whilst we find similar results for investors following a directors’ purchasing strategy, the event study methodology shows that investors who purchase shares following a directors’ selling strategy would underperform. In both instances, the style analysis reveals that imitating directors’ trading lacked persistence after the global financial crisis of 2008, and we would not recommend either strategy. Journal: Studies in Economics and Econometrics Pages: 105-123 Issue: 2 Volume: 40 Year: 2016 Month: 8 X-DOI: 10.1080/10800379.2016.12097300 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097300 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:2:p:105-123 Template-Type: ReDIF-Article 1.0 Author-Name: S. Abel Author-X-Name-First: S. Author-X-Name-Last: Abel Author-Name: P. Le Roux Author-X-Name-First: P. Author-X-Name-Last: Le Roux Title: An Evaluation of the Nexus Between Banking Competition and Efficiency in Zimbabwe Abstract: This study investigates the relationship between cost and revenue efficiency, and competition in the banking system in Zimbabwe. Competition was approximated using the Lerner Index, and efficiency, using the data envelopment analysis. The Granger causality method was applied to determine the causal relationship between efficiency and competition. The study established that the banks operated under monopolistic competition during the period 2009-2014. The data envelopment analysis found that banks in Zimbabwe operate outside their revenue and cost efficiency potential, experiencing inefficiency levels of around 30 per cent. The Granger causality test suggests that revenue and cost efficiency positively Granger causes market power. This means that an increase in cost and revenue efficiency leads to a decline in competition, which implies that bank regulators face a tradeoff and should moderate their application of procompetitive policies. The results further suggest that competition positively impacts cost efficiency supporting the institution of procompetitive policies so as to stimulate cost efficiency. Journal: Studies in Economics and Econometrics Pages: 1-20 Issue: 3 Volume: 40 Year: 2016 Month: 12 X-DOI: 10.1080/10800379.2016.12097301 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097301 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:3:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: J. Kemp Author-X-Name-First: J. Author-X-Name-Last: Kemp Author-Name: B. Smit Author-X-Name-First: B. Author-X-Name-Last: Smit Title: Estimating and Explaining Changes in Potential Growth in South Africa Abstract: Estimates of potential output growth in SA have declined from over 3% prior to the Global Financial Crisis (GFC) to just over 2% currently. A similar slowdown has been experienced in several other countries, including most members of the G20. The purpose of this paper is to (i) estimate SA's level of potential output growth both before and after the GFC using a multivariate filter technique and (ii) attempt to explain the apparent decline in the growth potential by investigating the underlying drivers of potential GDP growth using a Cobb-Douglas- type production function. It is found that potential growth has declined to around 2.2% post-GFC. It is also determined that the biggest driver of the post-crisis decline in potential growth has been lower productivity growth. Journal: Studies in Economics and Econometrics Pages: 21-38 Issue: 3 Volume: 40 Year: 2016 Month: 12 X-DOI: 10.1080/10800379.2016.12097302 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097302 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:3:p:21-38 Template-Type: ReDIF-Article 1.0 Author-Name: M. Ntuli Author-X-Name-First: M. Author-X-Name-Last: Ntuli Author-Name: M. Chitiga-Mabugu Author-X-Name-First: M. Author-X-Name-Last: Chitiga-Mabugu Author-Name: S. Karuaihe Author-X-Name-First: S. Author-X-Name-Last: Karuaihe Author-Name: F. Alaba Author-X-Name-First: F. Author-X-Name-Last: Alaba Author-Name: E. Tsoanamatsie Author-X-Name-First: E. Author-X-Name-Last: Tsoanamatsie Author-Name: P. Kwenda Author-X-Name-First: P. Author-X-Name-Last: Kwenda Title: Gender Inequalities in Morbidity: A South African Investigation Abstract: International studies of gender differences in health status largely attest that women have worse health conditions than men, which compromise women's contribution to economic development. Using the South African Demographic and Health Survey of 2003, we investigate whether this disparity also holds in developing countries such as South Africa. Our results concur with previous findings that South African women are more likely to suffer from poor health than men. They also reveal that the health gap is largely driven by a relatively higher prevalence of health conditions among women, rather than by the severity of the conditions that they face. Furthermore, contrary to the common view that the health gap closes with age, we find that the gap exhibits little variation across age groups and it persists in old age. This suggests a need for preventive measures to reduce the occurrence of health conditions in South Africa - which is vital for economic development. Journal: Studies in Economics and Econometrics Pages: 39-64 Issue: 3 Volume: 40 Year: 2016 Month: 12 X-DOI: 10.1080/10800379.2016.12097303 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097303 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:3:p:39-64 Template-Type: ReDIF-Article 1.0 Author-Name: A. Bara Author-X-Name-First: A. Author-X-Name-Last: Bara Author-Name: G. Mugano Author-X-Name-First: G. Author-X-Name-Last: Mugano Author-Name: P. Le Roux Author-X-Name-First: P. Author-X-Name-Last: Le Roux Title: Financial Development and Economic Growth in the Southern African Development Community (SADC) Abstract: Studies on the finance-growth nexus span across generations. However, few researchers attempted studies on finance-growth in the Southern African Development Community (SADC) as a region. The existing studies do not consider the effect of financial reforms or the causality between finance and growth for SADC. The shift from wholesale to retail finance in support of small enterprises and increasing financial inclusion and financial innovation in the region justifies the need for a relook at the finance-growth nexus. This study seeks to establish the causal relationship between financial development and economic growth in the SADC region, factoring-in the role of financial reforms. Utilising Generalised Methods of Moments (GMM) Estimations and Panel OLS Estimation with Fixed and Random Effects, the study established that financial development has a negative effect on growth in SADC. Country heterogeneity, underdeveloped financial systems, non-performing loans, structure and distribution of credit in the SADC countries are influencing the relationship. A bi-directional causality between finance and growth was established, although demand-following causality proved to be stronger than the supply-leading causality. Addressing underlying structural issues in both the financial sector and overall macro economy of SADC countries may help in improving the relationship between finance and growth in the region. Journal: Studies in Economics and Econometrics Pages: 65-93 Issue: 3 Volume: 40 Year: 2016 Month: 12 X-DOI: 10.1080/10800379.2016.12097304 File-URL: http://hdl.handle.net/10.1080/10800379.2016.12097304 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:40:y:2016:i:3:p:65-93 Template-Type: ReDIF-Article 1.0 Author-Name: J.A. Carrasco-Gallego Author-X-Name-First: J.A. Author-X-Name-Last: Carrasco-Gallego Author-Name: S.B. Caudill Author-X-Name-First: S.B. Author-X-Name-Last: Caudill Author-Name: F.G. Mixon Author-X-Name-First: F.G. Author-X-Name-Last: Mixon Author-Name: R.J. Cebula Author-X-Name-First: R.J. Author-X-Name-Last: Cebula Title: Decomposition of Latent Class Regression Model Estimates: An Application to Hunting Land Lease Prices Abstract: Prior studies in agricultural and forestry economics that employ Blinder decomposition methods assume that each of the samples compared is characterized by a single regression function. The present study is the first to relax this assumption in order to allow for the existence of latent classes represented by different regression functions hidden within each sample. More specifically, we introduce the use of a latent-class or finite-mixture model to serve as a basis for Blinder-Oaxaca decompositions. Our method is applied to hunting land lease data from Mississippi (U.S.), and our results indicate that both the east and west regions of this state are best characterized by three regression functions, resulting in a total of fifteen possible pairwise decompositions. This finding allows us to decompose differences between two different east regimes or two different west regimes, in addition to the usual east-west decompositions. Our results reveal that a traditional prior analysis of these data characterizes (fails to characterize) about 35 percent (65 percent) of the sample. Our latent- class approach to decompositions can be applied to any circumstance where decompositions are needed and where model specification concerns loom large. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 1 Volume: 41 Year: 2017 Month: 4 X-DOI: 10.1080/10800379.2017.12097305 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097305 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: W.H. Boshoff Author-X-Name-First: W.H. Author-X-Name-Last: Boshoff Author-Name: J. Fourie Author-X-Name-First: J. Author-X-Name-Last: Fourie Title: When did South African Markets Integrate into the Global Economy? Abstract: This research note identifies the period when South African prices began to move in unison with those of the country's lead trading partner. We find that South African wheat prices started reflecting UK trends soon after the discovery of diamonds and gold in the interior of the country. The mineral revolution, it seems, was responsible for integrating the broader South African economy - here proxied by agricultural prices - into the global economy. We further show that this integration was not confined to Cape Town; the coming of the railways ensured that markets in the larger Western and Eastern Cape and, importantly, the town of Kimberley, were well integrated with those in Cape Town. We therefore establish the start of South Africa's integration into the global market economy in the 1870s. Journal: Studies in Economics and Econometrics Pages: 19-32 Issue: 1 Volume: 41 Year: 2017 Month: 4 X-DOI: 10.1080/10800379.2017.12097306 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097306 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:1:p:19-32 Template-Type: ReDIF-Article 1.0 Author-Name: R. Chifurira Author-X-Name-First: R. Author-X-Name-Last: Chifurira Author-Name: K. Chinhamu Author-X-Name-First: K. Author-X-Name-Last: Chinhamu Title: Using the Generalized Pareto and Pearson Type-IV Distributions to Measure Value-At-Risk for the Daily South African Mining Index Abstract: Risk management tools, such as value-at-risk (VaR) and expected shortfall (conditional value-at-risk) are highly dependent on an appropriate set of underlying distributional assumptions being made. Identifying a distribution that best captures all aspects of financial data sets may benefit both investors and risk managers. In this study, we compare the relative performance of the GARCH-generalized Pareto distribution and the GARCH-Pearson type-IV models in estimating value-at-risk of the South African mining index returns. VaR and backtesting are performed via Kupiec likelihood ratio test. The proposed models capture some key stylized facts associated with daily index returns; e.g. heavy tails (non-normality), asymmetry, volatility clustering and their leverage effect. The advantage of the proposed models lies in their ability to capture conditional heteroscedasticity in the returns through the GARCH framework and at the same time model their heavy tail behaviour through the generalized Pareto distribution (GPD) and the Pearson type-IV distribution. The main findings indicate that the GARCH-GPD and GARCH-Pearson type-IV models give better results when compared with generalized hyperbolic distributions (GHDs), thereby providing a good alternative candidate for modelling financial returns. The accuracy of the volatility model is essential in forecasting volatility of future returns in which the predictability of volatility plays an integral role in risk management and portfolio management. Journal: Studies in Economics and Econometrics Pages: 33-54 Issue: 1 Volume: 41 Year: 2017 Month: 4 X-DOI: 10.1080/10800379.2017.12097307 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097307 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:1:p:33-54 Template-Type: ReDIF-Article 1.0 Author-Name: M.C. Sale Author-X-Name-First: M.C. Author-X-Name-Last: Sale Title: The Impact of a Shopping Centre on the Value of Adjacent Residential Properties Abstract: One of the most significant changes in the South African retail landscape over the past few decades is the increase in the number and size of retail shopping centres situated in, or close to, residential areas. These shopping centres have the potential to generate both positive and negative externalities which may, in turn, be capitalised into adjacent residential property prices. However, policy makers are still unsure as to the effect of commercial land uses such as shopping centres on surrounding property prices. This study sheds light on this issue by considering the effect of the Walmer Park Shopping Centre, situated in Nelson Mandela Bay, on surrounding residential property prices. The results of this study indicate that, in the case of the Walmer Park Shopping Centre, a positive impact is exerted on the property values of adjacent houses. Journal: Studies in Economics and Econometrics Pages: 55-72 Issue: 1 Volume: 41 Year: 2017 Month: 4 X-DOI: 10.1080/10800379.2017.12097308 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097308 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:1:p:55-72 Template-Type: ReDIF-Article 1.0 Author-Name: P. Ferreira Author-X-Name-First: P. Author-X-Name-Last: Ferreira Author-Name: A. Diomsio Author-X-Name-First: A. Author-X-Name-Last: Diomsio Title: Long Range Dependence in G7 Stock Markets’ Return Rates Using Mutual Information and Detrended Cross-Correlation Analysis Abstract: According to theory, return rates are expected to have no memory, meaning that return rates do not show autocorrelation. Most studies find evidence of absence of linear autocorrelations, although other types of dependence exist. This paper analyzes the existence of long range dependence in G7 stock markets, applying two different methodologies which allow nonlinear behavior of return rates: mutual information and the correlation coefficient calculated from detrended cross-correlation analysis. We apply these methodologies to stock markets, calculating them for the first ten lags of each time series. It is possible to conclude on the existence of nonlinearity and long-term dependence in return rates for the seven indexes studied. Journal: Studies in Economics and Econometrics Pages: 73-92 Issue: 1 Volume: 41 Year: 2017 Month: 4 X-DOI: 10.1080/10800379.2017.12097309 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097309 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:1:p:73-92 Template-Type: ReDIF-Article 1.0 Author-Name: S. Abel Author-X-Name-First: S. Author-X-Name-Last: Abel Title: The Profit Efficiency of Commercial Banks in Zimbabwe: An Application of Data Envelopment Analysis Abstract: The study estimates the profit efficiency of the commercial banks in Zimbabwe using Data Envelopment Analysis method. The study sample constituted 11 Commercial Banks for the period 2009-2014. The results suggest that Commercial Banks in Zimbabwe are profit inefficient. The average profit efficiency of the banks for the period was 80 per cent. This result means that an average bank operated at a profit efficient level of 80 per cent relative to the best performing bank in the sample. This implies that the best performing bank used fewer resources in generating profits compared to the average bank in the sample. The lowest level of inefficiency during the study period was experienced in the first half of 2009 as a result of the challenges banks experienced in transitioning from hyperinflation to stable economic environment. Banks had to incur costs in changing banking systems to adapt to the multi-currency system. The results further gives credence to the argument that Zimbabwean banks are inefficient hence the wide spreads between lending rates and deposit rates which characterised the system between 2009 and 2014. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097310 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097310 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: D. Hodge Author-X-Name-First: D. Author-X-Name-Last: Hodge Title: The Remarkable Persistence of the Rational Expectations Hypothesis Abstract: The rational expectations hypothesis was first made explicit and applied by John Muth (1961) in a microeconomic setting, but the hypothesis is closely associated with Robert Lucas and the new classical school of thought in macroeconomics that evolved from the early 1970s. However, new classical models also include the assumption of continuous market clearing. While such market-clearing models are nowadays the exception rather than the rule, the rational expectations hypothesis has endured as part of the current synthesis in macroeconomics (Woodford 2009). Given the various criticisms of rational expectations, this paper examines the remarkable persistence of the hypothesis from two different perspectives. First, Uskali Maki’s distinction between “realism” and “realisticness” is employed to reconstruct the arguments of Muth and Lucas in justifying rational expectations, using the different attributes of realisticness as terms of reference. Second, a distinction is made between individual and market rationality. Some criticisms of rational expectations lose their force when the hypothesis is interpreted in the context of market rather than individual rationality. Journal: Studies in Economics and Econometrics Pages: 19-44 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097311 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097311 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:19-44 Template-Type: ReDIF-Article 1.0 Author-Name: D.E. Lee Author-X-Name-First: D.E. Author-X-Name-Last: Lee Author-Name: M. du Preez Author-X-Name-First: M. Author-X-Name-Last: du Preez Title: Using Discrete Choice Analysis to Determine Beachgoer Preferences for Beach Management: A South African Case Study Abstract: Beaches are areas of high economic value derived largely from high demand for recreational goods and services. These outdoor recreational resources are likely to succumb to considerable health pressures and trade-offs in the allocation of scarce local government level funding. An area of coastline where the recreational experience is being compromised due to high levels of tourist demand is the Nelson Mandela Bay area, South Africa. The primary objective of this paper is to inform policy makers on key public preferences regarding the use of beaches in Nelson Mandela Bay that can be used as inputs to the complex coastal resource allocation process. The application of a choice experiment, based on the concept of random utility theory, revealed that the presence of dogs on beaches and the level of public safety are very important predictors of public choice and should receive immediate attention as far as beach management is concerned. Journal: Studies in Economics and Econometrics Pages: 45-68 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097312 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097312 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:45-68 Template-Type: ReDIF-Article 1.0 Author-Name: H. Khobai Author-X-Name-First: H. Author-X-Name-Last: Khobai Author-Name: G. Mugano Author-X-Name-First: G. Author-X-Name-Last: Mugano Author-Name: P. le Roux Author-X-Name-First: P. Author-X-Name-Last: le Roux Title: The Causal Relationship Between Electricity Supply and Economic Growth in South Africa Abstract: This paper investigates the causal relationship between electricity supply and economic growth in South Africa using Autoregressive Distributed Lag (ARDL) model and Vector Error Correction Model (VECM). The ARDL model results reveal existence of long run relationship among the variables. The VECM findings suggested bidirectional causality flowing between electricity supply and economic growth. Therefore, the policy makers should prioritise building capacity additions and infrastructure development of the electricity industry, as this will stimulate economic growth and increase electricity. Journal: Studies in Economics and Econometrics Pages: 69-86 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097313 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097313 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:69-86 Template-Type: ReDIF-Article 1.0 Author-Name: J.D. van Heerden Author-X-Name-First: J.D. van Author-X-Name-Last: Heerden Author-Name: P. van Rensburg Author-X-Name-First: P. van Author-X-Name-Last: Rensburg Title: The Impact of Payoff Period, Time and Liquidity on Style Investing in South Africa Abstract: In line with the majority of research covering equity markets of developed countries, prior studies have found that style investing can offer abnormal returns on the Johannesburg Securities Exchange (JSE). The most profitable style investment approaches appear to be that of value, momentum and size. Due to the ever-evolving nature of capital markets, the high level of market concentration associated with the South African market and the implications associated with rebalancing of portfolios, in this study we examine the impact time, liquidity and payoff period have on style investing on the JSE. Our results suggest that value appears to be the only robust effect while all other style effects seem to be sensitive to time, liquidity and/or payoff period. Journal: Studies in Economics and Econometrics Pages: 87-110 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097314 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097314 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:87-110 Template-Type: ReDIF-Article 1.0 Author-Name: C. Vermeulen Author-X-Name-First: C. Author-X-Name-Last: Vermeulen Author-Name: F. Joubert Author-X-Name-First: F. Author-X-Name-Last: Joubert Author-Name: A. Bosch Author-X-Name-First: A. Author-X-Name-Last: Bosch Author-Name: J. Rossouw Author-X-Name-First: J. Author-X-Name-Last: Rossouw Title: From the Business Cycle to the Output Cycle: Predicting South African Economic Activity Abstract: Substantial literature exists on the ability of various economic variables to predict the turning points of the business cycle. However, comparatively little attention has been paid to predicting turning points in other measures of economic activity, such as the output gap or output cycle. This paper argues that the analysis of business cycles can be supplemented by the behaviour of output cycles, and that turning points in the output cycle presents a complementary source of information relative to the business cycle. The paper derives an output cycle series for the South African economy and compares this series to the business cycle series, as formally constructed and published by the South African Reserve Bank. It then estimates a number of probability models to determine the extent to which two market-determined and readily observable economic variables can predict turning points in the output cycle. This includes the use of currency in circulation as an additional predictor of economic activity, which is found to be a very accurate and useful predictor. Journal: Studies in Economics and Econometrics Pages: 111-133 Issue: 2 Volume: 41 Year: 2017 Month: 8 X-DOI: 10.1080/10800379.2017.12097315 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097315 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:2:p:111-133 Template-Type: ReDIF-Article 1.0 Author-Name: P. Laubscher Author-X-Name-First: P. Author-X-Name-Last: Laubscher Title: The Business Cycle Resilience of the Western Cape Economy: A Regional Analysis of the 2009 Recession and Subsequent Recovery Abstract: Business cycle research received renewed attention in the run-up to, and in the aftermath of, the Great Recession. This paper focuses on the concept of regional economic resilience as an applied field of business cycle research. The resilience of the Western Cape regional economy is analysed by assessing the impact of the 2009 recession. Being one of the leading provincial economies of South Africa, the research considers the extent to which the 2009 recession impacted the Western Cape's long-term economic growth path. The latest research techniques in assessing economic resilience are applied, with a focus on quantifying the region's resistance to, and recoverability from, the 2009 recession. While the national and provincial contexts receive attention, the focus is on the district economies of the Western Cape. The drivers of economic resilience are decomposed into two key forces, namely industry mix and regional competitiveness, using a shift-share analysis. Longer term structural change is also considered. The paper finds that the Eden and Overberg district economies’ growth paths, and the way in which these regions absorbed the recession impact, may provide policymakers with pointers on how to revive the Western Cape's growth path, which took a knock with the 2009 recession. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097316 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097316 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: W. Krugell Author-X-Name-First: W. Author-X-Name-Last: Krugell Title: Original Article: The Business Cycle Resilience of the Western Cape Economy: A Regional Analysis of the 2009 Recession and Subsequent Recovery Journal: Studies in Economics and Econometrics Pages: 35-38 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097317 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097317 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:35-38 Template-Type: ReDIF-Article 1.0 Author-Name: J.C. Venter Author-X-Name-First: J.C. Author-X-Name-Last: Venter Title: Obtaining Clear and Timely Business Cycle Turning Point Signals With a Composite Leading Business Cycle Indicator Abstract: The upward phase of the South African business cycle that followed the global financial crisis gradually lost momentum from 2012 onwards, resulting in a peak in the business cycle being reached in November 2013. The subsequent downward phase has so far lasted for 48 months, up to November 2017. The gradual loss of momentum in domestic output growth was not widely recognised by many economists, judging by consensus forecasts of annual GDP growth. However, the South African Reserve Bank (SARB) composite leading business cycle indicator reached a peak in February 2011 before trending gradually lower, suggesting a continued deterioration in output growth. The leading indicator reached a trough in April 2016, suggesting an imminent end to the downward phase of the business cycle, in line with consensus forecasts. However, output growth slowed further with the economy experiencing a technical recession. This paper employs the indicator approach to business cycle analysis in order to establish whether the current downward phase in the South African business cycle could reasonably have been predicted, and also whether the recent strong increase in the composite leading business cycle indicator provided a clear signal that the current downward phase might have ended. The results show that closer analysis of the leading indicator and its subcomponents would have revealed that a broad slowdown in the South African economy was underway since 2012. Also, the recent upward trend in the leading indicator did initially signal the end of the current downward phase in the business cycle in an unambiguous manner. However, the anticipated business cycle recovery appears to have been postponed by idiosyncratic exogenous factors. Journal: Studies in Economics and Econometrics Pages: 39-60 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097318 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097318 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:39-60 Template-Type: ReDIF-Article 1.0 Author-Name: G. Keeton Author-X-Name-First: G. Author-X-Name-Last: Keeton Title: Original Article: Obtaining Clear and Timely Business Cycle Turning Point Signals With a Composite Leading Business Cycle Indicator Journal: Studies in Economics and Econometrics Pages: 61-64 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097319 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097319 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:61-64 Template-Type: ReDIF-Article 1.0 Author-Name: P. Burger Author-X-Name-First: P. Author-X-Name-Last: Burger Title: Economic Growth and Formal Sector Employment Abstract: Economic data for the last decade indicates a failure of the South African economy to generate sufficient jobs to absorb the unemployed. With economic growth also underperforming, the question becomes whether the lack of employment growth is due to a lack of economic growth. The objective of this article is to establish the relationship between economic growth and formal sector employment growth (not enough time-series data exist to include the informal sector). Using a Markov-switching method to distinguish economic up- and downswings the article's second objective is to explore whether or not there is a business cycle-related relationship between economic growth and formal sector employment growth. Journal: Studies in Economics and Econometrics Pages: 65-84 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097320 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097320 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:65-84 Template-Type: ReDIF-Article 1.0 Author-Name: D.P. von Fintel Author-X-Name-First: D.P. Author-X-Name-Last: von Fintel Title: Original Article: The Uneven Link Between Economic Growth and Employment in South Africa Journal: Studies in Economics and Econometrics Pages: 85-92 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097321 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097321 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:85-92 Template-Type: ReDIF-Article 1.0 Author-Name: C. Claassen Author-X-Name-First: C. Author-X-Name-Last: Claassen Author-Name: E. Loots Author-X-Name-First: E. Author-X-Name-Last: Loots Author-Name: A. Kabundi Author-X-Name-First: A. Author-X-Name-Last: Kabundi Author-Name: W. Viviers Author-X-Name-First: W. Author-X-Name-Last: Viviers Title: Business Cycle Co-Movement Between Africa And Advanced Economies: 1980-2011 Abstract: The decoupling hypothesis has attracted growing research interest since the Global Financial Crisis (GFC). However, there is a lack of evidence on patterns of business cycle co-movement for Africa specifically. This paper fills the gap in the literature by analysing business cycle co-movement between African economies and Advanced Economies (AEs) using annual data which cover the period 1980 to 2011. Although the sample does not allow for a close-up investigation of the crisis years in particular, it does provide an overview of the period before, during and immediately after the GFC. In terms of methodology, a Dynamic Factor Model (DFM) was applied, which includes African and Group of Seven (G7) countries. The empirical analysis divides the African countries into four groups, namely low-income countries, middle-income countries, oil-exporting countries and fragile states. The results show evidence of strong comovement between, on the one hand, the middle-income African countries and the G7, and, on the other hand, the middle-income African countries themselves. The results identify trade linkage as the key driving force behind the co-movement of the business cycle. However, the oil-exporting and low-income African countries exhibit a low co-movement of the business cycle after controlling for common effects from the G7 countries. Interestingly, after the GFC, they decouple from the AEs. Finally, the results do not show signs of comovement with fragile states. Journal: Studies in Economics and Econometrics Pages: 93-112 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097322 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097322 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:93-112 Template-Type: ReDIF-Article 1.0 Author-Name: I. Botha Author-X-Name-First: I. Author-X-Name-Last: Botha Title: Original Article: Business Cycle Co-Movement Between Africa and Advanced Economies: 1980-2011 Journal: Studies in Economics and Econometrics Pages: 113-115 Issue: 3 Volume: 41 Year: 2017 Month: 12 X-DOI: 10.1080/10800379.2017.12097323 File-URL: http://hdl.handle.net/10.1080/10800379.2017.12097323 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:41:y:2017:i:3:p:113-115 Template-Type: ReDIF-Article 1.0 Author-Name: R. Lötter Author-X-Name-First: R. Author-X-Name-Last: Lötter Author-Name: E. vd M. Smit Author-X-Name-First: E. vd M. Author-X-Name-Last: Smit Title: Recommendation Pattern Preferences and Share Analysts Bias on the JSE Abstract: The trustworthiness of analysts’ reports has rightly been questioned after the financial crises of the 1990s and 2000s revealed biases in their behaviour. This study investigated the inclination of analysts to issue overly-positive recommendations, the issuance patterns preferred by individual analysts, and the differential impact of recommendations between periods of positive and negative sentiment. The recommendation issuance preferences of 901 local and international analysts, who collectively issued 30 486 recommendations for shares listed on the Johannesburg Securities Exchange from 1993 to 2011, were scrutinised. The investigation revealed that analysts issued their opinions using many different patterns within five possible recommendation categories, and showed signs of positive biases during all market cycles and investor sentiment periods. Surprisingly, analysts issued the same proportion of negative recommendations during periods of low business confidence and economic contraction than during phases of growth- and economic upswing. The BER Business Confidence Index outperformed the SARB’s business cycle indicator in demarcating periods where investors reacted stronger to recommendations issued by analysts. Investors are advised to study an analyst’s recommendation history in addition to current advice. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097324 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097324 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: C. Janse van Rensburg Author-X-Name-First: C. Author-X-Name-Last: Janse van Rensburg Author-Name: J.D. Krige Author-X-Name-First: J.D. Author-X-Name-Last: Krige Title: Paying the High Price of Active Management: A New Look at Unit Trust Fees Abstract: This study attempts to allocate the fund management expenses of actively managed South African general equity unit trusts between active and passive management portions, thereby calculating the implicit cost of active management. The active expense ratio of a unit trust can be calculated by using the published total expense ratio (TER) of the unit trust, its correlation relative to its benchmark and the expense ratio of a comparable exchange traded fund (ETF) tracking the benchmark of the unit trust.This study focuses on actively managed South African equity unit trusts available to the retail investor for the period March 2007 to February 2015. The active expense ratios of these unit trusts were calculated on the basis of a three-, five- and eight-year analysis period.It was found that the mean active expense ratios of the South African unit trust sample amounted to 4,14%, 4,29% and 4,25% respectively in the case of the three-, five- and eight-year periods. The comparable mean reported TERs amounted to 1,60%, 1,61% and 1,61% respectively. Thus the mean active expense ratio is more than 150% higher than the comparable mean reported TER in each period.A similar study was conducted by Miller (2010), investigating the active expense ratios of actively managed large cap American unit trusts. He found that the mean active expense ratio was 6.44%, compared with a mean TER of 1.20%. However, due to a higher degree of active management being employed by South African managers, the active expense ratios are lower than those of the American counterparts. Journal: Studies in Economics and Econometrics Pages: 23-40 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097325 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097325 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:23-40 Template-Type: ReDIF-Article 1.0 Author-Name: O.S. Oladele Author-X-Name-First: O.S. Author-X-Name-Last: Oladele Author-Name: D. Bradfield Author-X-Name-First: D. Author-X-Name-Last: Bradfield Title: An Empirical Assessment of Low Volatilty Portfolio Construction Techniques in the South African Environment Abstract: Portfolios constructed to have low volatility characteristics have received increasing interest in recent years. This is due to the fact that these portfolios returning higher risk-adjusted returns than market-capitalization weighted portfolios in both international markets and the South African domestic market. The outperformance of the portfolios are particularly fascinating given that economic theory suggests that higher risk is typically expected to be compensated by higher expected return. In this study, we analyze the performance of low volatility portfolios using a variety of construction techniques in South African markets using the stocks listed on the JSE. Our results compare the performance of the different techniques and show substantial outperformance of these portfolios in the South African environment relative to their market capitalization-weighted equity benchmark counterpart (ALSI). In addition, the low volatility portfolios are also blended with typical portfolios (SWIX index) in order to establish their effectiveness as useful portfolio strategies. Journal: Studies in Economics and Econometrics Pages: 41-62 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097326 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097326 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:41-62 Template-Type: ReDIF-Article 1.0 Author-Name: K. McCullough Author-X-Name-First: K. Author-X-Name-Last: McCullough Author-Name: M. Murray Author-X-Name-First: M. Author-X-Name-Last: Murray Author-Name: B. Strydom Author-X-Name-First: B. Author-X-Name-Last: Strydom Title: Volatility Spillover Between the FTSE/JSE Top 40 Index and Index Futures: A Bekk-Garch and DCC-Garch Approach Abstract: Understanding how information, and specifically volatility, flows between markets is of obvious interest to market participants. Given the importance of the FTSE/JSE Top 40 index as a barometer of the performance of the Johannesburg Stock Exchange (JSE) in South Africa, this paper investigates the volatility characteristics and volatility spillover effects between it and its corresponding futures contracts. A BEKK-GARCH approach is adopted to model volatility spillover effects, and the DCC-GARCH model applied as a confirmatory analysis of the BEKK-GARCH findings. Volatility spillover flows from the futures market to the index market, indicating that the FTSE/JSE Top 40 futures is the more informationally efficient market. Journal: Studies in Economics and Econometrics Pages: 63-86 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097327 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097327 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:63-86 Template-Type: ReDIF-Article 1.0 Author-Name: R. Williams Author-X-Name-First: R. Author-X-Name-Last: Williams Author-Name: J.D. van Heerden Author-X-Name-First: J.D. Author-X-Name-Last: van Heerden Author-Name: W.J. Conradie Author-X-Name-First: W.J. Author-X-Name-Last: Conradie Title: Value at Risk and Extreme Value Theory: Application To The Johannesburg Securities Exchange Abstract: Value at Risk (VaR) has been established as one of the most important and commonly used financial risk management tools. Nevertheless, the attractive features and wide-spread use of VaR could not help to avoid a number of financial crises and its severe impact on economies globally, the latest being the 2008 financial crisis. In isolation, VaR has, in the past, mostly focused on events that occur with a 1% or 5% probability. This is a popular reason offered for its failure of ‘predicting’ the financial crises, as the latter are viewed as ‘extreme’ events and can therefore not be classified as events with a 1% or 5% probability of happening. The use of Extreme Value Theory (EVT) in calculating VaR is a relatively new approach and attempts to expand on the traditional VaR-only approach to include potential extreme events. This approach has provided good results in developed markets and in this article we investigate if the same holds true in the more volatile South African equity space. We examine and compare the application of seven VaR and VaR-EVT models on the FTSE/JSE Total Return All Share Index. Our results suggest that the Filtered Historical Simulation VaR method is the best all-round model. It is, however, worthwhile to employ EVT in the form of the conditional Generalized Pareto Distribution (GPD) model when calculating very extreme quantiles such as the 0.1% quantile. Our results further highlight the importance of filtering the data in order to account for the conditional heteroskedasticity of the financial time series. Journal: Studies in Economics and Econometrics Pages: 87-114 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097328 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097328 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:87-114 Template-Type: ReDIF-Article 1.0 Author-Name: E. Kouassi Author-X-Name-First: E. Author-X-Name-Last: Kouassi Author-Name: L. Sethlare Author-X-Name-First: L. Author-X-Name-Last: Sethlare Title: Unemployment Persistence Insouthern African Countries: Further Evidence from Panel Unit Root Tests Abstract: The purpose of this study is to investigate the nonstationarity properties of unemployment rate in Southern African Countries over the period 1991 to 2014. In particular, we also analyze the hysteresis of unemployment rate in Botswana and South Africa.We used first and second generation panel unit root tests to determine whether output fluctuations are permanent or transitory.Our findings suggest that the shocks to unemployment rate are generally permanent. Results have important policy implications for macroeconomic policy in Southern Africa. Journal: Studies in Economics and Econometrics Pages: 115-134 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097329 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097329 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:115-134 Template-Type: ReDIF-Article 1.0 Author-Name: C.F.J. N’Guessan Author-X-Name-First: C.F.J. Author-X-Name-Last: N’Guessan Title: The Effects of Inflation on Employment in African Countries: A Non-dynamic Panel Threshold Approach Abstract: The objective of this study is to empirically contribute to a better orientation of the inflation targeting policy. Specifically, it assesses the impact of inflation targeting on employment in 19 African countries. We used a non-dynamic panel threshold model applied to data that cover the period from 1992 to 2014. We found that, below an inflation rate of 9.16%, the employment ratio increases with inflation, while inflation does not impact the employment ratio beyond 9.16%. Journal: Studies in Economics and Econometrics Pages: 135-150 Issue: 1 Volume: 42 Year: 2018 Month: 4 X-DOI: 10.1080/10800379.2018.12097330 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097330 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:1:p:135-150 Template-Type: ReDIF-Article 1.0 Author-Name: J. Fourie Author-X-Name-First: J. Author-X-Name-Last: Fourie Title: Cliometrics in South Africa Abstract: African economic history is experiencing a renaissance, and South African economic history likewise. Combining newly transcribed large historical datasets with econometric techniques now standard in the economics literature, economic historians have greatly improved our understanding of South Africa's development over the centuries. Yet many questions remain. This paper reviews the most recent contributions, several of which are published in this special issue, and surveys the road ahead. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097331 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097331 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: S. La Croix Author-X-Name-First: S. Author-X-Name-Last: La Croix Title: The Khoikhoi Population, 1652-1780: A Review of the Evidence and Two New Estimates Abstract: Fourie and Green construct estimates of the Khoikhoi population over the 1652-1780 period using benchmarks for the initial and terminal Khoi populations and benchmarks for the punctuated population declines from smallpox epidemics in 1713 and 1755. I review the evidence underlying each of the four population benchmarks. For population benchmarks to be comparable, they need to compare the same populations over the same geographic areas. Since the 1652 benchmark is for the Khoi population and the 1780 benchmark is for the Khoi and San populations, the 1780 benchmark is revised to include just the Khoi population. Qualitative evidence also points to a higher rate of population decline between 1652 and 1723 and a smaller rate of decline between 1723 and 1780. Using the Fourie- Green methodology and adopting 3 of their 4 population benchmarks, I develop two revised estimates of the Khoi population to supplement the original Fourie-Green estimates. Journal: Studies in Economics and Econometrics Pages: 15-34 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097332 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097332 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:15-34 Template-Type: ReDIF-Article 1.0 Author-Name: C. Swanepoel Author-X-Name-First: C. Author-X-Name-Last: Swanepoel Author-Name: J. Fourie Author-X-Name-First: J. Author-X-Name-Last: Fourie Title: Why Local Context Matters: Property Rights and Debt Trading in Colonial South Africa Abstract: For economic transactions, including debt transactions, to occur in a market system, property rights are essential. The literature has focussed on finding empirical proof of the effect of property right regimes, noting differences between de jure and de facto property rights. We use a novel combination of data on wealth and demographics to investigate the effects of property right regimes on economic outcomes at the individual level. At the Cape, de jure property rights between freehold and loan farms differed. Historians, however, suggest that de facto property rights between these two property types were the same. We exploit the random variation of the birth order, specifically being the eldest son, to estimate whether the type of farm and therefore the type of property rights, mattered for economic activity, in our case, debt transactions. Our results suggest that historians were correct: loan farms were as secure in their de facto property rights, despite differences in de jure property rights. Our results confirm that the local context in which property right regimes are embedded is at least as important as the property right regime itself. Journal: Studies in Economics and Econometrics Pages: 35-60 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097333 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097333 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:35-60 Template-Type: ReDIF-Article 1.0 Author-Name: K. Rönnbäck Author-X-Name-First: K. Author-X-Name-Last: Rönnbäck Author-Name: O. Broberg Author-X-Name-First: O. Author-X-Name-Last: Broberg Title: All that Glitters is not Gold: The Return on British Investments in South Africa, 1869-1969 Abstract: This article studies the return on British investments in South Africa during the period 1869 to 1969. The study is based on sample of 453 companies, operating within the region of current-day South Africa, and whose stocks were traded on the London Stock Exchange. Our analysis shows that the return on South African investments was substantially lower than what some previous research in the field has claimed. The results therefore challenge the received wisdom that investments in South Africa were particularly profitable to the investors. Journal: Studies in Economics and Econometrics Pages: 61-80 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097334 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097334 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:61-80 Template-Type: ReDIF-Article 1.0 Author-Name: D.P. von Fintel Author-X-Name-First: D.P. Author-X-Name-Last: von Fintel Title: Long-Run Spatial Inequality in South Africa: Early Settlement Patterns and Separate Development Abstract: New economic geography theories predict that historically densely s ettled areas also become more industrialised. Industrial agglomeration has therefore cultivated spatial inequalities in all parts of the world. South Africa presents an interesting case study, where institutional failures interrupted the ‘usual’ agglomeration process. On the one hand, current day metropolitan regions are located in historically densely populated areas. On the other hand, apartheid-era homelands also had highly concentrated populations, but did not industrialise to the same extent as other parts of South Africa. Much earlier in history, following the mfecane, these locations attracted migrants in search of favourable agricultural conditions and physical security in the face of conflict (they were high rainfall, rugged areas). The benefit of settling in these areas, however, only remained prior to imposed restrictions on land ownership (1913 Land Act) and movement of people (during apartheid). This paper decomposes modern spatial inequality, and establishes that agglomerations and historical institutional failures explain large proportions of spatial inequality. Furthermore, the homelands wage penalty reverses once these controls are introduced into various models: had agglomeration taken its course without institutional constraints, the homelands would likely have developed into high paying local economies. While new economic geography theories hold in the urban core, the densely populated former homelands did not follow this trajectory. Spatial inequality is therefore more severe than it would have been had institutional failures not prevented the former homelands from industrialising at the same pace as other historically densely populated areas. Journal: Studies in Economics and Econometrics Pages: 81-102 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097335 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097335 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:81-102 Template-Type: ReDIF-Article 1.0 Author-Name: E. Kerby Author-X-Name-First: E. Author-X-Name-Last: Kerby Title: Bamboo Shoots: Asian Migration, Trade and Business Networks in South Africa Abstract: Interconnected business and trade routes, or “bamboo networks” have long been recognised as engines of growth in Asia. However, as Asian migration expands to Africa, what are their impact? This paper examines the links between trade flows and Taiwanese migration in South Africa from 1975 to 1995. Constructing a bilateral trade series from novel declassified migration and trade data, two aspects of the change in trade are quantified: Firstly, how did international trade change during sanctions, vis-a-vis South Africa and its largest OECD trading partners? Secondly, using migration data, I examine the extent to which the 1975 immigration of Taiwanese investors to South Africa could have increased and diversified trade between the two countries through their investment. Three years after the lifting of sanctions, the share of South African exports to Taiwan was both greater, but importantly more diversified in the sectors in which migrants invested. Using archival accounts, I discuss the possible processes through which these changes to trade could have occurred. Known as the migrant-trade effect, the results suggest that Taiwanese entrepreneurs increased trade by forming business networks and supply chains linking them to Asian markets. Journal: Studies in Economics and Econometrics Pages: 103-137 Issue: 2 Volume: 42 Year: 2018 Month: 8 X-DOI: 10.1080/10800379.2018.12097336 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097336 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:2:p:103-137 Template-Type: ReDIF-Article 1.0 Author-Name: A. Bara Author-X-Name-First: A. Author-X-Name-Last: Bara Author-Name: S. Abel Author-X-Name-First: S. Author-X-Name-Last: Abel Title: Cross-Border Banking, International Financial Flows and Financial Deepening Abstract: The study evaluates the significance of cross-border banking and international financial flows in enhancing financial deepening in the Southern African Development Community (SADC), including isolating the impact of regional, or pan-African, banks. The study also attempts to estimate the responses of the domestic financial sector to shocks in foreign banks and financial flows. Dynamic panel and general method of moments (GMM) estimations established that cross-border bank slows down development of domestic financial markets, although there are traces of positive effects in some measures. Pan-African Banks support credit development in domestic markets although diluting profitability. Impulse response and variance decomposition shows a largely negative reaction of domestic financial markets to shocks in foreign banks and financial flows in the short run, with the reaction turning positive in the long run. Indicatively, the results are demonstrating limited, but positive, financial spill-overs effects of foreign banks on financial development of other SADC countries. PanAfrican Banks are still to have a significant impact in the SADC countries. Journal: Studies in Economics and Econometrics Pages: 1-34 Issue: 3 Volume: 42 Year: 2018 Month: 12 X-DOI: 10.1080/10800379.2018.12097337 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097337 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:3:p:1-34 Template-Type: ReDIF-Article 1.0 Author-Name: F. Bhoola Author-X-Name-First: F. Author-X-Name-Last: Bhoola Author-Name: J. Rossouw Author-X-Name-First: J. Author-X-Name-Last: Rossouw Author-Name: M. Giannaros Author-X-Name-First: M. Author-X-Name-Last: Giannaros Title: Comparing Macroeconomic Forecasts For South Africa From 2001 to 2017: Do We Need Official Forecasts? Abstract: This paper compares the accuracy of the GDP growth and inflation forecasts made by private sector forecasters who participate in the annual “Media24 Economist of the Year” forecasting competition to the official forecasts of the public sector, namely, the National Treasury (NT) and the South African Reserve Bank (SARB). We include the inflation expectations as gathered through the Bureau for Economic Research (BER) quarterly survey, since these estimates constitute an integral part in informing the course of the SARB's monetary policy decisions. Furthermore, we compare the accuracy of the aforementioned entities to the forecasts of an adaptive-naive model that generates forecasts through the extrapolation of past actual inflation observations. This is undertaken using a combination of descriptive statistics and quantitative measures which allow for the analysis of both absolute and relative accuracy. We also undertake a non-parametric test for forecast dominance. Furthermore a deeper investigation of the relevant accuracy of public sector official forecasts compared to those made by private sectors participants, reveal that on average, over the full sample period, and with respect to both current and one year-ahead forecast, the BER have been more accurate than both the NT and the SARB. Journal: Studies in Economics and Econometrics Pages: 35-70 Issue: 3 Volume: 42 Year: 2018 Month: 12 X-DOI: 10.1080/10800379.2018.12097338 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097338 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:3:p:35-70 Template-Type: ReDIF-Article 1.0 Author-Name: C. May Author-X-Name-First: C. Author-X-Name-Last: May Author-Name: G Farrell Author-X-Name-First: G Author-X-Name-Last: Farrell Title: Modelling Exchange Rate Volatility Dynamics: Empirical Evidence From South Africa Abstract: In this paper, we extend the literature on modelling exchange rate v olatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common findings in the literature; particularly that volatility is ‘persistent’. We investigate whether this ‘persistence’ is due to structural breaks or long memory, and the extent of asymmetric responses of the rand to ‘good news’ and ‘bad news’. Our results show that while long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by unaccounted shifts in volatility regime; the most striking finding is the remarkable fall in the estimates of volatility persistence when considerably more structural breaks than those identified in recent studies are detected and integrated into the generalised autoregressive conditional heteroscedasticity (GARCH) framework. Furthermore, the asymmetric GARCH model results provide evidence of leverage effects, indicating that negative shocks imply a higher next period volatility than positive shocks. The empirical results also shed light on the timing and likely triggers of volatility regime switching. Journal: Studies in Economics and Econometrics Pages: 71-114 Issue: 3 Volume: 42 Year: 2018 Month: 12 X-DOI: 10.1080/10800379.2018.12097339 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097339 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:3:p:71-114 Template-Type: ReDIF-Article 1.0 Author-Name: B. Moyo Author-X-Name-First: B. Author-X-Name-Last: Moyo Title: Electricity Disruptions and the Efficiency of Manufacturing Firms in Africa: A Stochastic Frontier Analysis Abstract: Many African countries experience power shortages and regular interruptions in electricity supply. We use stochastic frontier models to study the impact of power disruptions on the efficiency of African manufacturing firms. Power disruptions appear to have negative effects on efficiency and the use of generators further exacerbates the impact. The interaction of power outages with generator ownership result in a negative effect on efficiency and this could probably be explained by the high cost of running these alternative power sources. Our results support a policy of investment in the electricity sector, to improve the maintenance and quality of infrastructure that is used to generate power in African countries. Journal: Studies in Economics and Econometrics Pages: 115-135 Issue: 3 Volume: 42 Year: 2018 Month: 12 X-DOI: 10.1080/10800379.2018.12097340 File-URL: http://hdl.handle.net/10.1080/10800379.2018.12097340 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:42:y:2018:i:3:p:115-135 Template-Type: ReDIF-Article 1.0 Author-Name: T. Qabhobho Author-X-Name-First: T. Author-X-Name-Last: Qabhobho Author-Name: C.V.R. Wait Author-X-Name-First: C.V.R. Author-X-Name-Last: Wait Author-Name: P. le Roux Author-X-Name-First: P. Author-X-Name-Last: le Roux Title: Exchange-Rate Regimes And Monetary Autonomy: The Transmission Of Interest Rates In The Sadc Abstract: This paper investigates the implications of exchange rate regimes for monetary independence in SADC countries, by examining the impact of a prominent international interest rate (a U.S. interest rate) on the domestic interest rate. The study relies on a General Methods of Moments (GMM) model. The estimated results concur with traditional theories of the so-called impossible trinity. In fixed exchange-rate regimes (soft pegs and hard pegs) the relevant domestic interest rate responds to the international interest rate, in contrast to floating exchange-rate regimes (free-floating and managed floats). SADC countries may eventually engage in full global financial integration. Our results suggest that this will require countries either to opt for exchange-rate stability and financial integration, while sacrificing monetary autonomy or, alternatively, for monetary independence with financial integration, while sacrificing exchange-rate stability. Journal: Studies in Economics and Econometrics Pages: 1-16 Issue: 1 Volume: 43 Year: 2019 Month: 4 X-DOI: 10.1080/10800379.2019.12097341 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097341 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:1:p:1-16 Template-Type: ReDIF-Article 1.0 Author-Name: C. Van Walbeek Author-X-Name-First: C. Author-X-Name-Last: Van Walbeek Author-Name: M. Kilumelume Author-X-Name-First: M. Author-X-Name-Last: Kilumelume Title: An Analysis of Media 24's “Economist of the Year” Forecasting Competition Abstract: We rank the forecast accuracy of 21 individuals and 8 institutions which have participated in Media 24's “Economist of the Year” forecasting competition for at least 10 of the past 14 years. Participants predict 12 macroeconomic and financial variables at the start of the year, and update their predictions during the course of the year. Over the 14-year period the “consensus forecast” (i.e. the average of the various forecasts) has outperformed all other participants. There is substantial variation in predictive accuracy among participants. Having won the competition at some point is not an indicator of producing consistently accurate forecasts. Journal: Studies in Economics and Econometrics Pages: 17-38 Issue: 1 Volume: 43 Year: 2019 Month: 4 X-DOI: 10.1080/10800379.2019.12097342 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097342 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:1:p:17-38 Template-Type: ReDIF-Article 1.0 Author-Name: H. Amusa Author-X-Name-First: H. Author-X-Name-Last: Amusa Author-Name: D. Fadiran Author-X-Name-First: D. Author-X-Name-Last: Fadiran Title: The J-Curve Hypothesis: Evidence from Commodity Trade Between South Africa and the United States Abstract: Previous studies on the J-curve hypothesis for South Africa have relied on aggregate trade data between South Africa and the rest of the world, or on similar data for trade between South Africa and its major trading partners. The evidence of J-curve effects in South Africa's bilateral trade have been mixed. In this paper, we revisit this issue by examining the short- and long-run effects of exchange-rate changes on trade flows using disaggregated industry data on bilateral trade between South Africa and the United States. From estimates of trade balance models using the autoregressive distributed lag (ARDL) approach, we find evidence of significant J-curve effects, as a depreciation of the South African currency has favourable short-run effects on trade balances for eight industries. These short-run effects continue into the long run for a quarter of the industries considered in the study. The results also show that income has significant long-run effects on trade flows in industries that account for almost 55% of trade flows between South Africa and the United States. Journal: Studies in Economics and Econometrics Pages: 39-62 Issue: 1 Volume: 43 Year: 2019 Month: 4 X-DOI: 10.1080/10800379.2019.12097343 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097343 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:1:p:39-62 Template-Type: ReDIF-Article 1.0 Author-Name: T. Ndawona Author-X-Name-First: T. Author-X-Name-Last: Ndawona Author-Name: G. Keeton Author-X-Name-First: G. Author-X-Name-Last: Keeton Author-Name: N. Cattaneo Author-X-Name-First: N. Author-X-Name-Last: Cattaneo Author-Name: L. Mann Author-X-Name-First: L. Author-X-Name-Last: Mann Title: An Analysis of the Impact of the Financialization of Commodity Markets Abstract: There is growing evidence that the dramatic increase in real commodity prices from 2002-2011 cannot be attributed solely to fundamental (demand and supply) factors. Over this period, there was major growth in the trading activities of financial investors in commodity derivative markets. This process, termed “financialization”, had important effects on price dynamics. This paper calculates rolling correlations for futures and spot returns for different commodities both for the period 2002-2011 when commodity prices were rising, and also from 2011-2015, when prices were falling. The paper finds a rise in correlations of index-based commodities during the period of rising prices, when commodity assets under management grew rapidly, and a fall during the period of declining prices, when commodity assets under management halved, supporting the view that financialization played a role in driving prices. This conclusion is reinforced by the finding that the same increase and decrease in correlations did not occur for bulk commodities. Granger causality tests reveal evidence of futures prices driving spot prices during the financialization period when prices were rising. However, there is a shift to more bi-directional relationships when prices (and correlations) fell. These findings support the role of financialization during the period of rising prices, as investor exposure to index-based commodities was usually achieved through the futures market. Journal: Studies in Economics and Econometrics Pages: 63-95 Issue: 1 Volume: 43 Year: 2019 Month: 4 X-DOI: 10.1080/10800379.2019.12097344 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097344 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:1:p:63-95 Template-Type: ReDIF-Article 1.0 Author-Name: F. Botha Author-X-Name-First: F. Author-X-Name-Last: Botha Author-Name: A. Pitot Author-X-Name-First: A. Author-X-Name-Last: Pitot Title: Suicide and the South African Business Cycle Abstract: Using monthly data for January 2006 - December 2015, this study explores the relationship between suicide and the South African business cycle. Contrary to most previous research, the findings reveal that suicide is pro-cyclical. Journal: Studies in Economics and Econometrics Pages: 1-8 Issue: 2 Volume: 43 Year: 2019 Month: 8 X-DOI: 10.1080/10800379.2019.12097345 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097345 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:2:p:1-8 Template-Type: ReDIF-Article 1.0 Author-Name: F.G. Sackey Author-X-Name-First: F.G. Author-X-Name-Last: Sackey Author-Name: P.N. Amponsah Author-X-Name-First: P.N. Author-X-Name-Last: Amponsah Author-Name: P. Yeboah Author-X-Name-First: P. Author-X-Name-Last: Yeboah Title: A Decomposition and Counterfactual Analysis of the Effect of Parents' Educational Status on Youth Employment Outcomes Abstract: This study sought to examine the extent to which youth employment outcomes in Ghana are influenced by their individual and family characteristics on the one hand and parents' educational status on the other. A sample size of 250 youths, both employed and unemployed, was used for the study. A probit estimation with marginal effects was used to determine how these individuals and family characteristics influence employment outcomes. The results showed that individual and family characteristics influence employment outcomes. We disentangle educational background of parents and group them into high and low status. A Blinder-Oaxaca decomposition shows that the employment gap between youths with parents of high educational status and those with parents of low educational status is largely influenced by the differences in the individual and other family characteristics of the youths rather than differences in parents' educational status. Journal: Studies in Economics and Econometrics Pages: 9-28 Issue: 2 Volume: 43 Year: 2019 Month: 8 X-DOI: 10.1080/10800379.2019.12097346 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097346 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:2:p:9-28 Template-Type: ReDIF-Article 1.0 Author-Name: P. Moores-Pitt Author-X-Name-First: P. Author-X-Name-Last: Moores-Pitt Author-Name: B.S. Strydom Author-X-Name-First: B.S. Author-X-Name-Last: Strydom Author-Name: M. Murray Author-X-Name-First: M. Author-X-Name-Last: Murray Title: Accounting for Threshold Effects and Asymmetric Adjustment Between Inflation and Equity Returns in South Africa Abstract: Recent South African empirical tests of the ability of equity to act as a hedge against inflation have generally relied on conventional cointegration tests that assume symmetric adjustment between the variables in the cointegrating relationship, however modern international evidence increasingly indicates that the relationship may not be this straightforward. Using CPI and JSE-ALSI data for the period 1980 - 2015, this study employs a threshold cointegration approach to investigate the long-run relationship between inflation and equity returns allowing for non-linear adjustment. The study finds compelling evidence that the relationship has experienced asymmetric adjustment over the sample period and that the relationship between equity returns and inflation is more appropriately modelled using threshold cointegration. The study confirms the ability of equity returns to protect investors against inflation, even when allowing for asymmetric adjustment, making the results a more robust indicator of the equity returns-inflation relationship. Journal: Studies in Economics and Econometrics Pages: 29-54 Issue: 2 Volume: 43 Year: 2019 Month: 8 X-DOI: 10.1080/10800379.2019.12097347 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097347 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:2:p:29-54 Template-Type: ReDIF-Article 1.0 Author-Name: J.H. Eita Author-X-Name-First: J.H. Author-X-Name-Last: Eita Author-Name: V. Manuel Author-X-Name-First: V. Author-X-Name-Last: Manuel Author-Name: E. Naimhwaka Author-X-Name-First: E. Author-X-Name-Last: Naimhwaka Title: Macroeconomic Variables and Current Account Balance in an Open Economy: Evidence from Namibia Abstract: This paper investigates macroeconomic determinants of the current account balance in Namibia. The results show that there is evidence of twin deficit hypothesis in Namibia. Evidence of twin deficit hypothesis suggest that it is important for Namibia to have fiscal discipline in order to improve its current account. Increase in capital flows, real GDP or per capita, results in a deterioration of the current account. Increase in interest rate, commodity prices and population cause the current account balance to improve. This suggest that contractionary monetary policy contributed to reduction of unproductive imports and improved the current account balance. Journal: Studies in Economics and Econometrics Pages: 55-70 Issue: 2 Volume: 43 Year: 2019 Month: 8 X-DOI: 10.1080/10800379.2019.12097348 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097348 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:2:p:55-70 Template-Type: ReDIF-Article 1.0 Author-Name: M. Ngundu Author-X-Name-First: M. Author-X-Name-Last: Ngundu Author-Name: N. Ngepah Author-X-Name-First: N. Author-X-Name-Last: Ngepah Title: The Impact of China's Fdi and Fdi From Other Sources on Growth in Sub-Sahara Africa Through Export Upgrading Abstract: This paper seeks to analyse how FDI from China, US, EU, and the rest of Asia transmit to growth in sub-Sahara Africa through export upgrading for the period (2003-2012). Terms-of-trade is utilized as a proxy for export upgrading. We develop a theoretical argument to show that countries with worsening (less than 1%) terms-of-trade are associated with poor industrialization as a result they can hardly improve quality and quantity of their products for export market, vis-à-vis. In this respect, this study contributes to existing literature in two ways. First, we investigate if technology embodied in FDI from the above-mentioned sources can enhance quantity and quality improvements of export commodities in sub-Sahara Africa. Second, we account for industrial policy heterogeneity of sub-Sahara African countries in order to determine the threshold level at which FDI-induced export upgrading can contribute positively to growth. Using both 2SLS and PTR models, our results reveal that FDI from China and the rest of Asia does not bear significant impact on growth in sub-Sahara Africa through export upgrading. However, PTR analysis demonstrates that FDI from US and EU seem to have a significant negative impact only below a threshold of 1.08%. As the terms-of-trade improves beyond 1.08%, the estimated coefficients of both FDI from US and EU turn positive, albeit insignificant. We conclude that sub-Sahara African countries are far yet to reach a threshold at which FDI-induced export upgrading can contribute positively to growth. Journal: Studies in Economics and Econometrics Pages: 1-30 Issue: 3 Volume: 43 Year: 2019 Month: 12 X-DOI: 10.1080/10800379.2019.12097349 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097349 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:3:p:1-30 Template-Type: ReDIF-Article 1.0 Author-Name: C. Urom Author-X-Name-First: C. Author-X-Name-Last: Urom Author-Name: D. Yuni Author-X-Name-First: D. Author-X-Name-Last: Yuni Author-Name: A. Lasbrey Author-X-Name-First: A. Author-X-Name-Last: Lasbrey Author-Name: C. Emenekwe Author-X-Name-First: C. Author-X-Name-Last: Emenekwe Title: Examining The Non-Linearities In Inflation-Growth Nexus: Further Evidence From a Fixed-Effect Panel Threshold Regression Approach For The Sacu Region Abstract: This paper considers the contentious issue regarding the relationship between inflation and economic growth in a context of the world's first customs union - Southern African Customs Union (SACU). It examines the non-linear relationship between inflation and growth using a Panel Threshold Regression (PTR) on a dataset over the period 1980 to 2016. The study rejects the null hypothesis of a linear relationship between inflation and growth and that there exists a statistically significant negative impact of inflation on growth when inflation rates rise above the threshold of 10.2%. We also found that the size of the growth effect of inflation is stronger in the upper inflation regime. Descriptive results from our threshold variance analysis show that variance in inflation rates is higher when inflation is above the threshold level and this is mostly associated with higher variance in growth. Taken together, these findings imply that stable economic growth may be achieved by keeping inflation below the threshold to attract both domestic and foreign investment while individual governments imbibe fiscal discipline as means of controlling inflationary pressures created by rising government consumption. Journal: Studies in Economics and Econometrics Pages: 31-61 Issue: 3 Volume: 43 Year: 2019 Month: 12 X-DOI: 10.1080/10800379.2019.12097350 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097350 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:3:p:31-61 Template-Type: ReDIF-Article 1.0 Author-Name: V. Gorlach Author-X-Name-First: V. Author-X-Name-Last: Gorlach Title: Scenario-Based Asset Allocation With Fat Tails And Non-Linear Correlation Abstract: This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed, that correlations are linear and risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that incorporates an investor's economic forecast. Extreme Value Theory (EVT) is used to capture the skewness and kurtosis inherent in asset class returns and account for the volatility clustering and extreme co-movements across asset classes. The estimation consists of using an asymmetric GJR-GARCH model to extract filtered residuals for each asset class return. Subsequently, a marginal cumulative distribution function (CDF) of each asset class is constructed by using a Gaussian-kernel estimation for the interior, together with a generalised Pareto distribution (GPD) for the upper and lower tails. The distribution of exceedance method is applied to find residuals in the tails. A Student's t copula is then fitted to the data to induce correlation between the simulated residuals of each asset class. A Monte Carlo technique is applied to simulate standardised residuals, which represent a univariate stochastic process when viewed in isolation but maintain the correlation induced by the copula. The results are mean-CVaR optimised portfolios, which are derived based on an investor's forward-looking expectation. Journal: Studies in Economics and Econometrics Pages: 61-94 Issue: 3 Volume: 43 Year: 2019 Month: 12 X-DOI: 10.1080/10800379.2019.12097351 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097351 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:3:p:61-94 Template-Type: ReDIF-Article 1.0 Author-Name: P. Lavado Author-X-Name-First: P. Author-X-Name-Last: Lavado Author-Name: S. Cueto Author-X-Name-First: S. Author-X-Name-Last: Cueto Author-Name: G. Yamada Author-X-Name-First: G. Author-X-Name-Last: Yamada Author-Name: M. Wensjoe Author-X-Name-First: M. Author-X-Name-Last: Wensjoe Title: The Effect of a Charter School in Peru (Fe Y AlegrÍA) on School Achievement:Exploiting a School Lottery Selection as a Natural Experiment Abstract: This study estimates the effect of one charter school (a public-private partnership) on mathematics and reading comprehension among second grade students in Peru between 2007 and 2012. The study uses an identification strategy to estimate the causal effect of a charter school. The strategy is based on a natural experiment of an admission lottery to determine which students would be accepted into second grade at the charter school. The results show that the charter school achieved substantial gains in the scores of the lottery winners that are equivalent to 0.4 standard deviations. We also find that this effect has increased over time. Journal: Studies in Economics and Econometrics Pages: 95-110 Issue: 3 Volume: 43 Year: 2019 Month: 12 X-DOI: 10.1080/10800379.2019.12097352 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097352 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:3:p:95-110 Template-Type: ReDIF-Article 1.0 Author-Name: S. Kennedy-Palmer Author-X-Name-First: S. Author-X-Name-Last: Kennedy-Palmer Title: South African Historical Interest Rate Volatility - Evidence of Regime- Switching Abstract: Accurate estimates of volatility are important for the valuation and risk management of financial assets. The benchmark interest rate for many assets in South Africa, the 3-month Jibar, is found to exhibit a high volatility persistence when modelled with a standard generalised autoregressive conditional heteroskedasticity (GARCH) process. The literature suggests that unobserved regime-switching in interest rate data may lead to an overestimation of volatility persistence. In this study 120 GARCH-type volatility models are tested to determine which model, conditional distribution and number of regimes best fit the data in order to extract the most accurate in-sample estimation of historical volatility for asset pricing. The data analysed consists of 877 weekly observations of 3-month Jibar in total, spanning from September 2001 to July 2018. The switching between regimes is governed by a Markov chain process which produces state-dependent transition probabilities for the unobserved regimes. The study finds that a standard single regime GARCH model may not capture the underlying volatility dynamics of the interest rate. The best performing model in this study is the 4 State Threshold-GARCH indicating that in addition to evidence of regime-switching in the data, there is an asymmetric reaction to negative information. Journal: Studies in Economics and Econometrics Pages: 111-132 Issue: 3 Volume: 43 Year: 2019 Month: 12 X-DOI: 10.1080/10800379.2019.12097353 File-URL: http://hdl.handle.net/10.1080/10800379.2019.12097353 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:43:y:2019:i:3:p:111-132 Template-Type: ReDIF-Article 1.0 Author-Name: O.J. Adelakun Author-X-Name-First: O.J. Author-X-Name-Last: Adelakun Title: Does a Monetary Union Matter for the Degree of Inflation Persistence? The Case of the West Africa Monetary Zone (WAMZ) Abstract: The literature on the dynamics of inflation appears to have shifted from the question of the root cause of shocks to inflation, to whether the monetary union has a bearing in the measure of the degree or the persistence of the effect of the shocks. To capture the specific effect of monetary policy shocks on the persistence of inflation in WAMZ, a multivariate Vector Autoregressive Moving Average GARCH (VARMA- GARCH) framework is implemented. The study employs both conventional and conditional time-varying unit root tests to understand the extent to which monetary union influences the degree of inflation persistence. We find the degree of inflation persistence to have been relatively lower since the advent of monetary union in the WAMZ. The significance of this finding is particularly evident when the time-varying property of the persistence is captured. It is also observed that a monetary policy shock has the potential to neutralise the persistence of shocks to inflation at least in the long run, particularly when the timevarying property of the inflation series is captured. Journal: Studies in Economics and Econometrics Pages: 1-34 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097354 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097354 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:1-34 Template-Type: ReDIF-Article 1.0 Author-Name: A.R.M. Alsayed Author-X-Name-First: A.R.M. Author-X-Name-Last: Alsayed Author-Name: A. Malik Author-X-Name-First: A. Author-X-Name-Last: Malik Title: Detecting the Environmental Kuznets Curve in African Countries Abstract: The growth of the African economy is increasing rapidly since the last decades, but those economic activities affect environmental quality. Researches have shown that an increase in economic activities would lead to environmental degradation which may eventually cause environmental collapse. In this study we intend to examine the relationship between CO2 emission as a proxy of the environmental quality and gross domestic product (GDP) as a proxy of economic growth in Africa, then to detect and compare the Environmental Kuznets Curve (EKC) between African economic groups. An annual data of forty-eight (48) African countries classified into four economic levels according to World-Bank classification: lower income, lower middle income, lower upper income, and higher income countries for the period between 1960 to 2014, using panel data regression technique. The main findings show that there is a significant positive relationship between CO2 emission and GDP in Africa, as one unit of GDP increase, CO2 emission will increase by 0.37 metric ton in the African continent. Moreover, the analysis shows the existence of the EKC hypothesis of an inverted U-shape curve for all African economic levels with a higher turning point in higher income countries. Journal: Studies in Economics and Econometrics Pages: 35-44 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097355 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097355 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:35-44 Template-Type: ReDIF-Article 1.0 Author-Name: Q. Mashalaba Author-X-Name-First: Q. Author-X-Name-Last: Mashalaba Author-Name: C-K. Huang Author-X-Name-First: C-K. Author-X-Name-Last: Huang Title: Aggregational Effects in Extreme Value and Generalized Hyperbolic Models for Value-At-Risk Estimation: Evidence From the NYSE, FTSE, KRX and TWSE Abstract: The accurate estimation of Value-at-Risk (VaR) has become central to the measurement and management of financial risk - in particular, the financial risk inherent in investing in stock markets. While the Gaussian distribution is known to provide an unsuitable depiction of daily asset returns, it is a well-established fact that returns taken weekly, monthly or quarterly exhibits (progressively) more Gaussian behaviour. This paper examines such aggregational effect in using two popular families of distributions, namely extreme value models and generalized hyperbolic models, for VaR estimation and contrasts their behaviours against the corresponding Gaussian estimates. The data sets used are returns of indices extracted from the NYSE, FTSE, KRX and TWSE. Journal: Studies in Economics and Econometrics Pages: 45-72 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097356 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097356 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:45-72 Template-Type: ReDIF-Article 1.0 Author-Name: G. Marozva Author-X-Name-First: G. Author-X-Name-Last: Marozva Author-Name: D. Makina Author-X-Name-First: D. Author-X-Name-Last: Makina Title: Liquidity Risk and Asset Liability Mismatches: Evidence From South Africa Abstract: Using a panel of South African banks covering the period from 2005 t o 2015, we further develop, validate and test the liability mismatch index (LMI) developed by Bai, Krishnamurthy and Weymuller (2018). Deviating from their approach, we develop measures of liquidity that integrate both market liquidity and funding liquidity. Two liquidity measures developed are the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) whose performances are compared and contrasted with the Basel III liquidity measures and traditional liquidity measures. Overall, the two constructed liquidity indices perform better than other liquidity measures. Unlike the LMI, the BLMI and ALMI can be used to evaluate the liquidity of a given bank under liquidity stress events. Our empirical results, though not significant, also show that banks increase their liquidity buffers during times of turmoil as both BLMI and ALMI improved during the period 2007-2009. Journal: Studies in Economics and Econometrics Pages: 73-112 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097357 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097357 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:73-112 Template-Type: ReDIF-Article 1.0 Author-Name: R.T. Nokuthula Author-X-Name-First: R.T. Author-X-Name-Last: Nokuthula Author-Name: M.B. Tavonga Author-X-Name-First: M.B. Author-X-Name-Last: Tavonga Title: An Efficiency Analysis of Female Hair Dressers in Empangeni, South Africa: The Role of Infrastructure Abstract: Infrastructure is widely considered an important determinant of firm performance but evidence on its importance on technical efficiency of hairdressers is very limited. Against this background, this study sought to compute and compare the technical efficiency levels of female hairdressers operating by the road side with those operating within formalised and designated salons. Primary cross-sectional data were collected using questionnaires and analysed within a quantitative research design. Technical efficiency was measured using a stochastic frontier technique which, in computing efficiency scores, separates the effect of random factors that are exogenous to the hairdressers. Based on a Cobb Douglas functional form chosen by relevant statistical tests, results from the stochastic frontier model estimated by the maximum likelihood confirm that hairdressers operating in designated saloons are more efficient when compared with hairdressers operating by the road side. A policy implication arising from this finding is that the provision of proper infrastructure is necessary to improve technical efficiency of hairdressers currently operating by the road side. Journal: Studies in Economics and Econometrics Pages: 113-128 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097358 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097358 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:113-128 Template-Type: ReDIF-Article 1.0 Author-Name: D.N. Yuni Author-X-Name-First: D.N. Author-X-Name-Last: Yuni Author-Name: N. Urama Author-X-Name-First: N. Author-X-Name-Last: Urama Author-Name: U. Ugwuegbe Author-X-Name-First: U. Author-X-Name-Last: Ugwuegbe Author-Name: T. Agbanike Author-X-Name-First: T. Author-X-Name-Last: Agbanike Title: When Does Export Diversification Improve Economic Growth? A Comparative Analysis of Sub-Saharan African Countries Abstract: There has been increased interest in promoting export diversification as a means of ensuring sustainable growth in most developing countries. Yet, the arguments on the relationships between export diversity and economic growth is not settled in literature, with mixed findings concerning the sign and size of the correlation. This study assesses the relationship between export diversification and economic growth in selected Sub-Saharan African countries. Employing fixed effect and generalised least square regression models, with data from the World Bank, the findings show that a U-shaped relationship between export concentration and economic growth: the study finds a positive non-significant relationship for low-income countries, a positive and significant relationship for lower-middle-income countries and negative though not significant relationship for upper-middle-income countries. Journal: Studies in Economics and Econometrics Pages: 129-141 Issue: 1 Volume: 44 Year: 2020 Month: 4 X-DOI: 10.1080/10800379.2020.12097359 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097359 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:1:p:129-141 Template-Type: ReDIF-Article 1.0 Author-Name: M.R. Abonazel Author-X-Name-First: M.R. Author-X-Name-Last: Abonazel Author-Name: O.A. Shalaby Author-X-Name-First: O.A. Author-X-Name-Last: Shalaby Title: Using Dynamic Panel Data Modeling to Study Net FDI Inflows in MENA Countries Abstract: Foreign direct investment (FDI) plays a critical role in providing financial capital needs, technology transfer, and creating more jobs in the host country. It also helps economies to increase competitiveness and productivity, thereby increasing exports and enhancing opportunities for growth and development. Middle East and North Africa (MENA) countries are in desperate need of more FDI inflows to resolve their economic problems. This paper investigates the determinants of net FDI inflows to 23 countries in MENA region during the period from 1995 to 2017 by using static and dynamic panel data analysis. The results indicate that macro determinants, such as gross domestic product (GDP) growth rate, openness, the inflation rate, and public expenditure have a significant impact on net FDI inflows. In addition, we observe that rents from natural resource (oil), exchange rate, and total reserves of foreign exchange and monetary gold do not significantly influence FDI. Journal: Studies in Economics and Econometrics Pages: 1-28 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097360 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097360 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:1-28 Template-Type: ReDIF-Article 1.0 Author-Name: W.N. Bandura Author-X-Name-First: W.N. Author-X-Name-Last: Bandura Title: Trade Openness, Institutions and Financial Development in Sub-Saharan Africa Abstract: The study aims to determine the connection between trade openness, institutions and financial development for 26 countries in sub-Saharan Africa over the period 1982-2016. The analysis relies on system GMM estimation with 5-year (non-overlapping) averaged data. The results reveal no evidence of a significant impact of trade openness on financial development. There is, however, evidence of a positive (though statistically weakly significant) impact of institutional quality on the development of the financial sector. There is also no evidence of a significant joint impact of the trade openness and institution quality on financial sector development. Journal: Studies in Economics and Econometrics Pages: 29-48 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097361 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097361 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:29-48 Template-Type: ReDIF-Article 1.0 Author-Name: L. Theron Author-X-Name-First: L. Author-X-Name-Last: Theron Author-Name: G. van Vuuren Author-X-Name-First: G. Author-X-Name-Last: van Vuuren Title: Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios Abstract: Maximising returns is often the goal of asset management, but in the current (2020) low-interest investment environment, plagued by political, trade and economic uncertainty, managing portfolio risk also plays a significant role. Maximally diversified (MD) portfolios are assembled with an emphasis on risk management, not return outperformance. This approach can yield considerable benefits for risk- averse investors. While some work has been done applying this technique to passive portfolios, little to none has been undertaken on active portfolios, restricted by tracking errors (TEs) and evaluated relative to a benchmark. For the first time, actively managed maximum diversification portfolios are scrutinised over time. In booming markets, actively managed MD portfolios generate significant outperformance, but during recessionary periods, no significant benefits emerge. Returns and Sharpe ratios are weak and volatilities high (albeit lower than other strategies). As TE increases, actively managed MD portfolio weights become less confined and adjust ever closer to the overall (unconstrained) MD portfolio weights. Fewer benefits are realised as TEs increase for actively managed MD portfolios compared with the unconstrained alternative. Journal: Studies in Economics and Econometrics Pages: 49-72 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097362 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097362 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:49-72 Template-Type: ReDIF-Article 1.0 Author-Name: H. Bouhali Author-X-Name-First: H. Author-X-Name-Last: Bouhali Author-Name: M.S. Chiadmi Author-X-Name-First: M.S. Author-X-Name-Last: Chiadmi Author-Name: F. Ghaiti Author-X-Name-First: F. Author-X-Name-Last: Ghaiti Title: Is there an Interdependence in Foreign Exchange Markets During Non-Crisis Periods? Empirical Evidence from Mena Countries Abstract: The purpose of this article is to investigate the existence of volatility interdependence in different fixed-exchange-rates markets during non-crisis periods. Based on daily exchange rates from four Middle East and North African (MENA) countries (Saudi Arabia, Kuwait, Morocco, and Tunisia), we use an original approach, combining proper segmentation of our data sample with univariate and multivariate GARCH models. The main result is that fixed exchange rates do show different levels of volatility interdependence to the international market in both stable and crisis periods. Moreover, the type of exchange rate regime plays a significant role in maintaining the interdependence, while introducing flexibility reforms tend to reduce it and to increase the impacts of past shocks. Journal: Studies in Economics and Econometrics Pages: 73-107 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097363 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097363 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:73-107 Template-Type: ReDIF-Article 1.0 Author-Name: J. Vaca Author-X-Name-First: J. Author-X-Name-Last: Vaca Title: Income Concentration and Economic Growth in the Neoliberal Period (1980-2014) Abstract: Fiscal reforms, which were the result of neoliberal economic policies, have led many countries to higher levels of inequality since the 1980s. This paper shows that the impact of income concentration on economic growth is both positive and negative, depending on the degree of accumulation. A positive relationship is observed when the concentration is moderate, but, when it becomes extreme, its impact turns negative. This trend is reflected in an inverted U-shaped curve. Using a GMM model, for a sample of 31 countries, it is found that the curve undergoes a change of direction when the 99th percentile accounts for approximately 24-26% of the total national income (this turning point is lower for OECD countries [14%] than for non-OECD countries [28%]). Also, the slopes suggest that the negative effects are much greater (about twice) than the positive ones. Journal: Studies in Economics and Econometrics Pages: 109-132 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097364 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097364 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:109-132 Template-Type: ReDIF-Article 1.0 Author-Name: J.J. Szczygielski Author-X-Name-First: J.J. Author-X-Name-Last: Szczygielski Author-Name: L.M. Brummer Author-X-Name-First: L.M. Author-X-Name-Last: Brummer Author-Name: H.P. Wolmarans Author-X-Name-First: H.P. Author-X-Name-Last: Wolmarans Title: Underspecification of the Empirical Return-Factor Model and a Factor Analytic Augmentation as a Solution to Factor Omission Abstract: This empirical paper comprehensively sets out the impact of underspecification on a key foundational concept in empirical finance, the linear factor model. It places emphasis on the extensive consequences of factor omission for model estimation and interpretation. Factor omission in time-series models that relate asset returns to pre-specified factor sets is a common problem. A proposed standard and widely-used solution is the inclusion of a residual market factor which is assumed to be a catch-all proxy for omitted factors. This study shows that a specification that incorporates a set of carefully selected macroeconomic factors will be underspecified. The inclusion of residual market factors will alleviate but not eliminate the consequences of underspecification. Although the early use of factor analytically derived factor scores in factor models has been criticized, augmenting a model comprising pre-specified factors with statistical factors derived from the residuals results in an accurately specified model for which the diagonality assumption holds. Consequently, this paper shows that a factor analytic augmentation is an effective and readily implementable solution to the factor omission problem. Journal: Studies in Economics and Econometrics Pages: 133-165 Issue: 2 Volume: 44 Year: 2020 Month: 8 X-DOI: 10.1080/10800379.2020.12097365 File-URL: http://hdl.handle.net/10.1080/10800379.2020.12097365 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:2:p:133-165 Template-Type: ReDIF-Article 1.0 Author-Name: K.O. Emenike Author-X-Name-First: K.O. Author-X-Name-Last: Emenike Title: DYNAMIC INTERDEPENDENCE BETWEEN CRUDE OIL PRICES AND FOREIGN EXCHANGE MARKET IN NIGERIA Abstract: Modelling volatility interdependence between crude oil and foreign exchange markets returns provides useful insights into how information is transmitted from the crude oil market to the foreign exchange market and vice versa. This paper evaluates dynamic interdependence between crude oil and foreign exchange markets by applying Baba, Engle, Kraft and Kroner (1990) (BEKK) specifications to crude oil prices and Naira/USD exchange rates. Estimates from the BEKK-GARCH (1,1) model indicate evidence of unidirectional shock and volatility transmission from crude oil market to foreign exchange market in Nigeria. Evidence of unidirectional volatility transmission provides support for partial interdependence between the markets in Nigeria. This finding has important implications for financial risk management, foreign exchange market regulation and crude oil revenue management policy. Journal: Studies in Economics and Econometrics Pages: 1-20 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919418 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919418 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: S. Boshoff Author-X-Name-First: S. Author-X-Name-Last: Boshoff Author-Name: G. van Vuuren Author-X-Name-First: G. Author-X-Name-Last: van Vuuren Author-Name: W. Viviers Author-X-Name-First: W. Author-X-Name-Last: Viviers Title: IDENTIFYING THE DRIVERS OF TRADE FINANCE IN SOUTH AFRICA Abstract: Trade finance (or bank intermediated trade finance) plays an integral role in facilitating trade across the globe: most studies assert that trade finance (TF) forms part of more than 80% of total global trade. Although TF has increased in importance for policy makers after the financial crises of 2008, most studies conducted over the last decade (2009 onward) focussed on the supply side of TF and how its reduction has hampered trade. By applying a robust least squares maximum likelihood estimation technique, and using bi-squares and median absolute deviation-centred (MADMED) scaling, this study investigates the international and domestic variables driving demand for TF for several listed South African companies. This study identified 12 instances of individually significant relationships between certain industries and the independent variable (both domestic and international financial and economic variables). It also found significant regression results for the retail industry at first differences and identified that macro-economic and financial variables (such as the US gross domestic product and the rand-British pound exchange rate) influenced the demand for retail TF. The sole significant domestic variable was South African bank asset-to-capital ratios, showing that both financial and economic factors are relevant in identifying TF demand drivers of South African companies. Journal: Studies in Economics and Econometrics Pages: 139-162 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919428 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919428 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:139-162 Template-Type: ReDIF-Article 1.0 Author-Name: K. Malandala Author-X-Name-First: K. Author-X-Name-Last: Malandala Author-Name: J.O. Olaomi Author-X-Name-First: J.O. Author-X-Name-Last: Olaomi Title: ANALYSIS OF THE DEPENDENCE STRUCTURE BETWEEN MINERALS PRICES AND THE RAND/USD EXCHANGE RATE USING COPULAS Abstract: Copula functions are flexible tools for modelling the dependence structure between variables. In this research, we extend the literature on currency-commodity relationship using copulas. We examine the dependence structure between gold, platinum mineral prices and RAND/USD exchange rate. ARMA (1, 1)-EGARCH (1, 1) and ARMA(1, 1)-APARCH (1, 1) models under different error terms including normal, student-t and skewed student-t were fitted to the returns of commodity prices and the exchange rate. Constants and time varying copulas were then employed to examine the commodity-currency dependence structure. The results show evidence of a positive, strong dependence between gold, platinum prices and the RAND/USD exchange rate. The analysis relies on Clayton, rotated Clayton, Student-t, Gumbel, rotated Gumbel, Plackett and Joe Clayton copulas and provide an indication of leverage effects. The results of the time varying Normal copula indicate that fluctuations in gold and platinum prices generate Rand/USD volatility. Journal: Studies in Economics and Econometrics Pages: 73-107 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919425 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919425 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:73-107 Template-Type: ReDIF-Article 1.0 Author-Name: N. Mupunga Author-X-Name-First: N. Author-X-Name-Last: Mupunga Author-Name: T. Ngundu Author-X-Name-First: T. Author-X-Name-Last: Ngundu Title: COMMODITY PRICE SHOCKS AND FINANCIAL SECTOR STABILITY IN COMMODITY DEPENDENT COUNTRIES IN SOUTHERN AFRICA Abstract: This paper examines the impact of negative commodity price shocks on financial sector stability in selected Southern African countries, namely Angola, Botswana, Mozambique, Namibia, Tanzania, Zambia and Zimbabwe. Using multivariate panel data regression analysis, with fixed effects from 2000 to 2015, the study shows that commodity price downturns result in increased non-performing loans and reduced bank profitability. Specifically, negative commodity price shocks reduce profitability as measured by the return on assets and return on equity. In addition, the study shows that there is an adverse impact on financial sector conditions, using a financial condition index as a proxy. The index was derived from a combination of measures of non-performing loans, return on assets and regulatory capital adequacy ratios, using a three variable dynamic factor model. The main transmission mechanisms through which commodity prices shocks affect financial stability are GDP growth, fiscal revenue, savings and the size of the fiscal deficit. Journal: Studies in Economics and Econometrics Pages: 109-137 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919427 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919427 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:109-137 Template-Type: ReDIF-Article 1.0 Author-Name: R. Erasmus Author-X-Name-First: R. Author-X-Name-Last: Erasmus Author-Name: H. Hollander Author-X-Name-First: H. Author-X-Name-Last: Hollander Title: A FORWARD GUIDANCE INDICATOR FOR THE SOUTH AFRICAN RESERVE BANK: IMPLEMENTING A TEXT ANALYSIS ALGORITHM Abstract: The expansion of central bank communications and the increased use thereof as a policy tool to manage expectations have led to an area of research, semantic modelling, that analyses the words and phrases used by central banks. We use text-mining and text-analysis techniques on South African Reserve Bank monetary policy committee statements to construct an index measuring the stance of monetary policy: a forward guidance indicator (FGI). We show that, after controlling for market expectations, FGIs provide significant explanatory power for future changes in the repurchase interest rate (the primary monetary policy instrument). Their out-of-sample predictive power is, however, weak. Furthermore, we show that FGIs are primarily driven by inflation expectations, which highlights the strong link between the SARB’s communication strategy and its inflation targeting mandate. In fact, we observe a systematic anti-inflation bias in the communicated stance of monetary policy—both absolutely and asymmetrically. Overall, Monetary Policy Committee (MPC) statements reflect relevant information on the inflationary stance and policy decisions of the South African Reserve Bank (SARB), but, since forecasts are conditional on current information, they provide unreliable forward guidance. Given this finding, MPC statements should emphasize the conditional nature of the SARB’s stance, and what that implies for the future path of the policy rate. Journal: Studies in Economics and Econometrics Pages: 41-72 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919424 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919424 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:41-72 Template-Type: ReDIF-Article 1.0 Author-Name: H. Dong Author-X-Name-First: H. Author-X-Name-Last: Dong Author-Name: X. Guo Author-X-Name-First: X. Author-X-Name-Last: Guo Title: WEAK LINKS AMONG RISK, RETURN AND VOLUME IN TIME AND FREQUENCY DOMAINS Abstract: The classical portfolio theory suggests that higher returns of an asset are justified by the higher risk it carries, supported by multi-factor cross-sectional regressions. By investigating the time series and frequency transformation of the Russell 3000 constituents, this study shows that there are weak links between risk and return, as well as trade volume and return. Only 19,02% (13,45%) constituents have significantly positive (negative) risk and return relationships. In addition, only 7,66% (12,77%) of the returns are positively (negatively) related to trade volume. We use the cross-wavelet power spectrums to provide additional evidence on the weak links. The conclusions from cross-sectional analysis might lead to the asset misallocation in a time series setting. Journal: Studies in Economics and Econometrics Pages: 21-40 Issue: 3 Volume: 44 Year: 2020 Month: 12 X-DOI: 10.1080/03796205.2020.1919421 File-URL: http://hdl.handle.net/10.1080/03796205.2020.1919421 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:44:y:2020:i:3:p:21-40 Template-Type: ReDIF-Article 1.0 Author-Name: Ada Jansen Author-X-Name-First: Ada Author-X-Name-Last: Jansen Author-Name: Wynnona Steyn Author-X-Name-First: Wynnona Author-X-Name-Last: Steyn Author-Name: Winile Ngobeni Author-X-Name-First: Winile Author-X-Name-Last: Ngobeni Author-Name: Alexius Sithole Author-X-Name-First: Alexius Author-X-Name-Last: Sithole Title: The corporate income tax gap in South Africa: a top-down approach Abstract: A key objective of many governments is to improve tax revenue mobilization. One way to achieve this is by improving tax compliance. This requires accurate knowledge of the tax gap, i.e., the difference between what should be paid and what is actually paid. Tax gaps have been primarily estimated in developed countries, and very little is known about tax gaps in developing countries. Information about these gaps can help policy makers develop appropriate revenue mobilization strategies. This paper uses a top-down approach to estimate the tax gap in corporate income tax in South Africa. It uses national accounts statistics and tax administrative data to estimate the gap in the non-financial corporate sector, i.e., the difference between potential and actual corporate income tax under current tax legislation. The overall gap is estimated at 39 per cent of the potential tax liability or 2 per cent of GDP over the period 2015 to 2017. Journal: Studies in Economics and Econometrics Pages: 53-69 Issue: 1 Volume: 45 Year: 2021 Month: 1 X-DOI: 10.1080/03796205.2021.1956167 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1956167 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:1:p:53-69 Template-Type: ReDIF-Article 1.0 Author-Name: Estian Calitz Author-X-Name-First: Estian Author-X-Name-Last: Calitz Author-Name: Eva Muwanga-Zake Author-X-Name-First: Eva Author-X-Name-Last: Muwanga-Zake Author-Name: Alexius Sithole Author-X-Name-First: Alexius Author-X-Name-Last: Sithole Author-Name: Wynnona Steyn Author-X-Name-First: Wynnona Author-X-Name-Last: Steyn Title: Depreciation allowances in South Africa Abstract: Since the 1980s, tax depreciation allowances are used less as instruments of macroeconomic stabilization and more as long-term measures to stimulate investment. This paper tabulates the types of accelerated depreciation allowances in South Africa and calculates the magnitude of these benefits in addition to standard across-the-board accounting depreciation by companies. Using anonymized tax assessment data from the South African Revenue Service, the analysis generates the aggregate and sectoral composition of tax depreciation and tax investment allowances for 2014–2017. An estimate is offered of the cost to the treasury of these tax expenditures, and the reduction in the statutory corporate income tax rate should these depreciation allowances be terminated. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 45 Year: 2021 Month: 1 X-DOI: 10.1080/03796205.2021.1956166 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1956166 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 Author-Name: Pierre J. Venter Author-X-Name-First: Pierre J. Author-X-Name-Last: Venter Author-Name: Eben Maré Author-X-Name-First: Eben Author-X-Name-Last: Maré Title: GARCH option pricing and implied FX volatility indices Abstract: The focus of this paper is the foreign exchange (FX) variance risk premium and the modelling of FX volatility indices of both a developed (United States Dollar) and an emerging market (South African Rand). Regarding the methodology, the variance risk premium is estimated as the difference between realised variance and the variance obtained from the volatility index, and different univariate Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models are considered for the modelling of the volatility index. Empirical results indicate that the variance risk premium is negative on average, this is consistent with previous findings in the literature. Furthermore, asymmetric GARCH models outperform the symmetric GARCH model when modelling FX implied volatility indices. Journal: Studies in Economics and Econometrics Pages: 42-52 Issue: 1 Volume: 45 Year: 2021 Month: 1 X-DOI: 10.1080/03796205.2021.1956170 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1956170 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:1:p:42-52 Template-Type: ReDIF-Article 1.0 Author-Name: Mikidadu Mohammed Author-X-Name-First: Mikidadu Author-X-Name-Last: Mohammed Title: The differential effects of oil price shocks on exchange rate, inflation, and monetary policy rate in Ghana Abstract: This paper investigates the differential effects of oil price shocks on exchange rate, inflation, and monetary policy rate in Ghana. The paper also introduces the trade weighted U.S. dollar-major currencies index as another measure for identifying the speculative component of the real price of oil. To execute its objective, the paper employed a two-step estimation technique and monthly data from 1973 to 2018. The two-step method involves structural VAR in the first step and OLS regressions in the second step. Full sample estimation results indicate that oil price shocks are inconsequential to exchange rate, inflation, and monetary policy rate in Ghana. Furthermore, when the sample is split into two sub-periods, the study did not find the fact that Ghana switching from a net oil-importer to a net oil-exporter have any deferential effect. Taken together, the findings suggest that even in emerging and developing countries, a fading relationship between oil price shocks and macroeconomic indicators could exist. Journal: Studies in Economics and Econometrics Pages: 23-41 Issue: 1 Volume: 45 Year: 2021 Month: 1 X-DOI: 10.1080/03796205.2021.1956168 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1956168 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:1:p:23-41 Template-Type: ReDIF-Article 1.0 Author-Name: Manuchehr Irandoust Author-X-Name-First: Manuchehr Author-X-Name-Last: Irandoust Title: FDI and financial development: evidence from eight post-communist countries Abstract: This paper empirically examines the effects that host countries’ financial development (FD) has on foreign direct investment (FDI). The departure from earlier studies of the role of FD in attracting FDI is in the multidimensional FD index. Thus, this paper investigates the causal relationship between FDI and FD in eight post-communist countries. The bootstrap panel Granger causality approach is utilized to detect the direction of causality. The findings show that there is only a unidirectional causality running from FD to FDI in six countries out of eight under review. The policy implication of the findings is that countries wishing to attract more FDI should implement measures to improve access to external finance and this should be accompanied by a well-functioning and adequately regulated financial system. Journal: Studies in Economics and Econometrics Pages: 102-116 Issue: 2 Volume: 45 Year: 2021 Month: 4 X-DOI: 10.1080/03796205.2021.1978859 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1978859 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:2:p:102-116 Template-Type: ReDIF-Article 1.0 Author-Name: Jean-Louis Bago Author-X-Name-First: Jean-Louis Author-X-Name-Last: Bago Author-Name: Ernest Ouédraogo Author-X-Name-First: Ernest Author-X-Name-Last: Ouédraogo Author-Name: Miaba Louise Lompo Author-X-Name-First: Miaba Louise Author-X-Name-Last: Lompo Title: HIV among women: does education matter more than we previously thought? Abstract: Women remain disproportionately affected by HIV in sub-Saharan Africa. Although there is unanimous agreement on the positive impact of schooling in reducing the pandemic, measuring the extent of this impact remains empirically difficult. Using data from the 2018 round of Zambia’s Demographic and Health Survey (DHS), we took advantage of the free primary education reform that abolished school fees for grades one to six in 2002 to obtain an exogenous variation in women’s education levels. We estimate a three-equation model to assess consistent estimates of the impact of education on a woman’s probability to be HIV positive. When the problems of sample selection and endogeneity are not addressed, we find that the effect of education on HIV status is greatly underestimated. After controlling for these two sources of bias, the effect having a secondary education on the risk of being seropositive doubles when compared to the uncorrected results. This result suggests that women acquire agency through education to prevent HIV infection. Pathways to these effects include contraceptive use, the number of lifetime sexual partners and marital status. Hence, policy makers and practitioners in Zambia should invest substantial efforts in promoting girls’ education in order to reduce the prevalence of HIV/AIDS among women. Journal: Studies in Economics and Econometrics Pages: 71-87 Issue: 2 Volume: 45 Year: 2021 Month: 4 X-DOI: 10.1080/03796205.2021.1980962 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1980962 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:2:p:71-87 Template-Type: ReDIF-Article 1.0 Author-Name: Umakrishnan Kollamparambil Author-X-Name-First: Umakrishnan Author-X-Name-Last: Kollamparambil Title: The child support grant and childbearing in South Africa: is there a case for a basic income grant? Abstract: This is the first study in South Africa analysing the impact of the child support grant (CSG) on higher-order fertility behaviour based on a nationally representative dataset. The study uses the fifth wave of national income dynamics study (NIDS) survey data covering women from age 15 to 58 years to undertake the propensity score matching technique to ascertain whether the CSG grant drives fertility behaviour. The findings indicate that, while the CSG does not have a significant impact on fertility rates among teen mothers, older mothers from the age of 20 upwards to 58 years receiving the CSG have significantly more children compared to those that do not receive the grant, even after controlling for other relevant precursors and factoring in self-selection issues. This study underscores the need to consider the perverse incentives while designing social policy. Journal: Studies in Economics and Econometrics Pages: 88-101 Issue: 2 Volume: 45 Year: 2021 Month: 4 X-DOI: 10.1080/03796205.2021.1978858 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1978858 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:2:p:88-101 Template-Type: ReDIF-Article 1.0 Author-Name: M. H. Kapche Fotso Author-X-Name-First: M. H. Author-X-Name-Last: Kapche Fotso Author-Name: W. G. P. Brown Author-X-Name-First: W. G. P. Author-X-Name-Last: Brown Title: Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange Abstract: The study examines the cyclical behaviour of style premiums on the Johannesburg Stock Exchange (JSE) over the period 2002–2018. More specifically, the study establishes whether there is a contemporaneous relationship between style premiums and certain regime dynamics. The examination period extends over two consecutive business cycles, each with an upward and a downward phase. A robust factor-mimicking portfolio construction procedure is employed. Findings show that the small-cap risk premium shrinks significantly or becomes negative during downward phases while the momentum premium is strongly positive throughout the study period, but is lower during downward phases. The value premium is positive during downward periods and particularly strong around the 2008 financial crisis period, but is low or negative during upward phases. Thus, the size and momentum effects are procyclical while the value effect is countercyclical on the JSE. The study adds to the limited JSE-related literature and is likely to be of interest to factor allocation investors wanting to exploit the phases of the business cycle. Journal: Studies in Economics and Econometrics Pages: 117-129 Issue: 2 Volume: 45 Year: 2021 Month: 4 X-DOI: 10.1080/03796205.2021.1978857 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1978857 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:2:p:117-129 Template-Type: ReDIF-Article 1.0 Author-Name: E Kouassi Author-X-Name-First: E Author-X-Name-Last: Kouassi Title: Effects of Inflation on Ivorian Fiscal Variables: An Econometric Investigation Abstract: This paper analyses the effects of inflation on the Ivorian fiscal variables by using the Aghevi-Khan model (1978) to estimate the time required for a change in the Consumer Price Index to be fully reflected in Ivorian fiscal variables. The Kalman Filter approach is also used to forecast Ivorian fiscal variables, accounting for stochastic trends and structural breaks. Simulations experiments are also used to study policy implications. Journal: Studies in Economics and Econometrics Pages: 1-18 Issue: 1 Volume: 20 Year: 1996 Month: 3 X-DOI: 10.1080/03796205.1996.12129086 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129086 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: A Roux Author-X-Name-First: A Author-X-Name-Last: Roux Title: Defence Expenditure and Economic Growth in South Africa Abstract: In assessing the impact of military expenditure on South Africa’s growth performance between 1960 and 1990, this paper first explores the plausible interrelationship between the two variables, based on theoretical and empirical evidence. The nature and magnitude of the influence of military expenditure are then estimated with the aid of appropriate regression techniques.Although some of the statistical tests are somewhat unconvincing, it would seem fair to conclude that the military burden had a negative effect on economic growth between 1960 and 1990. The econometric results also suggest that military spending has not influenced - positively or negatively - the gross domestic savings rate, and that the current account has reacted negatively to military expenditure. Finally, during the period under review military spending decisions did not take cognisance of prevailing economic considerations. Journal: Studies in Economics and Econometrics Pages: 19-34 Issue: 1 Volume: 20 Year: 1996 Month: 3 X-DOI: 10.1080/03796205.1996.12129087 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129087 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:19-34 Template-Type: ReDIF-Article 1.0 Author-Name: J vd S Heyns Author-X-Name-First: J vd S Author-X-Name-Last: Heyns Title: The Theory and Practice of Tax Earmarking: Implications for South Africa Abstract: The practice of tax earmarking or dedication is relatively common in many parts of the world especially developing countries. The (Katz) Commission of Inquiry into certain aspects of the Tax Structure of South Africa has given some attention to the issue of tax dedication, and there are other recent indications of a growing interest in earmarking to finance high-priority public spending in South Africa. The paper reviews the literature on various theoretical and practical issues related to the definition, incidence, rationale and likely effects of tax earmarking in South Africa and abroad. The paper concludes that an extension of the practice in South Africa is unlikely to further the current public finance objectives of efficiency, equity, discipline and transparency, and that the scope of tax earmarking needs to be confined to high-profile projects which can be monitored effectively on a regular basis. Journal: Studies in Economics and Econometrics Pages: 35-58 Issue: 1 Volume: 20 Year: 1996 Month: 3 X-DOI: 10.1080/03796205.1996.12129088 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129088 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:35-58 Template-Type: ReDIF-Article 1.0 Author-Name: D Bendel Author-X-Name-First: D Author-X-Name-Last: Bendel Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Author-Name: W D Hamman Author-X-Name-First: W D Author-X-Name-Last: Hamman Title: Some Evidence of Persistence in South African Financial Time Series Abstract: This article analyses some South African financial time series in order to ascertain whether long-term persistence is present. The technique used is that of Rescaled Range Analysis. The effect of short-term stochastic processes on Rescaled Range Analysis is determined, and methods to eliminate this bias are investigated.Long-term persistence is found for the share indices studied. The evidence for long-term persistence in the gold price is equivocal, and no evidence is found for long-term persistence in the interest and exchange rate series. The presence of long-term persistence in the share indices is incompatible with the weak form of the Efficient Market Hypothesis. Journal: Studies in Economics and Econometrics Pages: 59-83 Issue: 1 Volume: 20 Year: 1996 Month: 3 X-DOI: 10.1080/03796205.1996.12129089 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129089 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:59-83 Template-Type: ReDIF-Article 1.0 Author-Name: G J J Snyman Author-X-Name-First: G J J Author-X-Name-Last: Snyman Title: The Development of Leading Indicators for the South African Building Industry Abstract: Leading indicators are developed for the South African building industry using qualitative and quantitative data. A scoring system developed by the National Bureau of Economic Research, USA, is applied to determine the weights of the individual time series. Six criteria are applied when assessing and selecting the indicators. These are: economic significance, statistical adequacy, timing at revivals and recessions, conformity to historical business cycles, smoothness, and currency or timeliness. It is found that the composite leading indicators lead cyclical turning points in the South African building industry by between one and three quarters. Journal: Studies in Economics and Econometrics Pages: 85-98 Issue: 1 Volume: 20 Year: 1996 Month: 3 X-DOI: 10.1080/03796205.1996.12129090 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129090 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:85-98 Template-Type: ReDIF-Article 1.0 Author-Name: X de Vanssay Author-X-Name-First: X de Author-X-Name-Last: Vanssay Author-Name: Z A Spindler Author-X-Name-First: Z A Author-X-Name-Last: Spindler Title: Constitutions, Institutions and Economic Convergence: An International Comparison Abstract: This paper explores the role of constitutional constraints and economic freedom in determining economic convergence. We use a data set of 20 constitutional and economic freedom variables for 109 countries from 1960 to 1990. Our results show the importance of considering the role of governmentally determined institutions in the convergence debate. Journal: Studies in Economics and Econometrics Pages: 1-19 Issue: 3 Volume: 20 Year: 1996 Month: 11 X-DOI: 10.1080/03796205.1996.12129097 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129097 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:3:p:1-19 Template-Type: ReDIF-Article 1.0 Author-Name: G R Wesso Author-X-Name-First: G R Author-X-Name-Last: Wesso Title: Neural Networks and Econometric Methodologies for South African Exchange Rate Forecasting Abstract: One of the most popular applications of neural networks is the prediction of financial data, in particular the prediction of exchange rates. Though promising results have been achieved, the performance of neural networks is hardly ever related to the performance of econometric methodologies. This paper therefore compares multiple linear regression (MLR), variable parameter regression (VPR), and fully connected single middle layer artificial neural network (ANN) models. A hybrid approach is used to specify the topology of the neural net. It is further believed that neural networks are capable of dealing with the problem of economic structural change. A comparison concerning the out-of-sample forecasting performance of monthly Rand/US$ exchange rate models, under conditions of structural instability, is therefore conducted. It is shown that ANN models outperform both the MLR and VPR model in terms of out-of-sample forecasting accuracy. Journal: Studies in Economics and Econometrics Pages: 21-38 Issue: 3 Volume: 20 Year: 1996 Month: 11 X-DOI: 10.1080/03796205.1996.12129098 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129098 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:3:p:21-38 Template-Type: ReDIF-Article 1.0 Author-Name: N Biger Author-X-Name-First: N Author-X-Name-Last: Biger Author-Name: M J Page Author-X-Name-First: M J Author-X-Name-Last: Page Title: Some Further Evidence of the Effects of Model Choice on Market Events: Distribution of Stock Dividends on the Tel-Aviv Stock Exchange Abstract: This paper presents evidence that stocks traded on the Tel Aviv Stock Exchange (TASE), which appear to have provided significant abnormal returns following the announcement of stock dividend distributions, provide no such significant abnormal returns when the normal returns are defined in accordance with the Arbitrage Pricing Theory. The findings are similar to those reported by Biger and Page (1994) for South African shares traded on the JSE. In a sense the findings support the contention that at least some seemingly abnormal reaction of the market to corporate events is attributable to the choice of a measurement technique or model and not to market imperfections. Journal: Studies in Economics and Econometrics Pages: 39-47 Issue: 3 Volume: 20 Year: 1996 Month: 11 X-DOI: 10.1080/03796205.1996.12129099 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129099 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:3:p:39-47 Template-Type: ReDIF-Article 1.0 Author-Name: T Nichola Author-X-Name-First: T Author-X-Name-Last: Nichola Title: The Decision to Adopt and the Intensity of Adoption of Technology: A Double Hurdle Model Application in the Adoption of a Sorghum Hybrid Abstract: This paper argues that the double-hurdle model is more appropriate to identify the socioeconomic variables that influence adoption when agricultural technologies are scarce. In such cases the variables identified by probit or tobit models may confound the ability to acquire the scarce technology with the motivation to adopt. The double-hurdle model precludes this problem by separating the adoption process in two stages, the decision to adopt, and the decision on the degree of use of the technology. Estimating the two “hurdles” separately provides additional insight into the data. This is illustrated with the adoption of a sorghum hybrid in Sudan. The empirical results show that the decision to adopt and the decision on the intensity of adoption is explained by different sets of variables. The policy implications of this outcome are highlighted. Journal: Studies in Economics and Econometrics Pages: 49-57 Issue: 3 Volume: 20 Year: 1996 Month: 11 X-DOI: 10.1080/03796205.1996.12129100 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129100 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:3:p:49-57 Template-Type: ReDIF-Article 1.0 Author-Name: J U de Villiers Author-X-Name-First: J U de Author-X-Name-Last: Villiers Title: Evaluating Performance in Capital Projects: The Initial Return on Investment and Inflation Abstract: This paper studies the effect of inflation on the return on investment (ROI) required from a project in its first year of operation. This is important because ROI is often used to evaluate the performance of a project once it has been started.The paper shows that inflation has a marked influence on the required initial ROI of projects. The extent of this effect depends upon the type of assets (the ratios of current, depreciable and non-depreciable assets) and the life of depreciable assets employed.The analysis shows that decision makers should, under inflation, require a higher initial ROI from projects employing current assets than from projects employing depreciable or non-depreciable assets. It also shows that they should generally require a higher initial ROI from projects employing short life depreciable assets than from projects employing depreciable assets with a longer life. Journal: Studies in Economics and Econometrics Pages: 59-78 Issue: 3 Volume: 20 Year: 1996 Month: 11 X-DOI: 10.1080/03796205.1996.12129101 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129101 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:3:p:59-78 Template-Type: ReDIF-Article 1.0 Author-Name: B W Smit Author-X-Name-First: B W Author-X-Name-Last: Smit Author-Name: G M Pellissier Author-X-Name-First: G M Author-X-Name-Last: Pellissier Title: The BER Annual Econometric Model of the South African Economy: A Cointegration Version Abstract: The Bureau for Economic Research at the University of Stellenbosch has been using macroeconometric models for the purposes of short and medium-term forecasting of the South African economy since 1981. In this paper the most recent version of the annual model is presented. This version has been estimated with cointegration techniques, which is one of the more recently developed econometric techniques. The specific technique employed is the Engle-Granger two-step approach which provides for both a long-run cointegration equation and a short-term error-correction equation for each behaviourally explained variable. The broad structure of the model may be described as that of a conventional demand-oriented model with specific supply elements. The latter consist of a potential output measure which, in conjunction with the expenditure-determined total output, provides a measure of economy-wide capacity utilisation which then serves as a variable supply constraint in the determination of imports, (inventory) investment, prices and wages. Journal: Studies in Economics and Econometrics Pages: 1-35 Issue: 1 Volume: 21 Year: 1997 Month: 3 X-DOI: 10.1080/03796205.1997.12129102 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129102 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:1:p:1-35 Template-Type: ReDIF-Article 1.0 Author-Name: Z R Coetzee Author-X-Name-First: Z R Author-X-Name-Last: Coetzee Author-Name: J J Swanepoel Author-X-Name-First: J J Author-X-Name-Last: Swanepoel Author-Name: W A Naude Author-X-Name-First: W A Author-X-Name-Last: Naude Title: A Minimalist CGE Model for Analysing Trade Liberalisation in South Africa Abstract: CGE models are increasingly being used to inform economic policy analyses in South Africa. This paper is an attempt to improve the accessibility of the approach by providing a minimalist CGE model for the South African economy. The strengths and weaknesses of this minimalist CGE are determined by using it to simulate South Africa’s tariff reform programme. The results are consistent with theoretical and empirical research on trade liberalisation, and the model provides justification for these aspects in the government’s recently announced macroeconomic strategy. The weaknesses of the minimalist model are such however, that the need for a large-scale multisectoral model remains. The primary use of the minimalist CGE model lies in its suitability as a pedagogical tool. For this purpose, the spreadsheet version of the model is available from the authors. Journal: Studies in Economics and Econometrics Pages: 37-56 Issue: 1 Volume: 21 Year: 1997 Month: 3 X-DOI: 10.1080/03796205.1997.12129103 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129103 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:1:p:37-56 Template-Type: ReDIF-Article 1.0 Author-Name: D J Marais Author-X-Name-First: D J Author-X-Name-Last: Marais Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Author-Name: W J Conradie Author-X-Name-First: W J Author-X-Name-Last: Conradie Title: Expectation Formation Processes: Some Empirical Evidence From Survey Data Abstract: Three expectations formation models are tested by means of log-linear models using observed entrepreneurial behaviour as manifested in the qualitative business surveys of the Bureau for Economic Research. The three formulations are (i) extrapolative expectations, (ii) adaptive expectations and (iii) an error-learning expectation formation model. Results are presented for ten variables for the total industrial sector and disaggregated into capital and consumer goods industries, business cycle phases and high and low concentration industries. Journal: Studies in Economics and Econometrics Pages: 57-89 Issue: 1 Volume: 21 Year: 1997 Month: 3 X-DOI: 10.1080/03796205.1997.12129104 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129104 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:1:p:57-89 Template-Type: ReDIF-Article 1.0 Author-Name: E Kouassi Author-X-Name-First: E Author-X-Name-Last: Kouassi Title: Analyzing and Simulating Terms of Trade Shocks on Ivorian Macro-Economic Variables: An Error Corrected-Var Approach Abstract: This article examines the impact of terms of trade shocks on Ivorian macroeconomic variables, in the context of an open economy. The results show that shocks in terms of trade have a more significant effect on revenues than they have on expenditures and the current account. On the other hand, current account shocks are greater in magnitude and last longer than non-fiscal revenue shocks. In addition, impacts of terms of trade shocks are significant at the beginning, but decline over time to a rather modest level. In general, it is found that terms of trade shocks exert more significant and persistent effects on Ivorian macroeconomic variables. The results are interesting because they suggest that Côte-d’Ivoire can increase its exports of commodities more effectively by expending efforts on international macroeconomy policy coordination rather than on domestic sectoral policy. Journal: Studies in Economics and Econometrics Pages: 91-108 Issue: 1 Volume: 21 Year: 1997 Month: 3 X-DOI: 10.1080/03796205.1997.12129105 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129105 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:1:p:91-108 Template-Type: ReDIF-Article 1.0 Author-Name: A Parikh Author-X-Name-First: A Author-X-Name-Last: Parikh Author-Name: B Kahn Author-X-Name-First: B Author-X-Name-Last: Kahn Title: Determinants of Real Exchange Rates in South Africa: A Short-Run and Long-Run Analysis Abstract: The objective of the paper is to examine the deviations of the nominal exchange rates from the purchasing power parity level (real exchange rate) over the period 1979-94 using monthly data. The long-run behaviour of real exchange rates is explained by a structural approach and cointegration methodology. It is found that the long-run equilibrium real exchange rate responds to fundamentals, namely the gold price, productivity growth, transport costs and tariffs and terms of trade changes. In the short-run, domestic and foreign debt burdens influence the behaviour of the real exchange rate. Our analysis indicates that productivity growth in South Africa appreciates the real exchange rate against the US dollar in the long-run, while there seems to be no significant effect in the short run. Journal: Studies in Economics and Econometrics Pages: 1-21 Issue: 2 Volume: 21 Year: 1997 Month: 7 X-DOI: 10.1080/03796205.1997.12129106 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129106 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:2:p:1-21 Template-Type: ReDIF-Article 1.0 Author-Name: J B Madsen Author-X-Name-First: J B Author-X-Name-Last: Madsen Title: Macroeconomic Adjustment and Policy in South Africa Abstract: This paper outlines a simple aggregate supply and demand side model of the South African economy. The model is used to analyse the effects of nominal demand shocks on wages, prices, output and employment, allowing for feed-backs from the foreign sector. Estimates of the model indicate that monetary policy has a minor impact on inflation but a strong impact on production and employment. In conjunction with a finding of hysteresis in unemployment and partly in production, this result suggests that the present strict monetary stance will leave permanent scars on the economy. Journal: Studies in Economics and Econometrics Pages: 23-43 Issue: 2 Volume: 21 Year: 1997 Month: 7 X-DOI: 10.1080/03796205.1997.12129107 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129107 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:2:p:23-43 Template-Type: ReDIF-Article 1.0 Author-Name: M van der Westhuizen Author-X-Name-First: M van der Author-X-Name-Last: Westhuizen Title: Cell Properties as a Basis for Constructing Hybrid Regional Input-Output Tables Abstract: This paper evaluates the feasibility of developing hybrid input-output tables focussing on the various properties of the economic interactions (cells) embodied in the tables. It also provides a consistent methodology to distinguish between those economic interactions that have to be surveyed and those that can be determined by other means. An algorithm is developed and empirically tested by applying it to nine regional input-output tables for South Africa. Journal: Studies in Economics and Econometrics Pages: 45-68 Issue: 2 Volume: 21 Year: 1997 Month: 7 X-DOI: 10.1080/03796205.1997.12129108 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129108 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:2:p:45-68 Template-Type: ReDIF-Article 1.0 Author-Name: S Davidson Author-X-Name-First: S Author-X-Name-Last: Davidson Title: Is The Negative Relationship Between Debt Levels and Investment Opportunities Robust to Non-Debt Tax Shields? Evidence From South Africa Abstract: This paper investigates whether the negative relationship between firm debt levels and investment opportunity sets can be explained by tax considerations. The usual explanation for the inverse relationship is asymmetric information and agency problems. It is possible that tax considerations and especially non-debt tax shields could also explain the relationship. The results indicate that the inverse relationships is robust to the inclusion of non-debt tax shields and other determinants of leverage. In short, the results indicate that agency cost and information asymmetry explanations for leverage are important. Journal: Studies in Economics and Econometrics Pages: 69-83 Issue: 2 Volume: 21 Year: 1997 Month: 7 X-DOI: 10.1080/03796205.1997.12129109 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129109 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:2:p:69-83 Template-Type: ReDIF-Article 1.0 Author-Name: P van Rensburg Author-X-Name-First: P van Author-X-Name-Last: Rensburg Author-Name: K Slaney Author-X-Name-First: K Author-X-Name-Last: Slaney Title: Market Segmentation on the Johannesburg Stock Exchange Abstract: This study finds that the JSE Actuaries All Gold and Industrial Indices may be employed as observable proxies for the first two factor analytically extracted factors on the Johannesburg Stock Exchange. It is found that a two factor model specified in this manner provides a more comprehensive explanation of the return generating process operational on the JSE than the traditional single index market model of Markowitz (1959) and Sharpe (1963) and avoids many of the well documented difficulties associated with the factor analysis methodology. Both models are found to underlie pricing relationships within the framework of the APT. Examining the two factor model, it is found that the pricing restrictions implied by the APT cannot be rejected while those implied by the capital asset pricing model (CAPM) appeared to be distinctly violated when employing the All Share Index as the single market proxy. Journal: Studies in Economics and Econometrics Pages: 1-23 Issue: 3 Volume: 21 Year: 1997 Month: 11 X-DOI: 10.1080/03796205.1997.12129110 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129110 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:3:p:1-23 Template-Type: ReDIF-Article 1.0 Author-Name: C P van Walbeek Author-X-Name-First: C P van Author-X-Name-Last: Walbeek Author-Name: W J Pienaar Author-X-Name-First: W J Author-X-Name-Last: Pienaar Title: Forecasting the Demand for South African Rail Goods Transport Abstract: There has been a substantial decline in the demand for rail transport for a large number of commodities over the past decades. In particular, higher-value commodities, capable of bearing a higher transport cost, have been replaced by low-value commodities like coal and iron ore.In this paper a forecasting model for the rail demand of eighteen individual commodities was estimated by means of the method of ordinary least squares. In general macro-economic activity variables such as GDP and GDE were used as independent variables and these provided good regression results. An ex post historical simulation yielded satisfactory forecasts.The model suggests that total rail tonnage will increase annually by about 1,2 per cent under a “pessimistic” economic scenario, by 3,5 per cent under an “average” scenario and by 6,5 per cent under an “optimistic” scenario. Journal: Studies in Economics and Econometrics Pages: 25-45 Issue: 3 Volume: 21 Year: 1997 Month: 11 X-DOI: 10.1080/03796205.1997.12129111 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129111 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:3:p:25-45 Template-Type: ReDIF-Article 1.0 Author-Name: M Joao Author-X-Name-First: M Author-X-Name-Last: Joao Title: The Performance of External Pension Fund Management Companies in South Africa Abstract: This paper uses the parametric arid nonparametric procedures developed by Henriksson and Merton (1981) to evaluate empirically the investment performance of external pension fund managers in South Africa. Particular attention is devoted to the existence of either superior selectivity or market timing ability in managed portfolios. The results suggest that these fund managers do not appear to convincingly display any special market timing abilities, although there is some evidence of ’stock picking’ skills. The use of a nonparametric test which does not rely on a particular return structure is deemed particularly valuable considering the ongoing debate concerning the appropriate return generating process. Journal: Studies in Economics and Econometrics Pages: 47-66 Issue: 3 Volume: 21 Year: 1997 Month: 11 X-DOI: 10.1080/03796205.1997.12129112 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129112 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:3:p:47-66 Template-Type: ReDIF-Article 1.0 Author-Name: D J Bradfield Author-X-Name-First: D J Author-X-Name-Last: Bradfield Author-Name: C S Ardington Author-X-Name-First: C S Author-X-Name-Last: Ardington Title: A Note on the Riskiness of Long Term Investment on the JSE Abstract: This note focuses on the risk of longer term investment in equity on the JSE. Graphical and quantitative evidence of serial dependence in annual returns is presented. Based of 16 years of price data on the JSE the study finds significant evidence of mean reversion in annual returns. This note argues that, due to this serial dependence, the risk of longer term investment in equity, as measured by variance, is probably less than perceived. Journal: Studies in Economics and Econometrics Pages: 67-78 Issue: 3 Volume: 21 Year: 1997 Month: 11 X-DOI: 10.1080/03796205.1997.12129113 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129113 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:3:p:67-78 Template-Type: ReDIF-Article 1.0 Author-Name: B Dollery Author-X-Name-First: B Author-X-Name-Last: Dollery Title: A Note on the Relationship Between South African Historiography and the Debate on Economic Sanctions Journal: Studies in Economics and Econometrics Pages: 79-85 Issue: 3 Volume: 21 Year: 1997 Month: 11 X-DOI: 10.1080/03796205.1997.12129114 File-URL: http://hdl.handle.net/10.1080/03796205.1997.12129114 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:21:y:1997:i:3:p:79-85 Template-Type: ReDIF-Article 1.0 Author-Name: J M Mbaku Author-X-Name-First: J M Author-X-Name-Last: Mbaku Title: Constitutional Discourse and the Development of Structures for Sustainable Development in Africa Abstract: At independence, Africans believed that they would be able to reconstruct the non-democratic state captured from the colonialists and develop more effective governance structures. The hope was that proper constitution making would provide the African people with the appropriate foundation to build transparent, accountable, and participatory governance structures. Unfortunately, the constitutional rules adopted at independence were weak, inefficient, and not particularly viable. In addition to the fact that they were easily subverted by interest groups seeking ways to enrich themselves at the expense of the rest of the people, they allowed the new leaders to turn governmental structures into instruments of plunder to generate benefits for themselves. Like their colonial counterparts the neo-colonial governance structures were exploitative, undemocratic, and not designed to maximize wealth creation or popular participation. Instead of engaging their populations in proper constitution making in the post-independence period to reconstruct the neo-colonial state and design more effective laws and institutions, the new African leaders undertook opportunistic institutional reforms that significantly enhanced their ability to monopolize political power and the allocation of resources. What emerged were one-party political dictatorships that endangered peaceful coexistence and had a devastating effect on the creation of wealth, and subsequently on the alleviation of poverty. By the mid-1970s, government in many African countries had degenerated into a corrupt, patrimonial system in which civil servants regularly sold access to lucrative monopoly positions created by state regulations. As a result of changes that took place in the global political economy in the late 1980s. Africans now have another opportunity to engage in state reconstruction to provide themselves with more effective governance structures and economic systems that enhance the ability of entrepreneurs to create wealth. As the experiences of Benin and South Africa indicate, a bottom-up approach to constitution making that enfranchises the people and provides them with the facilities to participate effectively in the process should allow Africans to provide themselves with institutional arrangements that enhance peaceful coexistence and maximize the participation of entrepreneurs in wealth creation. Journal: Studies in Economics and Econometrics Pages: 1-36 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129115 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129115 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:1-36 Template-Type: ReDIF-Article 1.0 Author-Name: S Mainardi Author-X-Name-First: S Author-X-Name-Last: Mainardi Title: On Measures of Instability and Identification of Trends: A Revised Procedure Abstract: Recent theoretical and practical interest has been directed towards the investigation of short-term instability in economic variables, also in view of its impact on long-term growth. For instance, domestic investment and import capacity can be hampered by both a structural deterioration in the terms of trade, and high fluctuations in export earnings. Nevertheless, instability is generally studied by applying deterministic trend models on relatively short time series. This study aims at redressing some drawbacks of a common procedure, which, particularly for series with one or more breaks, is not fully appropriate in terms of selection of trends and measurement of instability. An amended version of this procedure is applied to 1960-85 mineral price series. Journal: Studies in Economics and Econometrics Pages: 37-48 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129116 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129116 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:37-48 Template-Type: ReDIF-Article 1.0 Author-Name: N S Terblanché Author-X-Name-First: N S Author-X-Name-Last: Terblanché Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Determinants of the Buy/Non-Buy Decision in Purchasing Low Involvement Products by Mail Catalogue Retailing Abstract: Various factors, some objective and some perceptional, influence the decision of consumers to buy or not to buy by mail order. Consumers, in their “pre-response” evaluation, are confronted with various types of perceived risk and, if available, various risk relievers to minimise the perceived impact of the risks This article deals with determinants of the buy / non-buy decision in low involvement products in direct order retailing as dependent variable by using biographical and attitudinal variables as explanatory variables in a logistic regression framework. Journal: Studies in Economics and Econometrics Pages: 49-68 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129117 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129117 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:49-68 Template-Type: ReDIF-Article 1.0 Author-Name: A Ferret Author-X-Name-First: A Author-X-Name-Last: Ferret Author-Name: M J Page Author-X-Name-First: M J Author-X-Name-Last: Page Title: Cointegration of South African Index Futures Contracts and their Underlying Spot Market Indices Abstract: This study examines the temporal pricing relationship between four South African index futures contracts and their underlying spot market indices. In frictionless and efficient markets, price changes in the two markets should be perfectly contemporaneously correlated. Any evidence of a lead-lag relationship between spot prices and futures prices therefore provides insight into the relative informational efficiency of the market, The paper provides evidence that the JSE stock index futures contracts are cointegrated with the spot market. Fitted error correction models find that the stock index futures price changes lead those of the underlying spot index by up to three days in reflecting new information. Journal: Studies in Economics and Econometrics Pages: 69-90 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129118 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129118 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:69-90 Template-Type: ReDIF-Article 1.0 Author-Name: R F Townsend Author-X-Name-First: R F Author-X-Name-Last: Townsend Author-Name: S McDonald Author-X-Name-First: S Author-X-Name-Last: McDonald Title: Biased Policies, Agriculture and Income Distribution in South Africa: A Social Accounting Matrix Approach Abstract: In this study a Social Accounting Matrix approach is used to analyse the effects of changes in agricultural policies on income distribution. Increasing final demand for agricultural products, and a reduction in agricultural price support, will produce greater proportional benefits for poorer households, although these benefits are small. A 6% reduction in agricultural price supports results in a 7% decline in agricultural prices, but the intersectoral effects are concentrated; hence the decline in price supports has a relatively limited impact on the structure of relative commodity prices beyond the food System. The benefits of an increase in agricultural wages decline with household incomes, with the higher wages having a minimal effect on paces. Policy simulations indicate the extent to which agricultural policy reforms can have a positive effect on income distribution in South Africa. Journal: Studies in Economics and Econometrics Pages: 91-114 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129119 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129119 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:91-114 Template-Type: ReDIF-Article 1.0 Author-Name: N Dritsakis Author-X-Name-First: N Author-X-Name-Last: Dritsakis Author-Name: J Papanastasiou Author-X-Name-First: J Author-X-Name-Last: Papanastasiou Title: An Econometric Investigation of Greek Tourism: A Note Abstract: This note investigates the factors which affect Greek tourism. An econometric model is used to estimate demand and supply functions of the tourist sector in Greece. Using annual data from 1960 to 1993, an econometric model was estimated with two-stage least squares (2SLS). Finally, the economic benefits of the tourist sector to the Greek economy were analysed, by doing dynamic simulations with the empirical model. Journal: Studies in Economics and Econometrics Pages: 115-122 Issue: 1 Volume: 22 Year: 1998 Month: 3 X-DOI: 10.1080/03796205.1998.12129120 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129120 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:1:p:115-122 Template-Type: ReDIF-Article 1.0 Author-Name: L Crouch Author-X-Name-First: L Author-X-Name-Last: Crouch Author-Name: T Mabogoane Author-X-Name-First: T Author-X-Name-Last: Mabogoane Title: When the Residuals Matter More than the Coefficients: An Educational Perspective Abstract: A proper reform of the education system away from the legacy of apartheid will require “redress” of educational output, or cognitive outcomes; rather than a mere redistribution of the physical inputs into education. This paper explores some of the research and management prerequisites for such a “redress of excellence” to take place, and suggests that, ironically, such a redistribution may be fiscally less expensive, but managerially more difficult, than attempting redress through equalising physical inputs at the formerly white levels. A call is made for much more serious production and management studies of the education sector to develop a more solid analytical underpinning for such redress processes. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129121 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129121 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: R F Townsend Author-X-Name-First: R F Author-X-Name-Last: Townsend Author-Name: Y Khatri Author-X-Name-First: Y Author-X-Name-Last: Khatri Author-Name: C Thirtle Author-X-Name-First: C Author-X-Name-Last: Thirtle Title: Biases of Technical Change in South African Agriculture: A Cost Function Approach Abstract: This paper exploits the properties of the third order approximation of the translog cost function which allows nested tests regarding the nature of technical change and specifically a direct test for price-induced technical change. Using data from 1949 to 1990 the input demand elasticities and factor saving biases were estimated for South African agriculture. Large machinery-using biases of technical change were evident with no labour-using biases. This, together with substitutability between machinery and labour, has-not contributed to alleviating the unemployment problem currently faced in South Africa. The hypothesis of no price induced bias was rejected suggesting that changing pricing policies may be a consideration for alleviating the current technology biases in South African agriculture. Journal: Studies in Economics and Econometrics Pages: 15-27 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129122 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129122 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:15-27 Template-Type: ReDIF-Article 1.0 Author-Name: C F Miller Author-X-Name-First: C F Author-X-Name-Last: Miller Title: Constrained Hours and Labour Market Employment by Married Women Abstract: Married women are likely to experience a constraint on the number of hours they work in the market. The effect of an hours constraint on female labour market employment, however, has not been widely reported in empirical studies, primarily due to data limitations, Recently available information found in the 1985 Interviewing Year of the Michigan Panel Study of Income Dynamics contains a wives’ survey which indicates whether the number of hours a woman worked in the market could be considered desired hours. For the most part, a failure to account for the presence of a constraint on the number of hours a married woman works in the market does not have a marked effect on the parameter estimates of the probability of employment obtained from fog it models. However, parameter estimates of the probability of employment obtained from a sample of women who consider themselves to be constrained in the number of hours worked differ from those obtained from a sample of women unconstrained in the hours worked. Journal: Studies in Economics and Econometrics Pages: 29-45 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129123 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129123 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:29-45 Template-Type: ReDIF-Article 1.0 Author-Name: J U de Villiers Author-X-Name-First: J U de Author-X-Name-Last: Villiers Author-Name: C J Auret Author-X-Name-First: C J Author-X-Name-Last: Auret Title: A Comparison of EPS and EVA as Explanatory Variables for Share Price Abstract: This paper compares the explanatory power of earnings per share (EPS) and economic value added (EVA) in explaining share prices. We follow a procedure developed by Demsetz (1995) in which he estimates multiple linear regressions with share price as the dependent variable and contemporaneous EPS, leading EPS and lagged EPS as explanatory variables. We replicate this study using South African EPS data, and then repeat the calculations using South African EVA data as the explanatory variables. We find that EPS has more explanatory power than EVA in explaining share prices. The benefit of using EVA instead of EPS in share analysis is therefore not evident from our analysis. Journal: Studies in Economics and Econometrics Pages: 47-63 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129124 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129124 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:47-63 Template-Type: ReDIF-Article 1.0 Author-Name: R D Brooks Author-X-Name-First: R D Author-X-Name-Last: Brooks Author-Name: R W Faff Author-X-Name-First: R W Author-X-Name-Last: Faff Title: A Test of a Two-Factor APT Based on the Quadratic Market Model: International Evidence Abstract: This paper presents tests of Barone-Adesi’s (1985) two-factor APT, based on a restricted quadratic market model (QMM), using the Morgan Stanley country index monthly data over the sample period 1970 to 1994. Our results show that the unrestricted QMM can be rejected in favour of the two-factor APT. Journal: Studies in Economics and Econometrics Pages: 65-76 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129125 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129125 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:65-76 Template-Type: ReDIF-Article 1.0 Author-Name: D Sinha Author-X-Name-First: D Author-X-Name-Last: Sinha Title: Exports and Savings in Asia: A Re-Examination Abstract: The present study re-examines the export expansion hypothesis of Alfred Maizels following the earlier studies using data for Asian countries. It uses recent advances in time series to avoid the possibility of estimating spurious regressions. Specifically, it tests two different hypotheses following Wilbur and Haque (1992). First, it tests whether an augmented savings function, where savings is made a function of both exports and non-export components of GDP, performs better than the Keynesian savings function. Second, it tests whether the exports is a more significant explanatory variable of savings than the non-export component of GDP. The study finds general support for both the hypotheses. Journal: Studies in Economics and Econometrics Pages: 77-86 Issue: 2 Volume: 22 Year: 1998 Month: 7 X-DOI: 10.1080/03796205.1998.12129126 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129126 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:2:p:77-86 Template-Type: ReDIF-Article 1.0 Author-Name: S Davidson Author-X-Name-First: S Author-X-Name-Last: Davidson Title: Pyramids, Banking Relationships and Investment in South Africa Abstract: Banks play an important role in reducing information asymmetry in the United States and also play a role in Japanese and German corporate governance. The system of corporate governance in South Africa is similar to that of Japan. This paper investigates whether banks in South-Africa play similar roles to overseas banks. It is not clear, from the results what role, if any, banks play in reducing information asymmetry and agency problems in South Africa. Journal: Studies in Economics and Econometrics Pages: 1-15 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129127 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129127 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:1-15 Template-Type: ReDIF-Article 1.0 Author-Name: J L Sadie Author-X-Name-First: J L Author-X-Name-Last: Sadie Title: Die Demografie Van Die Blanke Afrikanergemeenskap Journal: Studies in Economics and Econometrics Pages: 17-24 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129128 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129128 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:17-24 Template-Type: ReDIF-Article 1.0 Author-Name: H Bhorat Author-X-Name-First: H Author-X-Name-Last: Bhorat Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Title: Poverty Amongst the Self-Employed Abstract: Conventional wisdom suggests that the self-employed in the South African labour market are involved in survivalist activities with very low returns. This paper analyses this assumption of widespread poverty amongst the self-employed. Hence, the earnings distribution amongst the self-employed and its determinants are examined. To this end, four models are presented that estimate the impact of these variables on the earnings from self-employment. The four models are a standard log-linear function, the logit and probit likelihood functions, and a log-linear earnings function that separates the sample ex ante into those below and those above the poverty line. Each model, from the standard earnings function, to the log its and probits shows that numerous covariates such as education, age, race, gender and location are important predictors of self-employment earnings. While the results differ between models, the differences in themselves suggest certain common characteristics of the self-employed, and also provide a point of departure for relevant policy intervention. Journal: Studies in Economics and Econometrics Pages: 25-41 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129129 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129129 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:25-41 Template-Type: ReDIF-Article 1.0 Author-Name: P J Wilson Author-X-Name-First: P J Author-X-Name-Last: Wilson Author-Name: J Okunev Author-X-Name-First: J Author-X-Name-Last: Okunev Author-Name: P G du Plessis Author-X-Name-First: P G du Author-X-Name-Last: Plessis Author-Name: G Ta Author-X-Name-First: G Author-X-Name-Last: Ta Title: The Impact of Structural Breaks on the Integration of Property and Stock Markets in South Africa and Australia Abstract: This paper presents tests of the Perron, Zivot and Andrews and Perron and Vogelsang, models of integration and cointegration in the presence of structural breaks. Using monthly data for stock and property markets over the period 1973 to 1997 the results suggest that these markets were not cointegrated in Australia but there is some evidence to suggest they were cointegrated in South Africa. Journal: Studies in Economics and Econometrics Pages: 43-70 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129130 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129130 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:43-70 Template-Type: ReDIF-Article 1.0 Author-Name: N Nattrass Author-X-Name-First: N Author-X-Name-Last: Nattrass Title: Globalisation and the South African Labour Market Abstract: The impact of international trade on employment in high- and medium-income economies is mediated by labour market institutions: downward pressure on unskilled wages as a result of trade with low-income countries results in unskilled unemployment in highly regulated labour markets; and in a widening of the wage distribution in less regulated labour markets. This paper argues trade liberalisation in South Africa will result in continued job losses in ultra-labour intensive sectors if labour market regulation remains unchanged. Journal: Studies in Economics and Econometrics Pages: 71-90 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129131 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129131 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:71-90 Template-Type: ReDIF-Article 1.0 Author-Name: P le Roux Author-X-Name-First: P le Author-X-Name-Last: Roux Author-Name: M Levin Author-X-Name-First: M Author-X-Name-Last: Levin Title: The Capital Structure and the Business Cycle: Some Tests of Validity of the Austrian Business Cycle in South Africa Abstract: This article explores the validity of the Austrian Cycle for South Africa. It conducts Granger-causality tests in searching for causation as well as diagrammatical expositions of the dynamics of the Austrian cycle. Evidence is found of the existence of the Austrian variety of the business cycle for South Africa. This places the Austrian approach as an important alternative to conventional mainstream theories in the explanation of the business cycle. Journal: Studies in Economics and Econometrics Pages: 91-109 Issue: 3 Volume: 22 Year: 1998 Month: 11 X-DOI: 10.1080/03796205.1998.12129132 File-URL: http://hdl.handle.net/10.1080/03796205.1998.12129132 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:22:y:1998:i:3:p:91-109 Template-Type: ReDIF-Article 1.0 Author-Name: A Parikh Author-X-Name-First: A Author-X-Name-Last: Parikh Title: Exchange Rate Targeting in South Africa and India Abstract: The objective of this paper is to provide an application of a one-sided target zone model to the South African and Indian economies and compare the predictions of the model with the devaluation of the South African rand and Indian rupee in recent times. The South African economy operated dual exchange rate systems: the commercial rand for trade transactions and the financial rand for capital account transactions until March 1995. Using the information on the financial rand for an expected rate of depreciation of the rand against the dollar, our model predicts an exchange rate depreciation which was consistent with the actual depreciation which occurred in mid-1996. For the Indian economy, the model prediction suggests that the 1991 depreciation of the Indian rupee was an over-depreciation. Journal: Studies in Economics and Econometrics Pages: 1-20 Issue: 1 Volume: 23 Year: 1999 Month: 3 X-DOI: 10.1080/03796205.1999.12129133 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129133 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: D Hodge Author-X-Name-First: D Author-X-Name-Last: Hodge Title: Testing Purchasing Power Parity Theory: A Case Study in Non-Falsificationism Abstract: This paper examines empirical tests of purchasing power parity theory (PPP) from a methodological perspective. In particular the issue of whether economists have seriously attempted to falsify the theory is addressed. While the results of econometric tests have been largely negative, this has not led to the falsification of PPP or its rejection by economists. The main reason for this is that economists have in practice adopted a methodology resembling the older inexact method a priori, revived recently by Hausman. The intensive econometric work into PPP may thus be construed as the attempt to find satisfactory empirical models of the theory or testing for the limitations and range of application of the underlying theory, rather than seriously testing the theory with a view to falsification. The nature and extent of the progress made in this field is also questioned. Journal: Studies in Economics and Econometrics Pages: 21-39 Issue: 1 Volume: 23 Year: 1999 Month: 3 X-DOI: 10.1080/03796205.1999.12129134 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129134 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:1:p:21-39 Template-Type: ReDIF-Article 1.0 Author-Name: W Naudé Author-X-Name-First: W Author-X-Name-Last: Naudé Author-Name: F van der Merwe Author-X-Name-First: F van der Author-X-Name-Last: Merwe Author-Name: J van Heerden Author-X-Name-First: J van Author-X-Name-Last: Heerden Title: Estimates of Armington Elasticities for the South African Manufacturing Sector Abstract: This paper presents estimates of the elasticity of substitution between imported and domestic intermediate goods in South African manufacturing. These elasticities are known as “Armington” elasticities after the Armington assumption that imported and domestic goods in any sector are imperfect substitutes. Numerical estimates of these elasticities are important in order to model the effects of tariff reform in South Africa. The estimates obtained are contrasted with current assumptions about the magnitudes of the elasticities in modelling, and the shortcomings of the data and methodology used in estimating these elasticities are also identified. Journal: Studies in Economics and Econometrics Pages: 41-51 Issue: 1 Volume: 23 Year: 1999 Month: 3 X-DOI: 10.1080/03796205.1999.12129135 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129135 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:1:p:41-51 Template-Type: ReDIF-Article 1.0 Author-Name: C C Okeahalam Author-X-Name-First: C C Author-X-Name-Last: Okeahalam Title: Costs and Efficiency in Botswana Commercial Banking Abstract: This paper uses cross-section and panel data econometric estimates to analyse costs and efficiency in commercial banking in Botswana over the 1991-1995 period. Cost function estimates in banking normally use cross section data which has been derived from one year. Such estimates may not fully control for differences in individual banks or branches which may lead to cost variances. The panel data technique captures the correlation between unobservable individual attributes and observable behavioural determinants, and provides different estimates from those obtained from the usual cross-section method. The cross-section methodology finds stable negative ray-scale economies(rse). In contrast, the panel method finds marginally positive rse estimates. Journal: Studies in Economics and Econometrics Pages: 53-72 Issue: 1 Volume: 23 Year: 1999 Month: 3 X-DOI: 10.1080/03796205.1999.12129136 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129136 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:1:p:53-72 Template-Type: ReDIF-Article 1.0 Author-Name: N Biekpe Author-X-Name-First: N Author-X-Name-Last: Biekpe Title: A Note on Predicting Returns Using Bilinear Arma Models Abstract: In this note, a bilinear ARMA model is compared with the standard AR and ARMA models for forecasting power using monthly spot Sterling exchange rate. Evidence presented here suggests that the bilinear models might be useful in explaining a statistically significant, but often ignored, models assume that if there is a relationship between two or more random variables (for instance between two or more assets in a portfolio) then their covariance structure may be important in the prediction of expected returns. This implies that if there is any significant correlation between the variables, the coefficient associated with those particular variables will capture the relationship. Also, like the ARMA class of models, the bilinear models are very easy to apply to accounting and finance data. Journal: Studies in Economics and Econometrics Pages: 74-80 Issue: 1 Volume: 23 Year: 1999 Month: 3 X-DOI: 10.1080/03796205.1999.12129137 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129137 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:1:p:74-80 Template-Type: ReDIF-Article 1.0 Author-Name: A G Isemonger Author-X-Name-First: A G Author-X-Name-Last: Isemonger Author-Name: N J Roberts Author-X-Name-First: N J Author-X-Name-Last: Roberts Title: Post-Entry Gender Discrimination in the South African Labour Market Abstract: This paper is based on a survey of some 9000 households undertaken by SALDRU and completed in April of 1994. A brief literature review of the theory underpinning gender discrimination and the South African literature to date precedes an empirical analysis, using a human-capital based earnings function, of wage and job discrimination by gender in the South African labour market. Comparisons with previous work and policy recommendations which are both appropriate and available to the South African labour market, are suggested in concluding. Journal: Studies in Economics and Econometrics Pages: 1-25 Issue: 2 Volume: 23 Year: 1999 Month: 7 X-DOI: 10.1080/03796205.1999.12129256 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129256 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:2:p:1-25 Template-Type: ReDIF-Article 1.0 Author-Name: P van Rensburg Author-X-Name-First: P van Author-X-Name-Last: Rensburg Title: Macroeconomic Identification of Candidate Apt Factors on the Johannesburg Stock Exchange Abstract: This study investigates the interrelationships between Johannesburg Stock Exchange (JSE) returns and a comprehensive list of macroeconomic series over the turbulent-period of democratic transition, 1965-1995. As a necessary condition for a priced APT factor is that it exhibits a pervasive influence on security returns, candidate APT factors are inferred from the analysis. Journal: Studies in Economics and Econometrics Pages: 27-53 Issue: 2 Volume: 23 Year: 1999 Month: 7 X-DOI: 10.1080/03796205.1999.12129257 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129257 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:2:p:27-53 Template-Type: ReDIF-Article 1.0 Author-Name: D E N van Seventer Author-X-Name-First: D E N van Author-X-Name-Last: Seventer Title: The Estimation of a System of Provincial Input-Output Tables for South Africa Abstract: This paper applies a methodology based on a variation of the simple location quotient technique that allows a set of interregional input-output tables to be derived, one for each province of South Africa. It is argued that for the practical purposes of economic impact analysis, it is sufficient to operate an input-output framework that consists of the relevant province and the rest of the country. Location quotients and open and closed multipliers are presented for 23 production activities and 9 provinces of South Africa. The results reveal that Kwazulu-Natal and Gauteng, and to a lesser degree the Western Cape display the most integrated provincial economies. Comparisons with previous efforts suggest that the results are reasonably robust. Finally, it is argued that the proposed methodology has the potential to develop a similar framework at the sub-provincial level. Journal: Studies in Economics and Econometrics Pages: 55-75 Issue: 2 Volume: 23 Year: 1999 Month: 7 X-DOI: 10.1080/03796205.1999.12129258 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129258 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:2:p:55-75 Template-Type: ReDIF-Article 1.0 Author-Name: J U de Villiers Author-X-Name-First: J U de Author-X-Name-Last: Villiers Author-Name: R Favis Author-X-Name-First: R Author-X-Name-Last: Favis Title: Sector Diversification and Second Order Risk Abstract: It is generally accepted that the average standard deviation (first order risk) of a randomly selected portfolio of ten shares is reduced very little by adding more shares. Davidson and Meyer (1993) show that the variability of the standard deviation (second order risk) of portfolios of ten shares is large. Investors need to increase the number of shares substantially to reduce second order risk.This paper evaluates sector diversification (selecting shares randomly from different sectors) as a potentially inexpensive method of reducing second order risk. We find that sector diversification reduces second order risk, but not sufficiently to eliminate the need for investors to hold portfolios with many shares. Our results lend support to those of Davidson and Meyer (1993), who argue that second order risk explains the rise of large institutional investors, since individuals use large institutions as investment vehicles to reduce second order risk. Journal: Studies in Economics and Econometrics Pages: 77-87 Issue: 2 Volume: 23 Year: 1999 Month: 7 X-DOI: 10.1080/03796205.1999.12129259 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129259 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:2:p:77-87 Template-Type: ReDIF-Article 1.0 Author-Name: G R Wesso Author-X-Name-First: G R Author-X-Name-Last: Wesso Title: A Comparative Review of Twenty Econometric Packages Abstract: A review is presented of commonly used econometric and forecasting computer programs for the IBM PC and compatibles that can estimate econometric models on time-series data and compute forecasts with such models. The selection resulted in a set of 20 programs. A detailed description of the programs is presented in a series of tables, covering among others: selected forecasting and econometric techniques, selected statistical, graphics, read/write and hardware/software capabilities, new trends in regression analysis, price and various other miscellaneous procedures and features. The tables are preceded with a short review, and a list of vendor addresses is included. Journal: Studies in Economics and Econometrics Pages: 89-118 Issue: 2 Volume: 23 Year: 1999 Month: 7 X-DOI: 10.1080/03796205.1999.12129260 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129260 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:2:p:89-118 Template-Type: ReDIF-Article 1.0 Author-Name: S Davidson Author-X-Name-First: S Author-X-Name-Last: Davidson Author-Name: R Faff Author-X-Name-First: R Author-X-Name-Last: Faff Title: Extra-Market Sensitivity to a Gold Price Factor: Evidence From National Market Portfolios Abstract: This paper investigates the extra-market sensitivity of aggregate national market equity returns to a gold price factor. A sample of twenty countries is analysed over the full sample period 1975 to 1994, while a total of thirty seven countries are examined over the period 1988 to 1994. Our main results suggest that, over our full sample period, six countries reveal an extra-market sensitivity to gold returns. These countries are Australia, Canada, Norway South Africa, Switzerland and the United States, with all but the US showing a positive sensitivity. Moreover, national market sensitivity coefficients are somewhat unstable, particularly for Belgium, France, Hong Kong, the Netherlands and South Africa. Over the period 1988 to 1994, nine countries exhibit a significant extra-market sensitivity to gold returns. These countries are: Belgium, France, Germany, Japan, the United States, South Africa, Argentina, Brazil and Taiwan. Of these countries Japan, South Africa and Brazil show positive extra-market sensitivity while the others are all negative. In summary, of the thirty-seven countries examined in this paper, a total of fifteen reveal at least some evidence of extra-market sensitivity to gold. Furthermore, there is a pervasive finding that, with the exception of Japan, the point estimates of the sensitivities have become more negative overtime. Journal: Studies in Economics and Econometrics Pages: 1-14 Issue: 3 Volume: 23 Year: 1999 Month: 11 X-DOI: 10.1080/03796205.1999.12129138 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129138 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:3:p:1-14 Template-Type: ReDIF-Article 1.0 Author-Name: A C Robertson Author-X-Name-First: A C Author-X-Name-Last: Robertson Author-Name: M Page Author-X-Name-First: M Author-X-Name-Last: Page Author-Name: E vd M Smit Author-X-Name-First: E vd M Author-X-Name-Last: Smit Title: Share Market Reaction to Large Daily Price Declines: Evidence from the JSE Abstract: This study, utilising aspects of event methodology, focuses on the phenomenon of over-reaction which is defined as the over-response to new information. The over-reaction hypothesis suggests that the greater the magnitude of initial price change, the more extreme the offsetting reaction.Cox and Peterson’s (1994) methodology, adapted to local conditions on the Johannesburg Stock Exchange, is used. Events are defined as single day price declines in excess of ten percent, fifteen percent and twenty percent for companies trading on the JSE between 1973 to 1998. Abnormal returns are computed for the twenty trading day period following the price decline. Abnormal returns are computed using both the trade-to-trade and the standard market model approaches. The regression parameters are estimated using a 150 day pre-event period and a 150 day post-event period. The period spanning six days before to twenty days after the event is not used for parameter estimation. Abnormal returns are then calculated for the event window, and average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) computed and tested for significance over varying “time windows” from the day after the event to twenty days thereafter. A series of cross-sectional regressions are also employed to control for liquidity (size), book-to-market and price earnings ratio effects. In contrast to Cox and Peterson (1994) who concluded that over-reaction per se does not independently and significantly account for abnormal returns, this study finds evidence of significant over-reaction with a positive price reversal over the three trading days following the significant price decline. The study therefore supports prior studies on the JSE suggesting the presence of market over-reaction (Page and Way, 1994; Muller, 1999). Journal: Studies in Economics and Econometrics Pages: 15-48 Issue: 3 Volume: 23 Year: 1999 Month: 11 X-DOI: 10.1080/03796205.1999.12129139 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129139 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:3:p:15-48 Template-Type: ReDIF-Article 1.0 Author-Name: R F Townsend Author-X-Name-First: R F Author-X-Name-Last: Townsend Title: Livestock Supply Response in South Africa: An Investigation of Producer Price and Technology Dynamics Abstract: Livestock supply in South Africa is examined using an error correction model with a polynomial lag formulation applied to determine price and technology dynamics. Data from 1947 to 1995 were used for the analysis. Time series properties of the data were tested and short and long run elasticities were derived for variables influencing livestock supply. An average total lag effect on livestock output of 7 years was derived with respect to real livestock producer prices and 15 years with respect to livestock research and development expenditures. These results suggest that reductions in research expenditures will have a significant negative long run effect on output. Correcting for the decline in output, with a subsequent increase in research expenditures, will take several years to achieve due to the lagged effects, with a potential of 15 years of lost growth. An inelastic response to livestock prices was derived for both the short and the long run. Journal: Studies in Economics and Econometrics Pages: 49-61 Issue: 3 Volume: 23 Year: 1999 Month: 11 X-DOI: 10.1080/03796205.1999.12129140 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129140 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:3:p:49-61 Template-Type: ReDIF-Article 1.0 Author-Name: S H High Author-X-Name-First: S H Author-X-Name-Last: High Title: Mean Reversion on the JSE: 1961-1997 Abstract: The existence of mean reversion in share markets, if demonstrated, would cast grave doubts on the efficiency of such markets. In an earlier article in this journal, Bradfield and Arrington presented evidence of mean reversion on the Johannesburg Stock Exchange. The present paper examines those findings, as well as available data for the period 1996 - 1997, and concludes there is no evidence of mean reversion but finds some modest evidence of mean aversion or ’trending’. Journal: Studies in Economics and Econometrics Pages: 63-74 Issue: 3 Volume: 23 Year: 1999 Month: 11 X-DOI: 10.1080/03796205.1999.12129141 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129141 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:3:p:63-74 Template-Type: ReDIF-Article 1.0 Author-Name: L Crase Author-X-Name-First: L Author-X-Name-Last: Crase Author-Name: B Dollery Author-X-Name-First: B Author-X-Name-Last: Dollery Title: A Note on State Capacity Building for Economic Growth in South Africa Abstract: Economic growth represents an essential prerequisite for political stability in South Africa, but to date official efforts aimed at stimulating growth rates have been hampered by a lack of administrative capacity on the part of the South African state. It is now widely recognised that an “enabling state” can play a decisive role in economic development. But the recent Ncholo and Maphai reports and much anecdotal evidence have highlighted a severe degree of state incapacity in South African public administration. We argue that since in the short run administrative capacity represents the dominant constraint on policymaking in contemporary South Africa, government intervention should be restricted to vital core functions. However, resources should be devoted to capacity building in the medium term. Journal: Studies in Economics and Econometrics Pages: 75-89 Issue: 3 Volume: 23 Year: 1999 Month: 11 X-DOI: 10.1080/03796205.1999.12129142 File-URL: http://hdl.handle.net/10.1080/03796205.1999.12129142 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:23:y:1999:i:3:p:75-89 Template-Type: ReDIF-Article 1.0 Author-Name: H Abraham Author-X-Name-First: H Author-X-Name-Last: Abraham Title: The Black-Scholes Model of Option Prices if Individuals’ Utilities are Admitted Abstract: The principle of no arbitrage in Black and Scholes’s framework is manifested in their assumption of risk neutrality. It turned out that while the martingale probability measure which arises from having no arbitrage is sufficient for their unique pricing of options, the criterion of utility maximisation was left out in their discussion. Thus, its inclusion into the Black-Scholes model is the theme of this paper. To this end, the uncertainty which prevails in financial environments is reconciled here with the principle of risk-neutral portfolios by designing a typical investor’s portfolio which maintains extraneous full certainty. In particular, the full certainty is achieved by using external (i.e. peculiar) portfolios comprising shares and options on them such that, any source of uncertainty in the portfolio will be neutralised by the investor via a martingale probability measure in a Markov process. The resulting equilibrium will be a Black-Scholes fair option price. Journal: Studies in Economics and Econometrics Pages: 1-10 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129261 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129261 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:1-10 Template-Type: ReDIF-Article 1.0 Author-Name: J L Sadie Author-X-Name-First: J L Author-X-Name-Last: Sadie Title: The White Paper on Population Policy: The Economic-Demographic Perspective Abstract: The authors of the White Paper on Population Policy have invoked the Programme of Action, as enunciated at the 1994 Cairo International Conference on Population and Development, as their frame of reference to formulate a NEW policy which dispraised the Population Development Programme of the pre-1994 government and attempted to distance themselves as far as possible from family planning. It is argued here that their reading of the Programme of Action was flawed in that the programme had not been considered within the historic context of resolutions and the use of language, in the presence of contending forces, at successive international conferences on population problems. The new policy espoused is a socio-economic agenda, not a population policy with a direct attack on proliferating numbers, as if the latter have little role to play in the level of living standards. South Africa has, it appears, to revert to the 1974 Bucharest paradigm, where the Third World participants found solace in the slogan: “development is the best pill” (instead of the more appropriate and practical prescription “the pill is the best development”), which has long since been superseded by events in the real world. Journal: Studies in Economics and Econometrics Pages: 11-20 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129262 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129262 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:11-20 Template-Type: ReDIF-Article 1.0 Author-Name: V Gumede Author-X-Name-First: V Author-X-Name-Last: Gumede Title: Import Demand Elasticities for South Africa: A Cointegration Analysis Abstract: This study acknowledges the lack of foreign exchange as the main obstacle to faster economic growth in South Africa. It is noted that many studies have only focused on exports and export expansion alone as a means to eradicate this economic dilemma. This study considers the import component of the balance of payments, because together with exports the demand for imports clearly determines the behavior of the current account of the balance of payments as a whole. The focus of this paper is on the estimation and interpretation of results of the aggregate and disaggregated import demand elasticities for South Africa. The import demand model is estimated by a means of cointegration analysis. The major finding is that the import elasticity with respect to income is highly significant than the price elasticity of demand for imports. Given this result, concluding remarks highlight some critical policy implications and areas for further research. Journal: Studies in Economics and Econometrics Pages: 21-37 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129263 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129263 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:21-37 Template-Type: ReDIF-Article 1.0 Author-Name: C J Auret Author-X-Name-First: C J Author-X-Name-Last: Auret Author-Name: J U de Villiers Author-X-Name-First: J U de Author-X-Name-Last: Villiers Title: A Comparison of Earnings Per Share and Dividends Per Share as Explanatory Variables for Share Price Abstract: This paper compares the explanatory power of earnings per share (EPS) and dividends per share (DPS) in explaining share prices. We follow a procedure developed by Demsetz (1995) in which he estimates multiple linear regressions with share price as the dependent variable and contemporaneous EPS, leading EPS and lagged EPS as explanatory variables. We replicate this study using South African EPS data, and then repeat the calculations using South African DPS data as the explanatory variables. We find that EPS has more explanatory power than DPS. Our analysis shows that accounting earnings are interpreted as meaningful by investors. It is therefore appropriate to focus on earnings in share analysis. Journal: Studies in Economics and Econometrics Pages: 39-53 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129264 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129264 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:39-53 Template-Type: ReDIF-Article 1.0 Author-Name: M Botha Author-X-Name-First: M Author-X-Name-Last: Botha Author-Name: G van Vuuren Author-X-Name-First: G van Author-X-Name-Last: Vuuren Author-Name: P Styger Author-X-Name-First: P Author-X-Name-Last: Styger Title: Mean Reversion of Rates and Prices in the South African Market Abstract: Value at Risk (VaR) has become a widely accepted concept and has been hailed by both financial institutions and regulators. Many methods use instrument volatilities to estimate VaR. There are several procedures to calculate volatility and many use the simple standard deviation of a set of returns. Whilst this method is not wildly inaccurate under stable market conditions, it makes several assumptions about returns which are invalid during periods of high market activity, rendering the estimation of VaR inaccurate at times its value is most needed. In this paper we examine the assumption that the price (or rate) series is an entirely random process. One of the implications of this assumption is that price changes are independent of previous changes. In practice, price series tend to revert to their long run means and the omission or inclusion of this fact alters the calculated volatility and hence the VaR. Journal: Studies in Economics and Econometrics Pages: 55-67 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129265 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129265 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:55-67 Template-Type: ReDIF-Article 1.0 Author-Name: K K Opong Author-X-Name-First: K K Author-X-Name-Last: Opong Author-Name: N Biekpe Author-X-Name-First: N Author-X-Name-Last: Biekpe Author-Name: P McIlkenny Author-X-Name-First: P Author-X-Name-Last: McIlkenny Title: The Behaviour of Equity Trading Volume on the London Stock Exchange Abstract: This study uses statistical analysis based on chaos theory to examine the trading volume behaviour of the London Financial Times Stock Exchange (FTSE) All Share Index and FTSE 100 Index. The behaviour of the trading volume series are not independent and identically distributed (IID). The results of the study show that some cycles or patterns occur more frequently than would be expected in a true random series. The results may also explain the observed weak association between stock price changes and trading volume reported in previous studies since those studies were based on linear modelling whereas the behaviour of both stock prices and trading volume may be either a chaotic process, non-linear stochastic process or linear stochastic dependence. A GARCH(1,1) model which appear to explain equity index return series (Opong et al. (1999)) do s not explain the behaviour of the equity volume index series on the London Stock Exchange. Journal: Studies in Economics and Econometrics Pages: 69-85 Issue: 1 Volume: 24 Year: 2000 Month: 3 X-DOI: 10.1080/03796205.2000.12129266 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129266 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:1:p:69-85 Template-Type: ReDIF-Article 1.0 Author-Name: Murray Leibbrandt Author-X-Name-First: Murray Author-X-Name-Last: Leibbrandt Author-Name: Nicoli Nattrass Author-X-Name-First: Nicoli Author-X-Name-Last: Nattrass Title: Introduction to Special Edition Journal: Studies in Economics and Econometrics Pages: 1-5 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129273 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129273 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:1-5 Template-Type: ReDIF-Article 1.0 Author-Name: A Whiteford Author-X-Name-First: A Author-X-Name-Last: Whiteford Author-Name: D E van Seventer Author-X-Name-First: D E van Author-X-Name-Last: Seventer Title: South Africa’s Changing Income Distribution in the 1990s Abstract: The redistribution of income from whites to previously disadvantaged population groups - that started in the 1970s - accelerated considerably during the 1990s. However, this redistribution among race groups did not result in a reduction in the gap between rich and poor households, since a sizeable portion of the redistributed income accrued to the wealthier households in the previously disadvantaged groups. In fact inequality rose slightly between 1991 and 1996 with the Gini coefficient rising from 0,68 to 0,69 over that period. These trends are largely explained by developments in the labour market. There was a sizeable decline in employment over the period under review, with the majority of job losses being experienced by whites. Furthermore there was a shift in labour demand towards highly skilled labour, with a rapid rise in employment of people of colour in highly skilled positions. Journal: Studies in Economics and Econometrics Pages: 7-30 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129274 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129274 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:7-30 Template-Type: ReDIF-Article 1.0 Author-Name: M Leibbrandt Author-X-Name-First: M Author-X-Name-Last: Leibbrandt Author-Name: I Woolard Author-X-Name-First: I Author-X-Name-Last: Woolard Author-Name: H Bhorat Author-X-Name-First: H Author-X-Name-Last: Bhorat Title: Understanding Contemporary Household Inequality in South Africa Abstract: Within-group inequality is a major contributor to overall inequality, but the impact depends crucially on which measure is used. Wage income contributes 67% to total inequality, despite wage income being the least unequally distributed of all income sources. Of this, half is in fact driven by the 30% of households with no wage earners. Access to wage income is central to determining which households are able to avoid poverty and, even, the depth to which poor households sink below the poverty line. Whereas labour market earnings drive household income inequality, unemployment is a central determinant of poverty. Journal: Studies in Economics and Econometrics Pages: 31-51 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129275 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129275 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:31-51 Template-Type: ReDIF-Article 1.0 Author-Name: J Seekings Author-X-Name-First: J Author-X-Name-Last: Seekings Title: Visions of Society: Peasants, Workers and the Unemployed in a Changing South Africa Abstract: Using the concept of mediated class position, a class status is allocated to households according to the class position of the main income earner. The results show that the mapping between income and class is predictable, but uneven. The unemployed are concentrated amongst the poorest households. As smallholder agriculture is negligible, it makes no sense to categorise South Africa as a society of peasants. While there may be scope for the expansion of smallholder production, even a major process of land reform would be unlikely to transform the overall social structure. There is more supportive evidence for two alternative ’visions’ of society, namely South Africa as a ’society of workers’, and South Africa as encompassing a massive underclass of households that are systematically disadvantaged in the labour and other markets. Journal: Studies in Economics and Econometrics Pages: 53-71 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129276 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129276 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:53-71 Template-Type: ReDIF-Article 1.0 Author-Name: N Nattrass Author-X-Name-First: N Author-X-Name-Last: Nattrass Title: The Debate about Unemployment in the 1990s Abstract: Some people have argued that unemployment is lower, and employment is higher than suggested by official statistics. This paper reviews the evidence and concludes that there is little reason to believe that official figures are significantly wrong. The paper concludes with a discussion of the relationship between wages and employment. Journal: Studies in Economics and Econometrics Pages: 73-89 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129277 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129277 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:73-89 Template-Type: ReDIF-Article 1.0 Author-Name: P Moll Author-X-Name-First: P Author-X-Name-Last: Moll Title: Discrimination is Declining in South Africa But Inequality is Not Abstract: This paper looks at the changing importance of discrimination in wage determination between 1980 and 1993. The white-African earnings gap is decomposed into explained components (i.e. education and experience) and unexplained components (occupation and wage discrimination). The key finding is that total discrimination fell from 20% of the African wage in 1980 to 12% in 1993. Occupational discrimination, however, rose over the period, primarily a result of the exclusion of qualified Africans from the professional and technical categories. Journal: Studies in Economics and Econometrics Pages: 91-108 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129278 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129278 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:91-108 Template-Type: ReDIF-Article 1.0 Author-Name: J Hofmeyr Author-X-Name-First: J Author-X-Name-Last: Hofmeyr Title: The Changing Pattern of Segmentation in the South African Labour Market Abstract: Wage trends in South Africa were influenced by apartheid labour market regulation and by market forces emanating from the growth process. Up until the mid-1980s, rising African wages were driven by rising skilled wages. From the mid-1980s onwards, this trend was reversed, with wage rates for Africans in much of manufacturing rising, especially for the least skilled. As this coincided with the rise in African trade union power, it is argued that these wage trends reflect the growing influence of trade unions on wage setting. This has resulted in a new form of segmentation in the South African labour market where the main cleavages are between the unionised and non-unionised parts of the formal sector, and between the formal and informal sectors. Journal: Studies in Economics and Econometrics Pages: 109-128 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129279 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129279 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:109-128 Template-Type: ReDIF-Article 1.0 Author-Name: N Nattrass Author-X-Name-First: N Author-X-Name-Last: Nattrass Title: Inequality, Unemployment and Wage-Setting Institutions in South Africa Abstract: This paper provides a brief review of inequality in the South African labour market and then turns to a discussion of South Africa’s wage-setting machinery. It is argued that the extension of bargaining council agreements to non-parties may well act to retard the growth of smaller, more labour-intensive firms. Journal: Studies in Economics and Econometrics Pages: 129-141 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129280 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129280 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:129-141 Template-Type: ReDIF-Article 1.0 Author-Name: B Gibson Author-X-Name-First: B Author-X-Name-Last: Gibson Title: Will Lower Wages Cause Faster Growth in South Africa? Abstract: Higher wages for unskilled workers will probably improve the distribution of income, but the impact of wage movements on employment depends crucially on the macroeconomic context. Whereas a restrictive fiscal and monetary stance impedes job creation, a more expansionary set of macroeconomic policies will have a positive effect on employment, albeit at the cost of inflation If wage bargains spill over into the public sector, then, assuming a PSBR constraint is in force, public investment will adjust and the economy will become less stable. Despite the (slight) profit-led character of the South African economy, it is mainly policy that stands in the way of a more equalised distribution of income, not market forces, the private sector, international investors or any other special feature of the South African economy. Journal: Studies in Economics and Econometrics Pages: 143-163 Issue: 3 Volume: 24 Year: 2000 Month: 11 X-DOI: 10.1080/03796205.2000.12129281 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129281 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:3:p:143-163 Template-Type: ReDIF-Article 1.0 Author-Name: F Sufian Author-X-Name-First: F Author-X-Name-Last: Sufian Title: The Impact of Forced Mergers and Acquisitions on Bank Cost Efficiency: Empirical Evidence From Malaysia Abstract: The present paper examines the impact of forced mergers and acquisitions on the cost efficiency of the Malaysian banking sector. The analysis consists of three stages. Firstly, by using the Data Envelopment Analysis (DEA) approach, we calculate the cost, allocative, and technical efficiency of individual banks during the period 1997-2003. Secondly, we examine changes in the efficiency of the Malaysian banking sector during the pre and post merger periods by using a series of parametric and non-parametric univariate tests. Finally, we employ the multivariate Tobit regression analysis to examine factors that influence the efficiency of the Malaysian banking sector during the pre and post merger periods. The empirical findings suggest that the merger has resulted in a higher mean cost efficiency of the Malaysian banking sector post merger. We find that the acquirers have been relatively more cost efficient in all of the seven merger cases analyzed. The results from the multivariate regression analysis suggest that loans intensity, size, income diversification, and capitalization exhibits positive relationship with bank efficiency. On the other hand, market share and expense preference behaviour are negatively related to bank efficiency levels. The empirical findings suggest that banks in the control group have been relatively more cost efficient than those that were involved in mergers. The results suggest that the variations in Malaysian bank cost efficiency are not significantly related to economic conditions and concentration. Journal: Studies in Economics and Econometrics Pages: 1-26 Issue: 1 Volume: 34 Year: 2010 Month: 3 X-DOI: 10.1080/03796205.2010.12129440 File-URL: http://hdl.handle.net/10.1080/03796205.2010.12129440 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:1:p:1-26 Template-Type: ReDIF-Article 1.0 Author-Name: T E Mutambara Author-X-Name-First: T E Author-X-Name-Last: Mutambara Title: Zimbabwe’s Trade: Implications For Industrial Development in the Southern African Development Community Free Trade Area Abstract: The Southern African Development Community Free Trade Area (SADC FTA) came into effect in January 2008 with at least 85 percent of intra-SADC trade free. Full liberalisation by all countries is expected to be completed by 2012.In analysing Zimbabwe’s trade with the SADC region, results show that irrespective of product category, Zimbabwe’s exports are currently dominated by land-intensive and labour-intensive goods while its imports are mainly composed of capital-intensive and skilled labour-intensive goods. This is consistent with the Heckscher-Ohlin theory since Zimbabwe is relatively more abundant in land and unskilled labour than it is in capital.If the economic and political situation in Zimbabwe returns to normal; the country could develop its industries further to overcome supply sided constraints and experience dynamic comparative advantages. Trade creation which results from the SADC FTA would enable the country to strengthen its current specialisation and increase both its land-intensive and labour-intensive exports. Furthermore, Zimbabwe’s exports of skill-intensive and capital-intensive goods to SADC countries that have less capital and skilled labour than Zimbabwe would rise, thus contributing to diversifying Zimbabwe’s exports.Zimbabwe’s ability to utilise provisions for industrial development in the SADC Protocol on Trade is currently constrained by the unstable political and economic situation which creates a less investor friendly environment; exodus of skilled labour and expertise; and the severe strain the manufacturing sector has been experiencing. Journal: Studies in Economics and Econometrics Pages: 27-52 Issue: 1 Volume: 34 Year: 2010 Month: 3 X-DOI: 10.1080/03796205.2010.12129441 File-URL: http://hdl.handle.net/10.1080/03796205.2010.12129441 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:1:p:27-52 Template-Type: ReDIF-Article 1.0 Author-Name: P Hirschel Author-X-Name-First: P Author-X-Name-Last: Hirschel Author-Name: J D Krige Author-X-Name-First: J D Author-X-Name-Last: Krige Title: Characterisation of South African Equity Unit Trusts Using The Active Share Measure as a Performance Indicator Abstract: This study investigates the relationship between the active share, tracking error and investment performance of South African general equity and large cap unit trusts for the period 2003 to 2007. Active share reflects the amount of deviation of a unit trust’s equity holdings from a benchmark. The development of active share over time amongst unit trusts is investigated, as well as the relationship between active share, tracking error, fund size, number of equities in a unit trust and systematic risk as measured by beta.It was found that outperformance, as measured by Jensen’s α and the Omega ratio, was statistically significant for unit trusts in the highest active share quintiles. The relationship between tracking error quintiles and performance was less consistent. A slight increase with time in the active share value was observed — possibly as a result of a move away from resources and large cap shares, which are concentrated in the JSE indices. High active share was found to be associated with a larger number of active positions, a beta against the benchmark of less than one and low numbers of stocks. No relationship between active share and size was found. Journal: Studies in Economics and Econometrics Pages: 53-82 Issue: 1 Volume: 34 Year: 2010 Month: 3 X-DOI: 10.1080/03796205.2010.12129442 File-URL: http://hdl.handle.net/10.1080/03796205.2010.12129442 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:1:p:53-82 Template-Type: ReDIF-Article 1.0 Author-Name: T S Mkhabela Author-X-Name-First: T S Author-X-Name-Last: Mkhabela Author-Name: J K Musango Author-X-Name-First: J K Author-X-Name-Last: Musango Author-Name: J P Lombard Author-X-Name-First: J P Author-X-Name-Last: Lombard Title: Determinants of Producers’ Choice of Wine Grape Cultivars in the South African Wine Industry Abstract: The purpose of this study is to identify the factors that determine the producers’ choice of wine grape cultivars in the wine regions in South Africa. Time series data for the period 1990-2003 were used to estimate the parameters of linear regression models. Two equations for each wine grape cultivar in each region were postulated and estimated using Ordinary Least Squares. The results showed that each wine grape cultivar in each region has its own factors influencing the producers’ choice of that specific wine grape cultivar. Same wine grape cultivars in different regions similarly have their own factors determining the producers’ choice. The implication of this is that there are differences in terms of the requirements and types of crops and wine grape cultivars grown in each region. The most important result that emerged with regular frequency is that, the factors determining the producers’ choice of a specific wine grape cultivar for each region is price of other wine grape cultivars and competitive products in that wine region. The price of specific wine grape cultivars only had an influence on few wine grape cultivars. The implication is that the producers in South Africa appears to consider the prices of other wine grape cultivars and competitive products before making a choice of whether to plant or uproot a specific wine grape cultivar more than the price of the specific wine grape cultivar. This supports the theory that farm prices play a key role in allocating resources and in rewarding efficient producers. Journal: Studies in Economics and Econometrics Pages: 83-110 Issue: 1 Volume: 34 Year: 2010 Month: 3 X-DOI: 10.1080/03796205.2010.12129443 File-URL: http://hdl.handle.net/10.1080/03796205.2010.12129443 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:1:p:83-110 Template-Type: ReDIF-Article 1.0 Author-Name: C Muller Author-X-Name-First: C Author-X-Name-Last: Muller Author-Name: M Ward Author-X-Name-First: M Author-X-Name-Last: Ward Title: Momentum Effects in Country Equity Indices Abstract: This paper examines the 70 country indices which comprise the MSCI world index as a representative set of global equity investment opportunities, and examines momentum and mean-reversion effects in these. We show that persistent and significant effects do exist, particularly with regard to short-term momentum. A strategy of holding for one month, a portfolio of the four best performing MSCI country indices over the previous 11 months, was found to persistently out-perform an equal weighted benchmark by around 10% per annum over the 39 year period from 1970 to 2009. Journal: Studies in Economics and Econometrics Pages: 111-127 Issue: 1 Volume: 34 Year: 2010 Month: 3 X-DOI: 10.1080/03796205.2010.12129444 File-URL: http://hdl.handle.net/10.1080/03796205.2010.12129444 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:34:y:2010:i:1:p:111-127 Template-Type: ReDIF-Article 1.0 Author-Name: A Smith Author-X-Name-First: A Author-X-Name-Last: Smith Author-Name: S du Plessis Author-X-Name-First: S du Author-X-Name-Last: Plessis Title: Concentration in South African Manufacturing Industry: Measuring Both Blades of the Marshallian Scissors Abstract: The release of a new set of manufacturing data by the Central Statistical Services allows for a number of concentration measures to be estimated for the first time. These estimates allow us to sketch the most complete picture to date about concentration levels and trends in South African manufacturing industry. However, this paper goes further than most previous studies insofar as it also looks at demand-side or buyer concentration. This is an important (but often ignored) element that might impact on the competitive process. Journal: Studies in Economics and Econometrics Pages: 1-24 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129091 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129091 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: P A Black Author-X-Name-First: P A Author-X-Name-Last: Black Title: A Theory of the Regional Accelerator Abstract: This paper develops an open-economy model highlighting the interaction between the regional income multiplier and the regional accelerator. A distinction is made between temporary and permanent changes in regional income, where the latter is partly determined by interregional trade repercussions. Induced investment is assumed to depend only on the permanent component of past changes in regional income. But induced investment itself also consists of a temporary and a permanent component, and given the convergent nature of changes in regional income, the model focuses only on the permanent component of induced investment.We find that the total permanent change in regional income depends on the size of induced investment coefficients in each of the trading regions, the permanent components of such investment activity, and the relevant consumption and import propensities. Similarly, for a small open economy such as that of a region, import leakages will ensure that the time path of regional income is dynamically stable. Journal: Studies in Economics and Econometrics Pages: 25-30 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129092 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129092 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:25-30 Template-Type: ReDIF-Article 1.0 Author-Name: FP Cilliers Author-X-Name-First: FP Author-X-Name-Last: Cilliers Author-Name: D Kotze Author-X-Name-First: D Author-X-Name-Last: Kotze Title: Die Verband Tussen Onsekerheid En Die Suid-Afrikaanse Inflasiekoers Journal: Studies in Economics and Econometrics Pages: 31-45 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129093 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129093 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:31-45 Template-Type: ReDIF-Article 1.0 Author-Name: J Z Bloom Author-X-Name-First: J Z Author-X-Name-Last: Bloom Author-Name: E Theron Author-X-Name-First: E Author-X-Name-Last: Theron Title: Die Ekonomiese Voordele Versus Die Sosiale Koste Van Dobbelary Journal: Studies in Economics and Econometrics Pages: 47-71 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129094 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129094 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:47-71 Template-Type: ReDIF-Article 1.0 Author-Name: G van Zyl Author-X-Name-First: G van Author-X-Name-Last: Zyl Author-Name: C Wardle Author-X-Name-First: C Author-X-Name-Last: Wardle Title: An Analysis of the Tariff Structure of the South African Clothing Industry Abstract: This article addresses the negative and positive implications of the protective tariff structure of the South African clothing industry on local manufacturers.The research suggests that the tariff protection has had negative effects on manufacturers and the total economy. The rebate on imported textiles used by companies that export clothing erodes the protection of the textile industry, as well as constituting an unfair advantage to companies that can afford the initial expenses to start an export programme. The tariffs on both textiles and clothing dramatically increase the end price to the consumer. They also tend to create an anti-export bias in the industry. The policy measures in terms of tariffs have tended to favour production for the domestic market, thus creating an “inward” looking industry. A more export-oriented approach must be adopted in order to give the consumer a better deal as well as to build on those areas where the industry can compete effectively. The opportunity for growth of exports in the upper and middle income clothing niche will likely outstrip the opportunities provided by the growth in the domestic market, which is already covered predominantly by domestic manufacturers. South Africa’s clothing industry has proven itself a worthy competitor in these areas as opposed to low income clothing which can be provided more efficiently and effectively by international low-cost producers. Journal: Studies in Economics and Econometrics Pages: 73-85 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129095 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129095 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:73-85 Template-Type: ReDIF-Article 1.0 Author-Name: L Lardaro Author-X-Name-First: L Author-X-Name-Last: Lardaro Author-Name: M Sharif Author-X-Name-First: M Author-X-Name-Last: Sharif Author-Name: R R Dholakia Author-X-Name-First: R R Author-X-Name-Last: Dholakia Title: A Comparative Analysis of Advertising in Developed and Less Developed Countries - Further Evidence Abstract: This paper provides additional empirical evidence on the controversy between the temporal lag and globalisation theories of advertising. In an earlier work, we suggested, by analysing data from both developed and less developed countries for 1988, that the globalisation hypothesis prevails. The empirical examination in this paper extends the previous analysis by including data for 1970 and 1980 along with those for 1988. The results add further empirical support to our earlier findings of the validity of the globalisation hypothesis. Journal: Studies in Economics and Econometrics Pages: 87-93 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129096 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129096 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:87-93 Template-Type: ReDIF-Article 1.0 Author-Name: The Editors Title: Errata Journal: Studies in Economics and Econometrics Pages: 95-96 Issue: 2 Volume: 20 Year: 1996 Month: 7 X-DOI: 10.1080/03796205.1996.12129622 File-URL: http://hdl.handle.net/10.1080/03796205.1996.12129622 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:20:y:1996:i:2:p:95-96 Template-Type: ReDIF-Article 1.0 Author-Name: G Woglom Author-X-Name-First: G Author-X-Name-Last: Woglom Title: Inflation Targeting in South Africa: A Var Analysis Abstract: The first part of the paper analyses CPI inflation targeting in an open economy context. Inflation targeting makes the exchange rate less flexible in response to foreign shocks and thus lessens the automatic stabilisation provided by flexible exchange rates. The second part uses VAR techniques to study the relative frequencies of different kinds of shocks impinging on the South African, New Zealand and Canadian economies. The results suggest that South Africa is not a good candidate for an inflation target relative to the other two countries because of the relative importance of foreign shocks and of the weak linkage between monetary policy and inflation. Journal: Studies in Economics and Econometrics Pages: 1-17 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129267 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129267 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:1-17 Template-Type: ReDIF-Article 1.0 Author-Name: T de Wet Author-X-Name-First: T de Author-X-Name-Last: Wet Title: Purchasing Power Parity in the Long Run: An Empirical Re-Evaluation of the South African Evidence Abstract: Purchasing Power Parity is a very important equilibrium concept in macroeconomics. Although the concept of purchasing power parity equilibrium is widely used in the academic, public and business sector, the actual existence of purchasing power equilibrium between countries is widely debated. The continuous development of methods to analyse the properties of time series data has contributed to this debate. In this paper, the purchasing power parity equilibrium between South Africa and its major trading partners is tested with some of the recent methods to analyse whether time series data converges towards equilibrium. The conclusion that is reached is that a purchasing power parity equilibrium do exist in the long run, but that this equilibrium breaks down over the short run. Journal: Studies in Economics and Econometrics Pages: 19-34 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129268 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129268 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:19-34 Template-Type: ReDIF-Article 1.0 Author-Name: J H van Heerden Author-X-Name-First: J H van Author-X-Name-Last: Heerden Author-Name: N J Schoeman Author-X-Name-First: N J Author-X-Name-Last: Schoeman Title: Generational Accounting: A Comparison Between Various Taxes’ Incidence on the Young and Old in South Africa Abstract: This article focuses on the applicability of intergenerational accounting to contribute towards more effective fiscal policy for the correction of wealth imbalances in South Africa. Three scenarios are tested using a general equilibrium model with overlapping generations. An increase in the tax on capital income has a positive effect on the distribution of personal wealth between rich and poor, but it decreases total production.An estate tax improves the current distribution of wealth with much more positive results. Both total consumption and the total capital stock increase. The welfare position of the rich is largely unaffected while that of the poor increases substantially.Lastly, it is shown that an increase in indirect taxes produces negative results. The welfare of the poorer group decreases and at the same time there is a decline in the general level of welfare due to lower levels of production and consumption in the economy. Journal: Studies in Economics and Econometrics Pages: 35-51 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129269 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129269 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:35-51 Template-Type: ReDIF-Article 1.0 Author-Name: L Yadavalli Author-X-Name-First: L Author-X-Name-Last: Yadavalli Author-Name: V S S Yadavalli Author-X-Name-First: V S S Author-X-Name-Last: Yadavalli Title: A Study of Convergence in the World Economy, 1960-97 Abstract: This paper considers the convergence in the world economy during 1960-1997, against the background of the convergence phenomenon affirmed by Baumol (1986). Convergence refers to the idea that countries with initially low real per capita incomes tend to grow faster than wealthier countries, and that their per capita income levels and growth rates will eventually reach a common end-state. This empirically observed catching-up process by the developing countries is assisted by the international diffusion of knowledge and technology. Journal: Studies in Economics and Econometrics Pages: 53-65 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129270 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129270 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:53-65 Template-Type: ReDIF-Article 1.0 Author-Name: S Mainardi Author-X-Name-First: S Author-X-Name-Last: Mainardi Title: Social Rates of Discount Revisited, With Derivations For Trinidad and South Africa Abstract: As a complementary tool to macroeconomic policies, methods of economic project appraisal have experienced a revival in recent years. The high level of theoretical abstraction of economic pricing parameters inevitably makes their selection partly determined by policy targets. However, there is scope for relying on relatively more objective criteria, and refining the functional specifications and econometric procedures, with the aim of accounting for the presence of a large subsistence economy and severe income inequality, and identifying long-run equilibrium relationships. This paper first considers controversial issues underlying the selection and derivation of social rates of discount, with particular attention to the consumption rate of interest (CRI). Applying a revised operational utility discounting method to data of a previous study, CRI estimates are obtained for Trinidad and Tobago, so as to check the sensitivity of these estimates to the derivation method. The estimation is then rerun on statistical information for South Africa, partly based on cross-section data. Journal: Studies in Economics and Econometrics Pages: 67-85 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129271 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129271 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:67-85 Template-Type: ReDIF-Article 1.0 Author-Name: N Biekpe Author-X-Name-First: N Author-X-Name-Last: Biekpe Title: Detecting Heteroscedasticity Using a Non-Parametric Regression Technique Abstract: Most empirical research on detecting heteroscedasticity rely on parametric techniques [White (1980) and Cook and Weisberg (1983)]. It is, however, well established that parametric estimation techniques have the added disadvantage of introducing biases from parameters fed into the modelling process. In this paper, a diagnostic test for detecting heteroscedasticity is explored using a non-parametric approach. The small and large sample statistics of the hypothesis of homogeneous variances are also studied using stock FTSE 100 index data. The test statistics rejected the null hypothesis of homogeneous variances. Journal: Studies in Economics and Econometrics Pages: 87-95 Issue: 2 Volume: 24 Year: 2000 Month: 7 X-DOI: 10.1080/03796205.2000.12129272 File-URL: http://hdl.handle.net/10.1080/03796205.2000.12129272 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:24:y:2000:i:2:p:87-95 Template-Type: ReDIF-Article 1.0 Author-Name: Lutho Mbekeni Author-X-Name-First: Lutho Author-X-Name-Last: Mbekeni Author-Name: Andrew Phiri Author-X-Name-First: Andrew Author-X-Name-Last: Phiri Title: Can the South African Reserve Bank (SARB) protect the interest earnings of savers/investors? A new look at Fisher’s hypothesis Abstract: In this paper, we evaluate whether the South African Reserve Bank (SARB) has been successful at fulfilling its mandate of protecting the purchasing power of the country’s citizens. To this end, we use quarterly data covering the post-inflation targeting era of 2002:Q1 to 2019:Q4 to re-examine Fisher’s hypothesis for the South African economy by testing for stationarity in real interest rates. Our study makes three noteworthy empirical contributions. Firstly, we use survey-data measures of inflation expectations for different market participants in computing the real interest rate variable. Secondly, our inflation expectations variables are constructed in alignment with the inflation forecast horizons of 12–24 months as practiced by the SARB. Thirdly, we rely on the more powerful flexible Fourier unit root test in testing for integration properties of the real exchange rate. All-in-all, our findings highlight the Reserve Bank’s success in protecting the purchasing power of different economic agents particularly for periods subsequent to the crisis. Policy recommendations are also provided. Journal: Studies in Economics and Econometrics Pages: 149-163 Issue: 3 Volume: 45 Year: 2021 Month: 7 X-DOI: 10.1080/03796205.2021.2012506 File-URL: http://hdl.handle.net/10.1080/03796205.2021.2012506 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:3:p:149-163 Template-Type: ReDIF-Article 1.0 Author-Name: Konstantin Makrelov Author-X-Name-First: Konstantin Author-X-Name-Last: Makrelov Author-Name: Rob Davies Author-X-Name-First: Rob Author-X-Name-Last: Davies Author-Name: Laurence Harris Author-X-Name-First: Laurence Author-X-Name-Last: Harris Title: The impact of higher leverage ratios on the South African economy Abstract: We employ a micro-founded, stock-flow consistent computable general equilibrium model to study the impact of increases of the leverage ratio on the South African economy. The model provides for a richer representation of institutional balance sheets than existing models and captures the important relationship identified in the literature between bank capital, lending spreads and economic activity. The financial accelerator mechanism operates through the balance sheets of all institutions in the economy. The move to a higher leverage ratio for banks is likely in the short-run to generate negative economic impacts that depend on the banks’ choice of adjustment strategy. The negative GDP effect is greatest if the financial sector reduces leverage by reducing the value of its assets rather than raising its liabilities. The shock also leads to the financial sector changing its perceptions of risk, which reduces the size of the money multiplier and increases lending spreads. The transition to a higher leverage ratio also affect the transmission of monetary policy. Executing monetary policy effectively thus requires understanding how the financial sector is likely to meet the new requirements and how its perceptions of risk are affected. Journal: Studies in Economics and Econometrics Pages: 184-207 Issue: 3 Volume: 45 Year: 2021 Month: 7 X-DOI: 10.1080/03796205.2021.2016480 File-URL: http://hdl.handle.net/10.1080/03796205.2021.2016480 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:3:p:184-207 Template-Type: ReDIF-Article 1.0 Author-Name: Thabang Ndlovu Author-X-Name-First: Thabang Author-X-Name-Last: Ndlovu Title: Efficiency, productivity and returns to scale economies in South Africa’s healthcare insurance market Abstract: This article sets out a comprehensive assessment of efficiency, productivity and returns to scale economies in South Africa’s Healthcare Insurance market for the period 2011 to 2017. Economic theory suggests that there exists a relationship between the level of competition and the overall level of efficiencies within a market. For the most part, market efficiencies will be positively correlated with the level of existing market competition. This has direct implications to South Africa’s private medical scheme industry, which according to the Competition Commission’s Health Market Inquiry resembles an uncompetitive market structure. Data Envelopment Analysis was employed while conducting the study in order to estimate efficiency scores and returns to scale for both open and restricted medical schemes. The Malmquist index was employed to assess medical scheme productivity growth whereas a truncated bootstrapped regression and a logistic regression technique was employed to identify the determinants of efficiency and the probability of operating under constant returns to scale. The empirical results reveal that open medical schemes tend to be more efficient than restricted medical schemes. More so, the empirical evidence reveals that there is room for improvement of efficiencies for both open and restricted medical schemes. Journal: Studies in Economics and Econometrics Pages: 164-183 Issue: 3 Volume: 45 Year: 2021 Month: 7 X-DOI: 10.1080/03796205.2021.2012507 File-URL: http://hdl.handle.net/10.1080/03796205.2021.2012507 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:3:p:164-183 Template-Type: ReDIF-Article 1.0 Author-Name: Tariq H. Haque Author-X-Name-First: Tariq H. Author-X-Name-Last: Haque Author-Name: M. Ohidul Haque Author-X-Name-First: M. Ohidul Author-X-Name-Last: Haque Title: The steady progress of Non-English-Speaking migrant women’s labour market participation in Australia Abstract: This study deals with the labour force participation of Non-English-Speaking migrant women and draws a comparison with that of Australian-born women, using the 2016 Australian Confidentialised Unit Record File (CURF) Microdata based on a 1% sample from the Australian 2016 Census. A general probit model is used to estimate the probability of labour market participation of both groups, as well as for each of the groups separately, attributable to various factors. The results suggest that the participation rate of Non-English-Speaking migrant women (58.9%) is increasing over time, but is still much lower than for Australian-born women (69.5%), with the gap narrowing over time. Further, it also shows a reduced chance of participation in the labour market when they are old, married, and have children. However, Non-English-Speaking migrant women are more likely to participate than Australian-born women when they are old, married, and have children due to economic needs. Providing excellent English, education, recognition of overseas qualifications and experiences together with easy access to childcare might help Non-English-Speaking migrant women to further increase their chance of participation in the Australian labour market. Journal: Studies in Economics and Econometrics Pages: 131-148 Issue: 3 Volume: 45 Year: 2021 Month: 7 X-DOI: 10.1080/03796205.2021.1961422 File-URL: http://hdl.handle.net/10.1080/03796205.2021.1961422 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:3:p:131-148 Template-Type: ReDIF-Article 1.0 Author-Name: Sayed O. M. Timuno Author-X-Name-First: Sayed O. M. Author-X-Name-Last: Timuno Author-Name: Joel Hinaunye Eita Author-X-Name-First: Joel Hinaunye Author-X-Name-Last: Eita Title: The impact of fiscal policy on total factor productivity growth in a developing economy: evidence from Botswana Abstract: Most empirical work on the nexus between fiscal policy and total factor productivity (TFP) is focussed on aggregate analysis and lack sector-specific evidence required to guide effective policy decisions. Our study addresses this gap by analysing the impact of fiscal policy on sectoral TFP growth in Botswana between 1984 and 2016 using the Autoregressive Distributive Lag method. The results suggest that focussing on aggregate TFP growth masks specific issues which are peculiar to various economic sectors. For instance, mineral tax, other tax revenue, and expenditure on social services were found to have a significant long-run positive impact on the TFP growth in the primary sector only, while a negative impact is witnessed in the secondary and tertiary sectors. SACU revenue has a positive impact on TFP growth in both the primary and tertiary sectors, while productive spending boosts TFP growth across all sectors. In addition, both the value-added tax and the non-mining income tax have a negative impact on TFP growth across all sectors. The speed of adjustment was found to be high in the primary sector compared to other sectors. The findings single out the importance of taking into account sector-specific fiscal policies in influencing sectoral TFP growth. Journal: Studies in Economics and Econometrics Pages: 243-259 Issue: 4 Volume: 45 Year: 2021 Month: 10 X-DOI: 10.1080/03796205.2022.2053298 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2053298 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:4:p:243-259 Template-Type: ReDIF-Article 1.0 Author-Name: Sameh Hallaq Author-X-Name-First: Sameh Author-X-Name-Last: Hallaq Title: First Palestinian intifada and intergenerational transmission of human capital Abstract: This paper attempts to estimate the intergenerational transmission of human capital in Palestine. The main question is whether formal parental education improves their offspring’s cognitive skills and school achievements. I use the instrumental variable method in the estimations to overcome the potential endogeneity of parental education. The main source of variation in parental educational attainment is parents’ exposure to the First Palestinian Intifada (1988–1993) during their middle and high school ages. During the First Palestinian Intifada, many school days were lost due to frequent school closures and other restrictions. Furthermore, many young people preferred to search for low-skill employment in Israel, since it provided them with better wages than the local labour market and hardly required any level of educational attainment. This study employs two outcomes, namely the standardised cognitive test scores and school achievements during the academic year 2012/2013 for students between grade 5 and grade 9 in West Bank schools. Overall, the results support the hypothesis of a human capital spill-over but more so for girls than for boys, where the instrumental variables results are often insignificant because of their large standard errors. Journal: Studies in Economics and Econometrics Pages: 209-242 Issue: 4 Volume: 45 Year: 2021 Month: 10 X-DOI: 10.1080/03796205.2022.2043769 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2043769 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:4:p:209-242 Template-Type: ReDIF-Article 1.0 Author-Name: Ramaele Moshoeshoe Author-X-Name-First: Ramaele Author-X-Name-Last: Moshoeshoe Title: Changes in educational achievement and educational inequality in Lesotho: a relative distribution analysis Abstract: The fourth goal of the SDGs calls for the increase in access to quality education and the redress of educational inequalities. Monitoring progress towards this goal requires paying attention to changes in educational quality and inequality, not just to changes in average quality. Between 2000 and 2007, Lesotho implemented a multifaceted Free Primary Education programme that included fee eliminations, school-building, and teacher-recruitment components to increase school access and minimise the adverse effects on education quality. During this period, enrolment and average educational achievement increased. However, we do not know whether the increase in average performance was driven by all or just a few gifted students and how it affected educational inequality. This paper fills this knowledge gap by using grade 6 standardised test scores and employing the relative distribution method to analyse changes in educational achievement and educational inequality between 2000 and 2007 in Lesotho. Results show that, although educational achievement of all students increased during this period, much of the increase in overall educational achievement was attributable to improved performance of low- and high-achieving students. This increase in performance at the lower and upper tails of the performance distribution led to an increase in educational achievement and educational inequality, especially in reading proficiency. Further, changes in students’ compositional changes explain the increase in educational achievement. Journal: Studies in Economics and Econometrics Pages: 260-282 Issue: 4 Volume: 45 Year: 2021 Month: 10 X-DOI: 10.1080/03796205.2022.2053299 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2053299 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:4:p:260-282 Template-Type: ReDIF-Article 1.0 Author-Name: Monique Reid Author-X-Name-First: Monique Author-X-Name-Last: Reid Author-Name: Pierre Siklos Author-X-Name-First: Pierre Author-X-Name-Last: Siklos Title: Inflation expectations surveys: a review of some survey design choices and their implications Abstract: Inflation expectations are today keenly monitored by both the private sector and policy makers. Expectations matter, but whose expectations matter and how should this unobservable be measured? Answering these questions involves a number of choices that should be transparent and explicit. In this paper, we focus on these choices with respect to the South African inflation expectations data collected by the Bureau for Economic Research, but the discussion has broader international relevance. Firstly, there is a surprising level of heterogeneity in the design of inflation expectations surveys across countries, so there is room to learn from each of these experiences in pursuit of best practices. Being willing to detail the strengths and weaknesses of a particular approach is valuable as it will enable us to choose the appropriate proxy for each application and to interpret the results with insight. Secondly, the inflation expectations survey data of the Bureau for Economic Research has some particular strengths that may enable researchers to explore questions of international relevance, that comparable surveys have not allowed. Journal: Studies in Economics and Econometrics Pages: 283-303 Issue: 4 Volume: 45 Year: 2021 Month: 10 X-DOI: 10.1080/03796205.2022.2060299 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2060299 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:45:y:2021:i:4:p:283-303 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2085162_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220823T191300 git hash: 39867e6e2f Author-Name: Christelle Meniago Author-X-Name-First: Christelle Author-X-Name-Last: Meniago Author-Name: Joel Hinaunye Eita Author-X-Name-First: Joel Hinaunye Author-X-Name-Last: Eita Title: Fiscal policy-growth nexus in CFA countries: assessing the role of institutional quality and debt Abstract: The importance of government debt and institutional quality for economic growth has become fundamental, predominantly in a context where policy makers must face snowballing fiscal imbalances. This study investigates the relationship between fiscal policy and economic growth in CFA countries, while also examining the role of institutions and debt in the relationship. Using panel data of thirteen countries over the period 1995–2017, the system GMM estimates have clearly established that contrary to the Keynesian view which postulates a positive relationship between fiscal policy and economic growth, there is strong evidence of a negative relationship between fiscal policy and economic growth. The economic reason behind this result could be because most developing countries (CFA countries included) do not spend on productive sectors of the economy. This could adversely affect growth, despite the fact that government spending increases every year. The findings of the interaction terms show mixed results. Journal: Studies in Economics and Econometrics Pages: 64-82 Issue: 1 Volume: 46 Year: 2022 Month: 1 X-DOI: 10.1080/03796205.2022.2085162 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2085162 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:1:p:64-82 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2077232_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220823T191300 git hash: 39867e6e2f Author-Name: Masudul Hasan Adil Author-X-Name-First: Masudul Hasan Author-X-Name-Last: Adil Author-Name: Taniya Ghosh Author-X-Name-First: Taniya Author-X-Name-Last: Ghosh Author-Name: Ibrahim Nurudeen Author-X-Name-First: Ibrahim Author-X-Name-Last: Nurudeen Author-Name: Neeraj Hatekar Author-X-Name-First: Neeraj Author-X-Name-Last: Hatekar Title: Dynamic interaction among macroeconomic fundamentals: evidence from India using the SVAR framework Abstract: The present study aims to empirically examine the potential relationship among macroeconomic fundamentals in India, such as oil price, monetary aggregate, output, interest rate, exchange rate, and inflation. To this end, we use a structural vector autoregression (SVAR) framework to analyse the relationship using more recent data from 1996:Q2 to 2021:Q2. The results are concluded using impulse response functions, variance decomposition, and historical decomposition analyses. The study summarises the following observations: first, we find that the oil price has a considerable impact on Indian macroeconomic fundamentals. Second, monetary policy variable and the monetary aggregate respond to all shocks significantly. Third, despite adopting an inflation-targeting framework, India’s monetary transmission mechanism has remained weak, with monetary policy shocks having an insignificant impact on output and inflation. Lastly, the exchange rate is a very important variable for the Indian economy, significantly affecting the different macroeconomic fundamentals. These findings could have major policy implications. In the current flexible inflation-targeting framework, the use of the interest rate as an operating target and the broad money measure as one of the essential indicator variables may help anchor inflation within the targeted band. Journal: Studies in Economics and Econometrics Pages: 43-63 Issue: 1 Volume: 46 Year: 2022 Month: 1 X-DOI: 10.1080/03796205.2022.2077232 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2077232 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:1:p:43-63 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2060297_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220823T191300 git hash: 39867e6e2f Author-Name: Johannes Fedderke Author-X-Name-First: Johannes Author-X-Name-Last: Fedderke Author-Name: Wei-Ting Yang Author-X-Name-First: Wei-Ting Author-X-Name-Last: Yang Title: Leading indicators of debt pressure: a South African application Abstract: As South Africa’s national debt has been on a steady upward trend since the late 2000s, this paper aims to construct an Early Warning System (EWS) using logit regressions to predict the likelihood of future public sector and private sector debt pressure. Results show that real GDP growth and the exchange rate matter for the prediction of private sector debt pressure. Government expenditure and real GDP growth are the most important predictors of public sector debt pressure. The implication of the net substantive magnitude of leading indicator impacts is that private debt pressure is principally structural, and public debt pressure is a reflection of discretionary policy choices. Early warnings from all four model predictions satisfy statistical reliability criteria. The best performing model is the public sector model for excessive debt accelerations, capturing 61.54% of the actual high-pressure events with a precision of 72.73%. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 46 Year: 2022 Month: 1 X-DOI: 10.1080/03796205.2022.2060297 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2060297 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2074873_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220823T191300 git hash: 39867e6e2f Author-Name: Eldridge Moses Author-X-Name-First: Eldridge Author-X-Name-Last: Moses Title: Long and short-distance internal migration motivations in post-apartheid Namibia: a gravity model approach Abstract: The paper estimates a gravity model to analyse the region-level differences that explain internal migration in post-apartheid Namibia, with the specific aim of understanding whether there are differences in motivations for long and short-distance migration. Given Namibia’s history of apartheid-era segregation, the sample is later restricted to African-language speaking migrants to determine whether the distances travelled differ from that of the full population. A zero-inflated negative binomial model is applied to estimate the effects of constituency-level economic indicators, labour market conditions, agricultural activity, and built amenities on migration flows. Regression analysis shows that analysing internal migration flows in Namibia without accounting for distance-related differences in migrant motivations may produce misleading results. Disaggregation of migration flows by distance reveals that for both the entire population and the restricted African-language speaking sample, constituency differences in amenity quality are predictors of intermediate-distance migration volumes. Per capita income differences in favour of the receiving constituency increase long-distance migration volumes. For all distances moved, previous migration in the sending constituency is a strong positive predictor of migration volumes. Migration volumes also increase when the sending constituency shares a border with another country. Journal: Studies in Economics and Econometrics Pages: 23-42 Issue: 1 Volume: 46 Year: 2022 Month: 1 X-DOI: 10.1080/03796205.2022.2074873 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2074873 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:1:p:23-42 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2127422_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Olga Sudibor Author-X-Name-First: Olga Author-X-Name-Last: Sudibor Author-Name: Hülya Ünlü Author-X-Name-First: Hülya Author-X-Name-Last: Ünlü Title: The attraction of talent through international student mobility patterns and triple helix system: evidence from OECD countries for triple helix system Abstract: In the new century of the knowledge economy, highly trained human capital is anticipated to stimulate economic growth, becoming one of the grounds for competition – the “war for talent.” The business sector, higher education and talent are all crucially connected. Integration into international knowledge networks may be enhanced by the country’s domestic triple helix. International knowledge transfer, national innovation systems and national triple helix systems draw international talent flows because of their economic benefits. To examine a nation’s ability to draw talent, we utilise a two-stage error correction (EC2SLS) panel model for OECD countries between the years 2013 and 2017. We assume that it is influenced by several innovative and technological aspects, including the triple helix, international student mobility and other factors. Results indicate that when we compare low-middle-income nations with high-income countries, the attraction of talent may alter when taking into account university–industry relationships. It has been observed that low-middle-income countries need to exert more effort in university–industry collaborations than high-income ones to recruit more talent. Evidence suggests that nations seeking to recruit talent should target international students. In addition, nations may focus on public institutions, the labour market and innovation. Governments and companies should be proactive in the competition for international talent, the results show. These results add clarity to the debate over how international student mobility affects knowledge creation and emphasise the significance of university–industry collaboration in luring talent to nations with disparate income levels. Journal: Studies in Economics and Econometrics Pages: 149-167 Issue: 2 Volume: 46 Year: 2022 Month: 4 X-DOI: 10.1080/03796205.2022.2127422 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2127422 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:2:p:149-167 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2109503_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Audrey Nguema Bekale Author-X-Name-First: Audrey Author-X-Name-Last: Nguema Bekale Author-Name: Imhotep Paul Alagidede Author-X-Name-First: Imhotep Paul Author-X-Name-Last: Alagidede Author-Name: Jones Odei-Mensah Author-X-Name-First: Jones Author-X-Name-Last: Odei-Mensah Title: Derivatives use and the business lending efficiency of African banks Abstract: Sparked by the ongoing advocacy for Africa’s derivatives initiatives, this work seeks to uncover the linkage between derivatives use and the business lending efficiency of banks in selected African economies. We studied a panel of 147 banks from 14 African countries between 2011 and 2017, using two competing non-parametric and parametric approaches for efficiency analysis. Respectively, Simar and Wilson’s (2007) two-stage double-bootstrap techniques (non-parametric) and an ML-based Bayesian SFA model (parametric) reflect the desired dynamic (instead of static) efficiency representations for panel analyses. Despite conflicting bank efficiency interpretations, both investigations corroborate the existence of widespread inefficiency of markets in Africa, which is likely strengthened by harmful fragmentation in the continent’s financial/capital markets, market illiquidity, a lack of transparency, and informational inefficiency, among others. Journal: Studies in Economics and Econometrics Pages: 105-124 Issue: 2 Volume: 46 Year: 2022 Month: 4 X-DOI: 10.1080/03796205.2022.2109503 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2109503 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:2:p:105-124 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2089217_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Jamiil Jeetoo Author-X-Name-First: Jamiil Author-X-Name-Last: Jeetoo Title: External indebtedness in Sub-Saharan Africa: a spatial econometric perspective Abstract: The dilemma around external debt accumulation and the increasing burden of debt servicing in sub-Saharan Africa (SSA) remains a repetitive topic in the development debates. The aim of this study is to investigate the determinants of external indebtedness for SSA countries over the period 2002–2020 while accounting for spatial effects. It departs from the classical literature which uses external debt to Gross Domestic Product ratio as a measure of external indebtedness and formulates another measure, referred to as the Indebtedness Index, which is calculated by making use of the Stochastic Frontier Analysis technique. It accounts for the impact of spatial interactions in external debt accumulation behaviour, by applying the Spatial Durbin Model. The findings of the study show evidence of spatial interactions in external indebtedness among SSA nations. The results also show the reduction capacity of higher exports, political stability and government effectiveness on external indebtedness, while higher share of broad money to GDP exacerbates external indebtedness. Journal: Studies in Economics and Econometrics Pages: 83-104 Issue: 2 Volume: 46 Year: 2022 Month: 4 X-DOI: 10.1080/03796205.2022.2089217 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2089217 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:2:p:83-104 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2126998_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Frederich Kirsten Author-X-Name-First: Frederich Author-X-Name-Last: Kirsten Author-Name: Ilse Botha Author-X-Name-First: Ilse Author-X-Name-Last: Botha Author-Name: Biyase Mduduzi Author-X-Name-First: Biyase Author-X-Name-Last: Mduduzi Author-Name: Marinda Pretorius Author-X-Name-First: Marinda Author-X-Name-Last: Pretorius Title: The impact of subjective social status, inequality perceptions, and inequality tolerance on demand for redistribution. The case of a highly unequal society Abstract: The international literature shows that demand for redistribution is influenced by subjective factors like perceptions of inequality and individuals’ perceived social status. However, few have assessed these subjective dynamics in the developing South, especially in Africa. This study aims to assess the subjective interlinkages between subjective social status, inequality perceptions and demand for redistribution in South Africa, the country with the highest level of inequality in the world. Using ISSP data and an ordered probit model, we show that subjective social status is a negative and significant determinant of demand for redistribution in South Africa. This means that South Africans who position themselves on the lower rungs of society demand higher redistribution and vice versa. Furthermore, perceptions of inequality are significant in driving demand for redistribution in South Africa, as this study finds that inequality tolerance negatively influences demand for redistribution and perceptions of actual inequality positively influence demand for redistribution. This means that South Africans who perceive higher levels of inequality tend to demand more redistribution, while South Africans who tolerate more inequality tend to demand less redistribution. Surprisingly, inequality tolerance is relatively high among the unemployed, Africans, and females. Many of these individuals are part of the most vulnerable in society and would actually benefit from more redistribution. Overall, the results show that, in South Africa, subjective factors like subjective social status and attitudes towards inequality significantly influence demand for redistribution. Journal: Studies in Economics and Econometrics Pages: 125-148 Issue: 2 Volume: 46 Year: 2022 Month: 4 X-DOI: 10.1080/03796205.2022.2126998 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2126998 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:2:p:125-148 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2143881_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Helena Viljoen Author-X-Name-First: Helena Author-X-Name-Last: Viljoen Author-Name: Willie J. Conradie Author-X-Name-First: Willie J. Author-X-Name-Last: Conradie Author-Name: Monique-Mari Britz Author-X-Name-First: Monique-Mari Author-X-Name-Last: Britz Title: The influence of different financial market regimes on the dynamic estimation of GARCH volatility model parameters and volatility forecasting Abstract: Volatility is one of the measures of risk within the financial markets. GARCH modelling involves important volatility forecasting methodology and is widely used in finance. It is important to be able to forecast volatility since volatility has an impact on financial portfolios and the risk hedging methodology followed by financial companies. This study investigates the behaviour of parameter estimates and volatility forecasts of GARCH models over time, using a rolling window estimation procedure. Three GARCH models, the Symmetric GARCH, GJR-GARCH and E-GARCH models, are compared. The dataset used in the study comprises of the JSE All-Share index. This index is divided into two different periods, namely, a tranquil financial period and a turbulent financial period. Different factors influence the performance of GARCH models and consequently determines which GARCH model is the most suited for certain circumstances. These factors are: the sample window period, forecasting horison, the financial period and the underlying distribution of the log returns. Journal: Studies in Economics and Econometrics Pages: 169-184 Issue: 3 Volume: 46 Year: 2022 Month: 7 X-DOI: 10.1080/03796205.2022.2143881 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2143881 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:3:p:169-184 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2143885_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Izunna Chima Anyikwa Author-X-Name-First: Izunna Chima Author-X-Name-Last: Anyikwa Author-Name: Lehlohonolo Domela Author-X-Name-First: Lehlohonolo Author-X-Name-Last: Domela Title: Asymmetric effects of exchange rate volatility on trade flows in BRICS economies Abstract: This study investigates the impact of exchange rate volatility on trade flows in Brazil, Russia, India, China and South Africa (BRICS), for the period 2009:M1 to 2019: M12. To capture the short- and long-term symmetric and asymmetric relationships, the linear and nonlinear autoregressive distributed lag (ARDL) models were employed. The findings indicate that rising exchange rate volatility is associated with growing trade flows in Russia and India while declining exchange rate volatility reduces Chinese imports. It is also revealed that rising and declining exchange rate volatility have opposite effect on trade flow in South Africa. Additionally, the result show evidence of both long run and short run asymmetric behaviour. Accordingly, this study recommends the adoption of flexible exchange rate policy among BRICS economies and that traders and businesses should take advantage of exchange rate volatility. Journal: Studies in Economics and Econometrics Pages: 224-247 Issue: 3 Volume: 46 Year: 2022 Month: 7 X-DOI: 10.1080/03796205.2022.2143885 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2143885 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:3:p:224-247 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2143884_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Chung-Khain Wye Author-X-Name-First: Chung-Khain Author-X-Name-Last: Wye Author-Name: Elya Nabila Abdul Bahri Author-X-Name-First: Elya Nabila Abdul Author-X-Name-Last: Bahri Author-Name: Ishak Yussof Author-X-Name-First: Ishak Author-X-Name-Last: Yussof Author-Name: Wei Mao Author-X-Name-First: Wei Author-X-Name-Last: Mao Title: How are energy and employment related? An analysis in ASEAN-5 open economies Abstract: Energy efficiency policy implemented within ASEAN-5 region raises concern over the possibility of compromising economic growth and trade in general, and labour market stability in specific. Previous studies have mostly considered the linear association and ignored nonlinearity between energy consumption and employment. Testing the existence of nonlinear energy-employment nexus for ASEAN-5 in 1991–2015, this paper shows an initially negative association between energy consumption and employment before turning positive beyond the energy and employment thresholds, portraying a U-shaped energy-employment nexus. Policies implementation may target on controlling energy increase beyond the employment threshold, and promoting employment creation beyond the energy threshold. Journal: Studies in Economics and Econometrics Pages: 201-223 Issue: 3 Volume: 46 Year: 2022 Month: 7 X-DOI: 10.1080/03796205.2022.2143884 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2143884 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:3:p:201-223 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2143883_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949 Author-Name: Charles Kakuru Author-X-Name-First: Charles Author-X-Name-Last: Kakuru Author-Name: Teresia Kaulihowa Author-X-Name-First: Teresia Author-X-Name-Last: Kaulihowa Title: Determinants of house price dynamics and household indebtedness in Namibia Abstract: The paper aims to investigate the determinants of supply and demand-side factors of house price dynamics and their impact on household indebtedness in Namibia. An autoregressive distributed lag (ARDL) model was used. The findings support the hypothesis’ that supply-side and demand-side factors had a significant effect on house price as well as household indebtedness. It was found that money supply, working population, construction cost index, mortgage loans, previous quarter house prices, and current GDP were found to be the key determinants of both supply and demand-side factors of house-price dynamics in Namibia. Additionally, an increase in mortgage loans would increase household indebtedness in the short run and was found to be the key determinant of household indebtedness in Namibia. This indicates that an expansionary monetary policy could address the twin problem of rising house prices and household indebtedness. Policy implications derived from the study indicate that although monetary policy can be used to address the issues of escalating house prices and indebtedness, this policy intervention may be limited because Namibia does not have an autonomy regarding its monetary policy due to its currency board operations arrangement. Journal: Studies in Economics and Econometrics Pages: 185-200 Issue: 3 Volume: 46 Year: 2022 Month: 7 X-DOI: 10.1080/03796205.2022.2143883 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2143883 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:3:p:185-200 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2135587_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Alemayehu Geda Author-X-Name-First: Alemayehu Author-X-Name-Last: Geda Author-Name: Addis Yimer Author-X-Name-First: Addis Author-X-Name-Last: Yimer Title: An applied dynamic structural macro-econometric model for Rwanda Abstract: This study develops a macro-econometric model for a typical supply constrained African economy aimed at developing a theoretical and empirical template for such policy tools that are increasingly being demanded by African ministries of finance and central banks. We concretised it by building a macro-econometric model for Rwanda. The model is designed to capture the structural characteristics of such an African economy. The Rwanda macro-econometric model has 107 equations of which 72 are endogenous. In addition, we also build a supplementary ARIMA based model with 33 equations for the exogenous variables to make the model useful for forecasting. We disaggregate the fiscal, balance of payments and money supply blocks of the model to offer an adequate picture of the macro-economy. We also do an econometric estimation of the core behavioural equations of the model using the error correction modelling approach for the period 1960–2009. The model can be easily extended further to support the budgeting, forecasting and macroeconomic policy analyses in the relevant ministries and central banks in Africa. We successfully solve the model and reproduce historical values from 1999 to 2009 and forecast major macro-variables for 2010 to 2015. We also use the model to conduct policy and external shock simulation exercise that are important for policymakers. Journal: Studies in Economics and Econometrics Pages: 249-281 Issue: 4 Volume: 46 Year: 2022 Month: 10 X-DOI: 10.1080/03796205.2022.2135587 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2135587 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:4:p:249-281 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2138523_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yixiao Jiang Author-X-Name-First: Yixiao Author-X-Name-Last: Jiang Title: Economic freedom and international tourism: evidence from least developed countries Abstract: This study utilises a dynamic panel data method to identify the short-run and long-run effects of host countries’ economic freedom on international tourism, focussing on the least developed countries (LDCs). Based on the panel data of 154 countries from 2002 to 2019, we find that the three broad aspects of economic freedom—property rights enforcement, regulatory efficiency, and market openness—have differential impacts on the LDCs and their more developed counterpart. LDCs are more responsive to an improvement in regulatory efficiency. Specifically, a more efficient labour market and stable price level in the host country attracts more inbound tourism. Tourism in developed countries, in contrast, is more responsive to an improvement in property rights enforcement. As such, we recommend countries consider their development status as they promote tourism. Journal: Studies in Economics and Econometrics Pages: 316-328 Issue: 4 Volume: 46 Year: 2022 Month: 10 X-DOI: 10.1080/03796205.2022.2138523 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2138523 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:4:p:316-328 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2143886_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kholiswa Malindini Author-X-Name-First: Kholiswa Author-X-Name-Last: Malindini Title: Rethinking export diversification to stimulate resilience against future economic shocks in Sub-Saharan Africa Abstract: The literature suggests that export diversification is growth-inducing, particularly in developing countries. However, Sub-Saharan Africa has been experiencing deteriorating or insignificant economic growth levels. The region’s exports are highly concentrated; thus, this paper sought to examine the extent of export diversification and its effect on economic growth in Sub-Saharan Africa (SSA). Further, the paper assessed the presence of a U-shaped hypothesis in the context of SSA. The GMM approximation technique was adopted to examine the model’s relationship and control for endogeneity. The results suggest that export concentration significantly hampers economic growth. The results further indicated that foreign direct investment, domestic investment, and trade openness stimulate growth – while weak governance, fluctuating exchange rates and trade policy also adversely affect economic growth. However, the results do not support a hump-shaped (non-linear) correlation between export diversification and economic growth in SSA. To fully recover from the global pandemic and attain higher levels of economic growth, the Sub-Saharan African region needs to implement policies that allow export products and market diversification. While diversification is crucial for development, improving the quality of governance should also be a prerequisite, given that weak governance may interfere with ratifying appropriate and relevant policies aimed at facilitating export diversification. Journal: Studies in Economics and Econometrics Pages: 282-300 Issue: 4 Volume: 46 Year: 2022 Month: 10 X-DOI: 10.1080/03796205.2022.2143886 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2143886 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:4:p:282-300 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2158123_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Onesmo K. Mackenzie Author-X-Name-First: Onesmo K. Author-X-Name-Last: Mackenzie Author-Name: Ada Jansen Author-X-Name-First: Ada Author-X-Name-Last: Jansen Author-Name: Krige Siebrits Author-X-Name-First: Krige Author-X-Name-Last: Siebrits Title: Assessing the efficiency of tax administration in Africa Abstract: Taxation has been recognised as a proactive tool for achieving fiscal capacity, yet irreconcilable views exist as to why, decades after independence, countries in Africa still face challenges financing their public spending needs. One of the factors that has been studied in recent years is the performance of the institutions responsible for revenue mobilisation. Countries need effective, efficient, and capable tax authorities to mobilise sufficient revenue. This paper uses data from 27 African countries collected by African Tax Administration Forum (ATAF), to assess the efficiency of African tax administrations. It applies parametric (stochastic frontier) and non-parametric (data envelopment) techniques to generate efficiency scores and rank tax administrations. The results suggest that many African tax administrations operate inefficiently and could improve their performance by between 3 and 79% to reach their maximum capacity. Applying the Tobit regression technique shows that the granting of partial autonomy to revenue collection agencies, the size of the informal sector, size of non-tax revenue, and segmentation of taxpayers have significant effects on the efficiency of tax administrations. The paper highlights the importance of determining the level of efficiency and the factors that matter for improving the performance of revenue authorities and building fiscal capacity. Journal: Studies in Economics and Econometrics Pages: 301-315 Issue: 4 Volume: 46 Year: 2022 Month: 10 X-DOI: 10.1080/03796205.2022.2158123 File-URL: http://hdl.handle.net/10.1080/03796205.2022.2158123 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:46:y:2022:i:4:p:301-315 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2185807_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Santos Bila Author-X-Name-First: Santos Author-X-Name-Last: Bila Author-Name: Zitsile Khumalo Author-X-Name-First: Zitsile Author-X-Name-Last: Khumalo Author-Name: Phindile Nkosi Author-X-Name-First: Phindile Author-X-Name-Last: Nkosi Author-Name: Sodiq Arogundade Author-X-Name-First: Sodiq Author-X-Name-Last: Arogundade Title: Foreign aids and economic growth in Africa: Does third-country effect matter? Abstract: Different regions are linked through different factors such as climate, and border sharing. Apart from this, African countries have developed significant links as a result of globalisation, economic integration, and trade liberalisation. Since any country’s economic growth is influenced by the performance of its neighbours, these ties have resulted in spatial dependence among these countries. On this basis, the significance of spatial interactions between countries cannot be overemphasised. It is for this reason that the study investigated spatial dependence between African countries. The study employed non-spatial (FE, GMM) and spatial (SDM, SAM, and SEM) econometrics techniques and data ranging from 1996 to 2019 to examine the impact of ODA on Economic growth in Africa and its spill-over effects. Based on the graphs and the Moran I test, the findings reveal that (i) there is spatial dependence among African countries (ii) The GMM results indicate that the ODA impact was positive and statistically significant but smaller in magnitude compared to the magnitude of the spatial models’ coefficients. This suggests that not controlling for space heterogeneity will possibly underestimate the real impact of ODA on GDP. Secondly, the study found that the weighted GDP was positive and statistically significant, which indicates that an increase in the GDP of a certain country has a positive and statistically significant impact on their neighbour’s economic growth. Based on the findings of the study, it is suggested that countries should improve their relationships and partnerships if they want ODA to provide the desired benefits across Africa. Journal: Studies in Economics and Econometrics Pages: 23-42 Issue: 1 Volume: 47 Year: 2023 Month: 1 X-DOI: 10.1080/03796205.2023.2185807 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2185807 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:1:p:23-42 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2185667_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Fréjus-Ferry Houndoga Author-X-Name-First: Fréjus-Ferry Author-X-Name-Last: Houndoga Author-Name: Picone Gabriel Author-X-Name-First: Picone Author-X-Name-Last: Gabriel Title: Does commodity price volatility harm financial development? Evidence from developing commodity exporting countries* Abstract: This paper examines the effect of commodity price volatility on financial development in primary commodity-exporting countries. For this purpose, we collected data on 73 developing countries that are primary commodities exporters, from 2000 to 2018 and employed a two-step GMM methodology in dynamic panel data. Our results show evidence that commodity price booms promote financial development, and the volatility in commodity price negatively affects the path of financial development in developing countries. Our findings also suggest that markets are the main channel through which the volatility in commodity prices affects financial development. We then conclude that volatility in commodity prices is the main reason for the resource curse in the financial sector and not the resource abundance. Journal: Studies in Economics and Econometrics Pages: 1-22 Issue: 1 Volume: 47 Year: 2023 Month: 1 X-DOI: 10.1080/03796205.2023.2185667 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2185667 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:1:p:1-22 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2185665_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Wissem Daadaa Author-X-Name-First: Wissem Author-X-Name-Last: Daadaa Title: Female gender diversity on corporate board and bid ask spread Abstract: Female participation on corporate board is one of the most studied topics in corporate governance research. This paper analyzes the effect of female directors and gender diversity on bid ask spread. We calculate the score of female governance and we test three proxies of a bid-ask spread. Our results provide comprehensive and robust evidence for the association between female board participation and stock liquidity in Tunisian market. This study is based on a sample covering all financial firms in Tunisia (banks, insurances, and leasing) from 2008 to 2019 based on panel data approach. We conclude that female directors generate a positive effect on stock liquidity when they have a more active role on the board and when they are represented in relatively large numbers. Female CEO and institutional female directors enhance monitoring quality, develop control and improve supervising. Female directors are more effective at changing board processes, improving governance, and then affect significantly and negatively bid ask spread. Our research is the first to use the female governance index, it proves that female directors improve corporate governance, enhance stock liquidity. This result encourages firms to select competitive women to occupy strategic posts. Journal: Studies in Economics and Econometrics Pages: 61-74 Issue: 1 Volume: 47 Year: 2023 Month: 1 X-DOI: 10.1080/03796205.2023.2185665 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2185665 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:1:p:61-74 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2185666_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ajit Karnik Author-X-Name-First: Ajit Author-X-Name-Last: Karnik Author-Name: Mala Lalvani Author-X-Name-First: Mala Author-X-Name-Last: Lalvani Author-Name: Manali Phatak Author-X-Name-First: Manali Author-X-Name-Last: Phatak Title: Political incumbency effects in India: a regional analysis Abstract: The significance of a study of political incumbency and the factors influencing it stems from the fact that it directly affects the behaviour of the incumbent political party and its accountability to the electorate. We use data on Parliamentary Elections in India from 1980 to 2014 to tease out evidence of incumbency advantage. We employ Regression Discontinuity Design (RDD) to estimate the incumbency effect. Our results indicate the absence of any incumbency effect when considering all elections in India together. This finding is at odds with the research reported so far. To explain our contrary result, we drilled down deeper to obtain a more granular view of the incumbency effect in India. We do this across various regions of India. The results show that north Indian states generally show strong evidence of incumbency disadvantage while south Indian states show strong evidence of incumbency advantage. We also show that incumbency advantage has increased over time Journal: Studies in Economics and Econometrics Pages: 43-60 Issue: 1 Volume: 47 Year: 2023 Month: 1 X-DOI: 10.1080/03796205.2023.2185666 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2185666 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:1:p:43-60 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2185664_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jamiil Jeetoo Author-X-Name-First: Jamiil Author-X-Name-Last: Jeetoo Author-Name: Vishal Chandr Jaunky Author-X-Name-First: Vishal Chandr Author-X-Name-Last: Jaunky Title: Divergence of healthcare expenditure in sub-Saharan Africa Abstract: The study examines the convergence patterns of real healthcare expenditure per capita (RHEPC) for 43 countries of sub-Saharan African (SSA) from the period 2000 and 2017. Conventional absolute and conditional β-convergence models are first applied. Several factors such as income, democracy, urbanisation and ageing population are found to significantly affect relative RHEPC (RRHEPC) within the conditional β-convergence model. The speed of convergence of RRHEPC is higher for the conditional β-convergence model than the absolute β-convergence one. In general, β-convergence and σ-divergence are detected while no support for the stochastic convergence hypothesis is uncovered. These neoclassical models impose restrictive assumptions that countries follow the same growth path. As such the dynamic distribution approach proposed by Quah is applied to analyse the dynamics of RRHEPC. This is followed by the club convergence test as proposed by Phillips and Sul which allows individual countries to follow distinctive growth paths. Both convergence tests point towards the existence of three clubs. In sum, we find strong evidence of divergence of RHEPC among the 43 SSA countries. Policy implementations based on model results are discussed while several aspects of policy reforms in the healthcare sector within the African continent are highlighted. Journal: Studies in Economics and Econometrics Pages: 75-105 Issue: 1 Volume: 47 Year: 2023 Month: 1 X-DOI: 10.1080/03796205.2023.2185664 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2185664 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:1:p:75-105 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2198144_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Boubekeur Baba Author-X-Name-First: Boubekeur Author-X-Name-Last: Baba Title: The time-varying impact of foreign capital flows on house prices: evidence from South Africa Abstract: This study employs a time-varying parameter VAR with stochastic volatility (TVP-VAR) to investigate the time-varying impact of foreign capital flows on house prices in South Africa. The study also analyses the behaviour of the house price index using recursive unit root tests. The results of these tests show a statistically significant period of house price exuberance. The results of the TVP-VAR show a contemporaneous positive impact of foreign capital on house prices throughout the sample period, with the largest impact occurring during the period of house price exuberance. In addition, the international capital flows are found to aggravate the imbalances between demand and supply sides, thus enforcing the future house prices to comove with the housing supply. Journal: Studies in Economics and Econometrics Pages: 107-126 Issue: 2 Volume: 47 Year: 2023 Month: 4 X-DOI: 10.1080/03796205.2023.2198144 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2198144 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:2:p:107-126 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2218053_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Shahid Hussain Author-X-Name-First: Shahid Author-X-Name-Last: Hussain Author-Name: Abdul Rasheed Author-X-Name-First: Abdul Author-X-Name-Last: Rasheed Title: Risk tolerance as mediating factor in individual financial investment decisions: a developing-country study Abstract: The key objective of this research paper is to estimate the impact of financial literacy, investor’s personality and overconfidence bias on investment decisions by using risk tolerance as a mediator variable. Inclusive finance makes numerous financial products and services accessible and affordable to the micro-finance community, remarkably those absent from the conventional financial system. Financial literacy is a leading factor affecting an individual’s ability to access financial services. This study employed Structural Equation Modelling to investigate whether financial literacy and other personality traits affect investment decisions. The Regression results showed that financial literacy, investors’ personality, and overconfidence bias are significantly relevant to risk tolerance and investment decisions (β = 0.128***, S.D = 0.047, t = 2.746; p < 1%; β 0.378***, S.D = 0.051, t = 7.414, p < 1%; β 0.269***, S.D = 0.052, t = 5.155, p < 1%; β 0.195***, S.D = 0.054, t = 3.619, p < 1%; β 0.371***, S.D = 0.055, t = 6.706, p < 1%; β0.195***, S.D = 0.061, t = 3.190, p < 1%). As mediation results showed, risk tolerance plays a significant role in financial literacy, investors’ personality, overconfidence bias, and investment decisions (β = 0.024**, S.D = 0.011, t = 2.15, p < 5%; β = 0.024**, S.D = 0.011, t = 2.17, p < 5%; β = 0.047**, S.D = 0.018, t = 2.55, p < 5%). The implications of this study also provide valued recommendations for regulatory institutions to improve financial inclusion in the emerging market context. Journal: Studies in Economics and Econometrics Pages: 185-198 Issue: 2 Volume: 47 Year: 2023 Month: 4 X-DOI: 10.1080/03796205.2023.2218053 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2218053 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:2:p:185-198 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2216878_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Izunna Chima Anyikwa Author-X-Name-First: Izunna Chima Author-X-Name-Last: Anyikwa Author-Name: Andrew Phiri Author-X-Name-First: Andrew Author-X-Name-Last: Phiri Title: Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia–Ukraine war Abstract: We contribute to the growing literature examining spill-over effects between international equity markets in the “new normal” disposition and extend upon previous studies to include more recent periods covering the Russia–Ukraine war. Using the Diebold and Yilmaz network method, we estimate the returns and volatility connectedness between developed, emerging and African markets over the period 11 March 2020 to 30 June 2022. Our findings can be summarised in three points. Firstly, the static connectedness analysis informs us that emerging and African (developed) markets are the main net receivers (transmitters) of systemic shocks over the sample period. Secondly, the time-varying connectedness analysis further informs us that network connectedness is higher during the Russia–Ukraine war compared to the announcement of Covid-19 variants. Thirdly, the time-varying market specific analysis distinguishes which individual equities are most or least vulnerable to systemic shocks during the Covid-19 pandemic and Russia–Ukraine war. These findings are relevant for investors in their search for better hedging opportunities in equity markets. Moreover, market regulators should take heed of our findings as the observed build-up of systemic risk following the Russia–Ukraine conflict is an indicative of contagion effects experienced. Journal: Studies in Economics and Econometrics Pages: 144-168 Issue: 2 Volume: 47 Year: 2023 Month: 4 X-DOI: 10.1080/03796205.2023.2216878 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2216878 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:2:p:144-168 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2201473_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chung Yan Sam Author-X-Name-First: Chung Yan Author-X-Name-Last: Sam Author-Name: Robert McNown Author-X-Name-First: Robert Author-X-Name-Last: McNown Author-Name: Soo Khoon Goh Author-X-Name-First: Soo Khoon Author-X-Name-Last: Goh Author-Name: Kim-Leng Goh Author-X-Name-First: Kim-Leng Author-X-Name-Last: Goh Title: Methodological problems in studies on the Taylor rule Abstract: This paper raises concerns about the methodological approaches commonly adopted in typical Taylor rule studies. We find that many empirical studies on the Taylor rule do not follow the required econometric procedures. These studies ignore the presence of unit roots, cointegration, and serial correlation in their tests and estimation. The Taylor rule equation is typically estimated in levels. We show that the Taylor rule can be an unbalanced regression that involves a mixture of I(0) and I(1) variables. Spurious regressions may occur if the variables are not cointegrated and the Taylor rule equation is estimated using variables in levels. In addition, empirical models of the Taylor rule commonly include lags of the dependent variable, and equation residuals are serially correlated. The presence of lagged dependent variables and serially correlated residuals will cause biased and inconsistent least squares estimators. To illustrate our arguments, we re-examine two recent papers to point out the econometric problems that are general in typical Taylor rule studies. We show that an inadequate analysis of the time series properties of the individual series and diagnostic checks of the estimated equations can often lead to invalid conclusions about the empirical validity of the Taylor rule. We demonstrate how autoregressive distributed lag methods can overcome these issues and how the equation can be estimated efficiently. Journal: Studies in Economics and Econometrics Pages: 127-143 Issue: 2 Volume: 47 Year: 2023 Month: 4 X-DOI: 10.1080/03796205.2023.2201473 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2201473 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:2:p:127-143 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2218056_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Halfdan Lynge Author-X-Name-First: Halfdan Author-X-Name-Last: Lynge Title: Does corruption affect firm growth? New evidence from Mozambique Abstract: This paper estimates the effect of corruption on firm growth; specifically, in the context of Mozambique. Using instrumental variable estimation to address potential problems of endogeneity and measurement error, the paper finds that corruption has a robust negative effect on sales and productivity growth. The effect is not constant but declines as firm performance drops and corruption increases. This means corruption is most damaging to high-performance firms, meaning firms with higher sales and productivity growth rates, and to firms with lower bribe rates. For low-performance firms and firms with higher bribe rates, the effect gradually approaches zero. The paper contributes to the literatures in two ways. First, it offers a more nuanced understanding of the relationship between corruption and firm growth by showing that the effect of corruption is conditional on firm-specific factors. Second, the paper extends the empirical research on corruption and firm growth to Southern Africa, which has previously been excluded from the literature. Journal: Studies in Economics and Econometrics Pages: 169-184 Issue: 2 Volume: 47 Year: 2023 Month: 4 X-DOI: 10.1080/03796205.2023.2218056 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2218056 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:2:p:169-184 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2218054_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Manuchehr Irandoust Author-X-Name-First: Manuchehr Author-X-Name-Last: Irandoust Title: The nexus between female unemployment and labor supply: evidence from Arab countries Abstract: With an emphasis on groups like women who have an elastic labour supply, this study examines the link between unemployment and labour market participation in Arab countries from 1991 to 2021. The bootstrap panel Granger causality method is used to determine the causal direction, considering cross-sectional dependency, slope heterogeneity, and structural breaks. The results provide mixed evidence for the invariance, discouraged worker, and additional worker hypotheses, which qualify earlier findings. Of the 17 countries, only 4 are in favour of the unemployment invariance theory. Policies that raise the growth path of capital, productivity, and increase the effective working-age population may influence the unemployment rate. Journal: Studies in Economics and Econometrics Pages: 262-279 Issue: 3 Volume: 47 Year: 2023 Month: 7 X-DOI: 10.1080/03796205.2023.2218054 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2218054 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:262-279 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2216879_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Aeggarchat Sirisankanan Author-X-Name-First: Aeggarchat Author-X-Name-Last: Sirisankanan Title: The causal effect of family income on child investment in Thailand: an instrumental variable approach using natural “natural experiments” Abstract: The observed association between household income and children’s education cannot be interpreted as causal in the existence of potential income endogeneity. The non-natural factors often infringe on the orthogonality condition, even if they satisfy the relevance condition. Utilising a farm household survey, saline soil, and rainfall data from Thailand, this paper exploits natural experiments using actual natural factors as an instrumental variable to find valid instruments and check the robustness of the results using many estimators. The results show that, among the nine instrumental variables, rainfall amount and rainfall deviation are valid instruments for establishing the causal effect of income on a child’s education. Journal: Studies in Economics and Econometrics Pages: 223-243 Issue: 3 Volume: 47 Year: 2023 Month: 7 X-DOI: 10.1080/03796205.2023.2216879 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2216879 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:223-243 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2201892_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lewis-Landry Gakpa Author-X-Name-First: Lewis-Landry Author-X-Name-Last: Gakpa Author-Name: Hugues Kouassi Kouadio Author-X-Name-First: Hugues Kouassi Author-X-Name-Last: Kouadio Title: Effect of demographic transition on economic growth: does economic freedom matter? Evidence from ECOWAS countries Abstract: According to the economic literature, for a country to benefit from the demographic dividend, it must first undergo a demographic transition, which describes the shift of a population from a stage of high fertility and mortality to one of low fertility and mortality. This transition, which results in a temporary increase in the share of the working age population, opens up a huge window of opportunity if the sound policies are implemented. Indeed, the literature indicates that local conditions can limit the expected effects of the change in age structure on economic growth. In this study, we focus on the role of economic freedom institutions in ECOWAS region by analysing the consequences of the interaction between economic freedom indicators and the growth rate in the share of the working age population on economic growth over the period 1996–2018. To do so, the study uses a robust technique, namely the Augmented Mean Group (AMG) method, which takes into account both the dependence and the heterogeneity of the individuals in the panel. The estimation shows that an increase in the share of the working age population only has a positive effect on economic growth when countries have better economic freedom institutions. This contribution is made in particular through improvements in indicators of investment freedom, financial freedom and government integrity. These results call on policy makers in the region to improve these dimensions in particular to enable their economies to benefit from the demographic transition dividend. Journal: Studies in Economics and Econometrics Pages: 199-222 Issue: 3 Volume: 47 Year: 2023 Month: 7 X-DOI: 10.1080/03796205.2023.2201892 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2201892 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:199-222 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2218055_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yew Seng Law Author-X-Name-First: Yew Seng Author-X-Name-Last: Law Author-Name: Chung-Khain Wye Author-X-Name-First: Chung-Khain Author-X-Name-Last: Wye Title: The effects of fertility on female labour force participation in OECD countries: the role of education and health Abstract: The OECD countries have been experiencing fall in fertility and rise in female labour force participation. Based on panel regression analysis with interaction and mediation effect, this paper found that the negative impact of fertility on female labour force participation can be mitigated by the investment in education and health, with such investment having only a direct effect on female labour force participation without first influencing fertility. Female secondary school enrolment promotes female labour supply regardless of the level of education development. Therefore, policies on human capital investment and childrearing encouragement can be simultaneously implemented to promote female labour supply. Journal: Studies in Economics and Econometrics Pages: 280-302 Issue: 3 Volume: 47 Year: 2023 Month: 7 X-DOI: 10.1080/03796205.2023.2218055 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2218055 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:280-302 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2208742_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Emre Kilic Author-X-Name-First: Emre Author-X-Name-Last: Kilic Author-Name: Ersin Yavuz Author-X-Name-First: Ersin Author-X-Name-Last: Yavuz Author-Name: Eren Ergen Author-X-Name-First: Eren Author-X-Name-Last: Ergen Author-Name: Sevinc Yarasir Tulumce Author-X-Name-First: Sevinc Author-X-Name-Last: Yarasir Tulumce Title: Asymmetric persistence and the unemployment hysteresis question in emerging markets: evidence from advanced quantile unit-root tests Abstract: Solving the unemployment hysteresis puzzle is vital to government policies, since the structural or cyclical nature of the problem constitutes the direction of the policies to be implemented. This study aims to provide new findings by examining the unemployment hysteresis puzzle for emerging markets from an asymmetric perspective. This study conducts a comprehensive analysis using both conventional and quantile unit root tests. We focus on the Fourier non-linear quantile unit root test, which considers heavy-tailed (non-normal) distributions, structural shifts, non-linearity, and asymmetric adjustment simultaneously. The results indicate that in the Dickey and Fuller test and its extensions, while the null hypothesis of the unit root is rejected in 33% of emerging markets, this rate increases to 55% in quantile Kolmogorov-Smirnov tests and dramatically to 72% in Fourier non-linear quantile unit root test. These findings provide fresh evidence for solving the unemployment hysteresis puzzle in emerging markets. Journal: Studies in Economics and Econometrics Pages: 244-261 Issue: 3 Volume: 47 Year: 2023 Month: 7 X-DOI: 10.1080/03796205.2023.2208742 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2208742 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:244-261 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2256480_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Maryam Heidarian Author-X-Name-First: Maryam Author-X-Name-Last: Heidarian Author-Name: Mohammad Sharif Karimi Author-X-Name-First: Mohammad Sharif Author-X-Name-Last: Karimi Author-Name: Ali Falahati Author-X-Name-First: Ali Author-X-Name-Last: Falahati Author-Name: Babak Naysary Author-X-Name-First: Babak Author-X-Name-Last: Naysary Title: Threshold effects of regional fiscal stress index on employment Abstract: Economic shocks and structural budget imbalances, when combined with ongoing uncertainty, can lead to fiscal stress in governments. This fiscal stress, along with the resulting volatility in the financing of local governments, can worsen their ability to meet short-term and long-term financial commitments and increase their reliance on the central government. Consequently, the effects of this stress, whether positive or negative, are closely tied to the actions and responses of both central and local governments. This highlights the crucial need for policymakers in central and local governments to respond accurately and promptly, through constant monitoring and assessment of fiscal stress indices. This study aims to illustrate the fiscal situation in the 31 provinces of Iran by calculating the local fiscal stress index based on fiscal and budgetary variables specific to each province. Furthermore, it seeks to estimate the threshold and spatial effects of this index on employment during the period of 2005–2017 using the panel smooth transition regression method. The findings reveal that initially, financial stress has an immediate and positive impact on employment. However, once the threshold of financial stress is crossed, and the subsequent pressures accumulate, the ability to control this imbalance diminishes, resulting in a decline in employment. Additionally, the ability or inability of local governments to manage income and expenses not only affects the economic indicators of the region but also spills over to neighbouring regions, leading to capital outflow and workforce migration, which are two major contributing factors to economic growth. Journal: Studies in Economics and Econometrics Pages: 338-358 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2256480 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2256480 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:338-358 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2252184_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: J. Rudolph Author-X-Name-First: J. Author-X-Name-Last: Rudolph Author-Name: D. J. Bradfield Author-X-Name-First: D. J. Author-X-Name-Last: Bradfield Title: Benchmarking an allocation to the foreign Sub-portfolio from a South African perspective Abstract: This paper responds to the recent (2022) change to Regulation 28 of the South African Pension Funds Act which now permits an increased allocation (raised from 30% to 45%) in foreign investments. Our primary aim is to establish a strategic (long-term) benchmark weight for the allocation to foreign assets. Our secondary aim is to assist in building intuition on potential tactical (shorter-term) foreign allocation decisions. To ensure rigour in our study, we use a novel dataset dating back to the 1930s and we utilise methodologies in recent academic literature in the mean-variance framework. Our optimisation evidence supports a strategic foreign benchmark allocation of 39% (with 61% allocated to local asset classes). We highlight that this strategic foreign benchmark of 39% (probably for the first time) enables managers to potentially take on meaningful tactical overweight foreign positions. We establish that this strategic foreign benchmark would have reduced the risk (standard deviation of returns) of the local-only optimal portfolio significantly from 10% p.a. down to 8.7% p.a. over the 92 year period analysed, whilst increasing the return by an additional 1.1% p.a. over the local-only portfolio. Lastly, we provide guidance on tactical foreign allocation decisions based on four potential local economic regimes. Journal: Studies in Economics and Econometrics Pages: 408-423 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2252184 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2252184 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:408-423 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2254500_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Clive Egbert Coetzee Author-X-Name-First: Clive Egbert Author-X-Name-Last: Coetzee Author-Name: Ewert P. J. Kleynhans Author-X-Name-First: Ewert P. J. Author-X-Name-Last: Kleynhans Title: Assessment of the impact of government response measures on the spread of COVID-19: panel data evidence for 50 countries Abstract: This article investigates the impact of Government’s response measures to new COVID-19 cases. This is proxied by a stringency index of 50 countries from April 2020 to March 2022. Our World in Data COVID-19 dataset was utilised employing several panel econometrics methods. This article fills a gap in empirical research by employing a range of econometric methods over an extended period and countries. The article provides the basis for the formulation and implementation of government response measures or policies to other major public health events that may occur in the future. The research found a positive association between Government’s response measures and new cases initially and in the long term and a significant short-term error correction component. This indicates an incremental and repeatable implementation approach, proposing a cyclical or lagged relationship where response measures reach a level of stringency after some time, then induce a decline in new cases. The timing, speed, and stringency of implementation of the government policy response measures are crucial in our understanding of the relationship or link between the government policy response measures and new COVID-19 cases. Journal: Studies in Economics and Econometrics Pages: 359-373 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2254500 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2254500 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:359-373 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2252185_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Anton van Wyk Author-X-Name-First: Anton Author-X-Name-Last: van Wyk Author-Name: Anmar Pretorius Author-X-Name-First: Anmar Author-X-Name-Last: Pretorius Author-Name: Derick Blaauw Author-X-Name-First: Derick Author-X-Name-Last: Blaauw Title: Evaluating public interest considerations in South African merger enforcement: an overview of the last decade Abstract: In literature, most studies on mergers focus purely on competition-related aspects; additional conditions that can apply are labelled non-competition goals or public interest considerations (PICs). The imposition of these conditions is garnering more attention from the competition authorities as a means to assist the struggling economy in South Africa. This paper reports the impact that various independent variables can have on the probability of certain public interest considerations being imposed on merger cases in South Africa with the use of a quantitative logit regression model. The study sample consists of 221 mergers between 2010 and 2019, and only includes cases with PICs as conditions to merge, based on all small, intermediate, and large mergers collected from Competition Commission and Tribunal newsletters, case files and company websites, as well as the Institute for Mergers, Acquisitions and Alliances. This research makes use of descriptive statistics and regression analysis from this unique database to analyse the data. The results indicate that for South Africa, the competition authorities focus on employment, supplier development fund programmes and Black economic empowerment conditions when considering which PIC to enforce on merger cases. The article contributes to the literature on competition policy and economics by adding to the minimal research already conducted and enhances our understanding of mergers with non-competition goals and the impact of these considerations in the South African merger framework. Journal: Studies in Economics and Econometrics Pages: 374-391 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2252185 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2252185 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:374-391 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2264518_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Aijaz Ahmad Bhat Author-X-Name-First: Aijaz Ahmad Author-X-Name-Last: Bhat Author-Name: Javaid Iqbal Khan Author-X-Name-First: Javaid Iqbal Author-X-Name-Last: Khan Author-Name: Sajad Ahmad Bhat Author-X-Name-First: Sajad Ahmad Author-X-Name-Last: Bhat Author-Name: Javed Ahmad Bhat Author-X-Name-First: Javed Ahmad Author-X-Name-Last: Bhat Title: Central Bank Independence and Inflation in India: The Role of Financial Development Abstract: Using a legal or de jure measure of central bank independence, the present study attempts to examine the impact of central bank independence (CBI) on the inflation in case of Indian economy over the period, 1991–1992 to 2018–2019. To ascertain the possible dependence of association on the institutional quality proxied by level of financial development, we incorporated a non-linear logistic smooth transition framework with ratio of private credit to GDP as an appropriate transition variable. We found a statistically significant regime dependency with respect to the impact of CBI on inflation. In both the short-run and long run, increase in value of CBI is found to increase inflation when the level of financial development is below threshold value, however, beyond this threshold, any increase in CBI would decrease it. The impact of other control variables like GDP growth, oil price inflation & lagged inflation is found to be positive and statistically significant. However, currency appreciation is found to lower inflation. Our findings signify an appreciable role for the degree of financial development in the transmission of central bank’s monetary policy stances to maintain low inflation. Journal: Studies in Economics and Econometrics Pages: 392-407 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2264518 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2264518 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:392-407 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2250566_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Guivis Zeufack Nkemgha Author-X-Name-First: Guivis Author-X-Name-Last: Zeufack Nkemgha Author-Name: Kone Ibouanga Author-X-Name-First: Kone Author-X-Name-Last: Ibouanga Author-Name: Kouladoum Jean-Claude Author-X-Name-First: Kouladoum Author-X-Name-Last: Jean-Claude Title: International trade impediments in Africa: is terrorism also in the dock? Abstract: Despite the abundant literature on the consequences of terrorism, little is known about the relationship between terrorism and international trade, particularly in Sub-Saharan Africa (SSA). The purpose of this article is to fill this literature gap by assessing how terrorism affects international trade using a panel data of 24 countries over the period 2000–2020. This article applies different techniques such as ordinary least squares, fixed effects, Quantile Regression and the System Generalised Method of Moments. The results show that terrorism is an important determinant of international trade in SSA. Across a number of specifications, the results reveal that terrorism is also guilty of trade delay. Furthermore, the results show that governance is a potential channel through which terrorism transits to exert its harmful effect on international trade in SSA countries. Journal: Studies in Economics and Econometrics Pages: 321-337 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2250566 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2250566 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:321-337 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2220079_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Joshua Adeyemi Afolabi Author-X-Name-First: Joshua Adeyemi Author-X-Name-Last: Afolabi Title: Place a bar on government size to bar growth reversal: fresh evidence from BARS curve hypothesis in Sub-Saharan Africa Abstract: The theoretical and empirical links between optimum government size and economic growth have been widely debated in the economic literature, with the Barro-Armey-Rahn-Scully (BARS) curve positing a nonlinear nexus between the two variables. However, empirical evidence on the nonlinearity of the government size-economic growth nexus and the growth-maximizing government size, with specific focus on Sub-Saharan Africa, is scarce. This paper, therefore, tests the validity of the BARS curve and investigates the optimum government size needed to avert growth reversal across Sub-Saharan African income groups. The panel quantile regression model was adopted to estimate relevant data covering 2000–2020 obtained from reputable international databases. The results showed mixed findings but validated the postulation of the BARS curve in low-income and lower-middle income countries. The results are sensitive to the choice of government size indicator and vary across quantiles and income groups. In sum, the results showed that government size must be barred to a certain threshold to avert growth reversal. Therefore, fiscal policy instruments should be used circumspectly to ensure sustainable economic growth across Sub-Saharan African countries, irrespective of their income group. Journal: Studies in Economics and Econometrics Pages: 303-320 Issue: 4 Volume: 47 Year: 2023 Month: 10 X-DOI: 10.1080/03796205.2023.2220079 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2220079 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:47:y:2023:i:4:p:303-320 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2273489_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Dawid van Lill Author-X-Name-First: Dawid Author-X-Name-Last: van Lill Title: Changes in monetary policy implementation over time Abstract: In this study, we utilise a time-varying parameter vector autoregressive model to investigate the relationship between central bank liabilities and the overnight policy rate across three countries with distinct monetary policy frameworks. Our findings reveal that a consistent negative correlation between these variables is present only in the case of the conventional reserve regime. For the other regimes, an initial significant negative relationship between reserves and interest rates is observed, but this effect diminishes with the adoption of new frameworks. These results suggest that the emergence of novel operational structures for central banks has disrupted the traditional approach to monetary policy implementation. One practical consequence of this” decoupling” between interest rates and reserves is that central banks in the United States, Canada, and similar systems can effectively employ their balance sheets in conjunction with standard interest rate policies. However, this does not apply to reserve regimes that continue to depend on open market operations for steering interest rates Journal: Studies in Economics and Econometrics Pages: 62-86 Issue: 1 Volume: 48 Year: 2024 Month: 1 X-DOI: 10.1080/03796205.2023.2273489 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2273489 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:48:y:2024:i:1:p:62-86 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2268296_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hayelom Yrgaw Gereziher Author-X-Name-First: Hayelom Yrgaw Author-X-Name-Last: Gereziher Author-Name: Naser Yenus Nuru Author-X-Name-First: Naser Yenus Author-X-Name-Last: Nuru Title: Structural estimates of the South African sacrifice ratio Abstract: This paper estimates the output cost of fighting inflation—the sacrifice ratio—for the South African economy using quarterly data spanning the period 1998:1–2019:3. To compute the sacrifice ratio, the structural vector autoregressive (SVAR) model developed by Cecchetti and Rich (2001) based on Cecchetti (1994) is employed. Our findings show us a small sacrifice ratio, which lies within the range 0.00002–0.231 percent with an average of 0.031 percent, indicating a low level of output to be sacrificed while fighting inflation. Hence, the reserve bank is recommended to sustain an inflation rate within the target range and reap the benefits of a predictable and stable price path, as restrictive monetary policy has only a transitory effect on real variables like output. Journal: Studies in Economics and Econometrics Pages: 42-61 Issue: 1 Volume: 48 Year: 2024 Month: 1 X-DOI: 10.1080/03796205.2023.2268296 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2268296 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:48:y:2024:i:1:p:42-61 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2321628_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Hylton Hollander Author-X-Name-First: Hylton Author-X-Name-Last: Hollander Title: Debt-financed fiscal stimulus in South Africa Abstract: Levels of government debt-to-GDP have been rising substantially for over a decade in emerging market economies such as South Africa, which has led to much debate around the implementation of large-scale debt-financed fiscal stimulus programs in response to the economic fallout of the global covid-19 pandemic. Debt-financed fiscal policies directly stimulate aggregate demand through government expenditure or tax cuts, but their effectiveness is highly dependent on direct crowding-out of private sector expenditure, spill-over effects to the private sector through a higher risk premium on interest rates, and the interaction between fiscal policy and monetary policy. Using an open-economy dynamic stochastic general equilibrium model for South Africa, we identify the effect of six different fiscal policy instruments on short-term and long-term interest rates. These disaggregated expenditure and revenue shocks raise long-term real yields between 18 and 29 basis points, but there are non-negligible differences in the dynamic responses to each fiscal instrument. Our main findings suggest that, in the context of fiscal sustainability, an investment-driven debt-financed fiscal stimulus programme would reduce the government debt-to-GDP ratio, especially in periods of economic slack when monetary policy would typically be more accommodative. In fact, since the global financial crisis, monetary policy has reduced the burden of fiscal adjustment in response to rising debt and a rising risk premium. But further shocks to the risk premium could offset any gains from the current stance of monetary policy (for example, a credit rating shock raises the long-term government bond rate 155 basis points). Journal: Studies in Economics and Econometrics Pages: 87-112 Issue: 1 Volume: 48 Year: 2024 Month: 1 X-DOI: 10.1080/03796205.2024.2321628 File-URL: http://hdl.handle.net/10.1080/03796205.2024.2321628 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:48:y:2024:i:1:p:87-112 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2266576_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: Shahla Akram Author-X-Name-First: Shahla Author-X-Name-Last: Akram Author-Name: Zahid Pervaiz Author-X-Name-First: Zahid Author-X-Name-Last: Pervaiz Title: Estimation of inequality of opportunities across countries: a multidimensional approach Abstract: The study is an attempt to estimate inequality of opportunities across the countries of the world. We have developed six indices of inequality of opportunities. Each index measures the degree of inequality of opportunities in a particular dimension. Our results show that nature, extent and sources of income inequality are different in different countries of the world. In order to cope with the issue of inequality of opportunities, every country needs to adopt suitable policies depending upon its own context. Journal: Studies in Economics and Econometrics Pages: 18-41 Issue: 1 Volume: 48 Year: 2024 Month: 1 X-DOI: 10.1080/03796205.2023.2266576 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2266576 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:48:y:2024:i:1:p:18-41 Template-Type: ReDIF-Article 1.0 # input file: RSEE_A_2254501_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a Author-Name: S. Msomi Author-X-Name-First: S. Author-X-Name-Last: Msomi Author-Name: H. Ngalawa Author-X-Name-First: H. Author-X-Name-Last: Ngalawa Title: Exchange rate expectations and exchange rate behaviour in the South African context Abstract: The literature maintains that exchange rate movements are largely dependent on expectations formed by economic agents. The study attempts to understand the impact of exchange rate expectations on the behaviour of the exchange rates. We use the Markov Switch Model to estimate the probability of the exchange rates transitioning from regime-to-regime. The study finds that the exchange rate movement is asymmetric to its expectations. Journal: Studies in Economics and Econometrics Pages: 1-17 Issue: 1 Volume: 48 Year: 2024 Month: 1 X-DOI: 10.1080/03796205.2023.2254501 File-URL: http://hdl.handle.net/10.1080/03796205.2023.2254501 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:rseexx:v:48:y:2024:i:1:p:1-17