scholarly journals An Optimal Generalized Autoregressive Conditional Heteroscedasticity Model for Forecasting the South African Inflation Volatility

2015 ◽  
Vol 7 (4(J)) ◽  
pp. 134-149 ◽  
Author(s):  
Ntebogang Dinah Moroke
Keyword(s):  
South African ◽  
Time Series Data ◽  
Series Data ◽  
The South ◽  
Volatility Clustering ◽  
Inflation Volatility ◽  
Financial Variables ◽  
Reserve Bank ◽  
Inflation Rates ◽  
Forecasting Inflation

Abstract: In most cases, financial variables are explained by leptokurtic distribution and often fail the assumption of normal distribution. This paper sought to explore the robustness of GARCH–type models in forecasting inflation volatility using quarterly time series data spanning 2002 to 2014. The data was sourced from the South African Reserve Bank database. SAS version 9.3 was used to generate the results. The initial analyses of data confirmed non-linearity, hereroscedasticity and non-stationarity in the series. Differencing was imposed in a log transformed series to induce stationarity. Further findings confirmed that 𝐴𝑅 (1)_𝐼𝐺𝐴𝑅𝐶𝐻 (1, 1)model suggested a high degree persistent in the conditional volatility of the series. However, the𝐴𝑅 (1)_𝐸𝐺𝐴𝑅𝐶𝐻 (2, 1)model was found to be more robust in forecasting volatility effects than the 𝐴𝑅 (1)_𝐼𝐺𝐴𝑅𝐶𝐻 (1, 1) and 𝐴𝑅 (1)_𝐺𝐽𝑅 − 𝐺𝐴𝑅𝐶𝐻 (2, 1)models. This model confirmed that inflation rates in South Africa exhibits the stylised characteristics such as volatility clustering, leptokurtosis and asymmetry effects. These findings may be very useful to the industry and scholars who wish to apply models that capture heteroscedastic and non-linear errors. The findings may also benefit policy makers and may be referred to when embarking on strategies in-line with inflation rate.

scholarly journals How applicable is export-led growth and import-led growth hypotheses to South African economy?

2015 ◽  
Vol 4 (2) ◽  
pp. 15-24
Author(s):  
Ntebogang Dinah Moroke ◽  
Molebogeng Manoto
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Adverse Effect ◽  
Time Series ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
Reserve Bank ◽  
Equilibrium Relationship

This paper investigated exports, imports and the economic growth nexus in the context of South Africa. The paper sets out to examine if long-run and causal relationships exist between these variables. Quarterly time series data ranging between 1998 and 2013 obtained from the South African Reserve Bank and Quantec databases was employed. Initial data analysis proved that the variables are integrated at their levels. The results further indicated that exports, imports and economic growth are co-integrated, confirming an existence of a long-run equilibrium relationship. Granger causal results were shown running from exports and imports to GDP and from imports to exports, validating export-led and import-led growth hypotheses in South Africa. A significant causality running from imports to exports, suggests that South Africa imported finished goods in excess. If this is not avoided, lots of problems could be caused. A suggestion was made to avoid such problematic issues as they may lead to replaced domestic output and displacement of employees. Another dreadful ramification may be an adverse effect on the economy which may further be experienced in the long-run.

scholarly journals Macroeconomic Immigration Determinants: an Analysis of ‘Pull’ Factors of International Migration to South Africa

2015 ◽  
Vol 1 (1) ◽  
Author(s):  
Mulugeta Dinbabo ◽  
◽  
Themba Nyasulu
Keyword(s):  
South Africa ◽  
South African ◽  
International Migration ◽  
Time Series Data ◽  
Least Square ◽  
Annual Reports ◽  
Series Data ◽  
The South ◽  
Skilled Worker ◽  
Pull Factors

This research empirically examines the macroeconomic determinants of ‘pull’ factors of international migration in South Africa. Using the neoclassical economic model of international migration, an Ordinary Least Square (OLS) regression was run on time-series data from the World Bank data base for the period 1990-2012. Relevant data from the South African Department of Home Affairs’ Annual Reports were also used. GDP per capita, inflation rate, real interest rate, employment rate and public health expenditure were found to be the key determinants which entice migrants away from their countries and direct them to “better off” destinations. The country’s public education system, on the other hand, is not a significant attraction for foreign migrants. The study concludes that the South African government urgently needs to implement not only skilled worker-attractive immigration policies but also appropriate fiscal and monetary restructuring policies aimed at growing the economy and creating employment opportunities.

scholarly journals AN IMPACT ASSESSMENT OF COVID-19 ON THE SOUTH AFRICAN AUTOMOTIVE INDUSTRY

2021 ◽  
Vol 9 (3) ◽  
pp. 208-216
Author(s):  
Ephrem Habtemichael Redda ◽  
◽  
Jhalukpreya Surujlal ◽  
Keyword(s):  
Impact Assessment ◽  
South African ◽  
Automotive Industry ◽  
Time Series Data ◽  
Series Data ◽  
Positive Trend ◽  
Annual Growth Rate ◽  
The South ◽  
Quantitative Analyses ◽  
The Government

The purpose of this article is to provide an impact assessment of Covid-19 on the South African automotive industry. The study is exploratory in nature and employs descriptive quantitative analyses. Monthly time series data (01/2000-01/2021) available from Statistics South Africa (StatsSA) were used for analysis and to achieve the objectives of the study. The results indicate that since the beginning of March 2020, all categories started to show significant contraction, and the worst negative growth was observed in April at the height of the Covid-19 pandemic regulations imposed by the government. Measured in nominal values at current prices and compared on a year-on-year (YOY) basis, the largest negative annual growth rate (contraction) was in used vehicle sales, followed by new vehicle sales, income from sales of accessories, workshop income, fuel sales, and convenient store sales. The overall YOY actual motor trade sales contracted by a massive 84%, and when seasonally adjusted, by 81%. Led by used vehicle sales, the automotive industry was able to recover rather quickly as the restrictions imposed by the government were eased from May 2020 onwards. However, the overall performance of the industry is still in a worse state when compared to the preceding year, 2019. Looking forward, the gradual increase in overall motor trade sales suggests a positive trend of growth.

scholarly journals The relationship between βeta and stock returns in the JSE securities exchange in South Africa

2011 ◽  
Vol 9 (1) ◽  
pp. 558-566
Author(s):  
Raphael Tabani Mpofu
Keyword(s):  
South Africa ◽  
Time Series ◽  
Regression Analysis ◽  
Financial Markets ◽  
Stock Returns ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
The South ◽  
The Relationship

The purpose of this study was is to examine the relationship between stock βeta and returns in the JSE Securities Exchange. If the model is applicable in its entirety or can explain the beta-stock returns relationship, it raises an important academic question, mainly, how should the South African financial market be viewed by investors and portfolio managers, given the political-social-economical classifications that South Africa finds itself in, sometimes referred to as developing, emerging or underdeveloped? The time-series data used was from Sharenet as well as from the South African Reserve Bank macro-economic time series data. The sample period consisted of 10 years of monthly time series data between January 2001 and December 2010. Regression analysis was applied using the conditional approach. When using the conditional capital asset pricing model (CAPM) and cross-sectional regression analysis, the findings strongly supported the significant relationship between stock excess returns and βeta. However, the results do not provide strong evidence of a CAPM relation between risks and realized return trade-off in the South African financial markets. These results demonstrate that the South African financial markets are complex and financial tools, such as the CAPM can be used to explain complex financial phenomenon as in other developed markets, although complete reliance on the CAPM should be relied upon.

Is the monetary policy behaviour of the South African Reserve Bank nonlinear

2021 ◽  
Vol 24 (2) ◽  
pp. 193
Author(s):  
Imhotep Paul Alagidede ◽  
Abdul Aziz Iddrisu
Keyword(s):  
Monetary Policy ◽  
South African ◽  
The South ◽  
Reserve Bank

scholarly journals The Contribution of Foreign Direct Investment (FDI) To Domestic Employment Levels in South Africa: A Vector Autoregressive Approach

2019 ◽  
Vol 11 (1(J)) ◽  
pp. 110-121
Author(s):  
Bongumusa Prince Makhoba, ◽  
Irrshad Kaseeram
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Least Squares ◽  
South African ◽  
Empirical Analysis ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Series Data ◽  
The South ◽  
Vector Autoregressive

Several empirical works have yielded mixed and controversial results with regard to the effects of FDI on employment and economic growth. The primary focus of this study is to investigate the contribution of FDI to domestic employment levels in the context of the South African economy. The analyses of the study were carried out using the annual time series data from 1980 to 2015. The macroeconomic variables employed in the empirical investigation include employment, FDI, GDP, inflation, trade openness and unit labour costs. The study used secondary data from the South African Reserve Bank and Statistics South Africa database. The study estimated a Vector Autoregressive/ Vector Error Correction Mechanism (VAR/VECM) approach to conduct empirical analysis. However, the study also employed single equation estimation techniques, including the Ordinary Least Squares (OLS), Fully Modified Ordinary Least Squares (FMOLS), Dynamic Ordinary Least Squares (DOLS) and Canonical Cointegrating Regression (CCR) models as supporting tools to verify the VAR/VECM results. This study provides strong evidence of a significant negative relationship between FDI and employment levels in the South African economy. Empirical analysis of the study suggests that the effect of economic growth on employment is highly positive and significant in South Africa’s economy. The study recommends that policymakers ought to invest more in productive sectors that aim to promote economic growth and development to boost employment opportunities in South Africa.

scholarly journals Capital structure and profitability: An empirical study of South African banks

2016 ◽  
Vol 14 (1) ◽  
pp. 8-19 ◽  
Author(s):  
Kudzai Raymond Marandu ◽  
Athenia Bongani Sibindi
Keyword(s):  
Capital Structure ◽  
Credit Risk ◽  
South African ◽  
Time Series Data ◽  
Emerging Market ◽  
Strong Relationship ◽  
Capital Adequacy ◽  
Series Data ◽  
Bank Capital ◽  
The Relationship

The bank capital structure debacle in the aftermath of the 2007-2009 financial crises continues to preoccupy the minds of regulators and scholars alike. In this paper we investigate the relationship between capital structure and profitability within the context of an emerging market of South Africa. We conduct multiple linear regressions on time series data of big South African banks for the period 2002 to 2013. We establish a strong relationship between the ROA (profitability measure) and the bank specific determinants of capital structure, namely capital adequacy, size, deposits and credit risk. The relationship exhibits sensitivity to macro-economic shocks (such as recessions), in the case of credit risk and capital but is persistent for the other determinants of capital structure.

An Analysis of the Dynamic Relationships between Inflation Volatility, Exchange Rate and Output Gap Volatility in Turkey

2021 ◽  
Vol 11 (4) ◽  
pp. 4772-4787
Author(s):  
Sevilay Küçüksakarya ◽  
Mustafa Özer
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Bounds Testing ◽  
Inflation Volatility ◽  
Long Run ◽  
Study Results ◽  
Causality Tests ◽  
The Exchange Rate

This study investigates the short and long-run relationships between Inflation volatility, exchange rate, and output gap volatility using the ARDL bounds testing approach in Turkey. Also, we repeat the estimates by using the output gap as well. Moreover, we examine the causal relationship among these variables by using Toda-Yamamoto and frequency domain causality tests. For this purpose, the study uses quarterly time series data between 2005 Q1 and 2020 Q4. Both short and long-run results of the ARDL estimates indicate that there are statistically significant relationships between exchange rate and inflation volatility, between output gap volatility and inflation volatility, and between the output gap and inflation volatility. As expected long-run effect of the exchange rate on inflation, volatility is negative, and the effects of both output volatility and output gap on inflation volatility are positive. Also, causality tests results indicate that changes in the exchange rate, output gap volatility, and output gap will have permanent and temporary causal effects on inflation volatility. Therefore, the study results provide new evidence about the exchange rate, output gap volatility, and output gap. The policymakers should carefully consider these results to implement appropriate policies to reduce inflation volatility.

Factors Determining Gold Prices in Malaysia

2019 ◽  
Vol 1 (2) ◽  
pp. 75-82
Author(s):  
Anis Mat Dalam ◽  
Noorhaslinda Kulub Abd Rashid ◽  
Jaharudin Padli
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Oil Prices ◽  
Series Data ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Crude Oil Prices ◽  
Inflation Rates ◽  
Ardl Approach ◽  
Gold Reserve

Gold is a valuable asset to a country because of its liquidity. Gold reserve can stabilize the currency in a country. The objective of this paper is to identify the factors contributing to the volatility of gold prices, such as Real Malaysia GDP, inflation rates, crude oil prices and exchange rates. The data was analysed using Autoregressive Distributed Lag (ARDL) approach with time series data, with 30-year coverage from 1987 to 2016. Findings showed that only Real Malaysia GDP and crude oil prices were significantly related to gold prices. As a conclusion, this study can be used as reference by other investors. The author suggests to other researchers to further improve upon this study by adding more variables or diversifying the variables that relate to volatility of gold prices.

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