scholarly journals A stochastic investment model for actuarial use in South Africa

2021 ◽  
Vol 20 (1) ◽  
pp. 49-79
Author(s):  
Y.Ş. Şahin ◽  
S Levitan
Keyword(s):  
South Africa ◽  
Interest Rates ◽  
Investment Model ◽  
Insurance Companies ◽  
Short Term ◽  
Price Inflation ◽  
Share Prices ◽  
Inflation Rates ◽  
Investment Models

In this paper, we propose a stochastic investment model for actuarial use in South Africa by modelling price inflation rates, share dividends, long-term and short-term interest rates for the period 1960–2018 and inflation-linked bonds for the period 2000–2018. Possible bi-directional relations between the economic series have been considered, the parameters and their confidence intervals have been estimated recursively to examine their stability, and the model validation has been tested. The model is designed to provide long-term forecasts that should find application in long-term modelling for institutions such as pension funds and life insurance companies in South Africa Keywords: Stochastic investment models; price inflation; share dividend yields; share dividends; share prices; long-term interest rates; short-term interest rates; inflation-linked bonds; South Africa

More on a Stochastic Asset Model for Actuarial Use

1995 ◽  
Vol 1 (5) ◽  
pp. 777-964 ◽  
Author(s):  
A.D. Wilkie
Keyword(s):  
Interest Rates ◽  
Investment Model ◽  
Price Inflation ◽  
Arch Models ◽  
Share Prices ◽  
Currency Exchange ◽  
The United Kingdom ◽  
Currency Exchange Rates ◽  
Time Series Modelling

ABSTRACTIn this paper the ‘Wilkie investment model’ is discussed, updated and extended. The original model covered price inflation, share dividends, share dividend yields (and hence share prices) and long-term interest rates, and was based on data for the United Kingdom from 1919 to 1982, taken at annual intervals. The additional aspects now covered include: the extension of the data period to 1994 (with omission of the period from 1919 to 1923); the inclusion of models for a wages (earnings) index, short-term interest rates, property rentals and yields (and hence property prices) and yields on index-linked stock; consideration of data for observations more frequently than yearly, in particular monthly data; extension of the U.K. model to certain other countries; introduction of a model for currency exchange rates; extension of certain aspects of the model to a larger number of other countries; and consideration of more elaborate forms of time-series modelling, in particular cointegrated models and ARCH models.

Stochastic Investment Modelling: The Case of South Africa

1996 ◽  
Vol 2 (3) ◽  
pp. 765-801 ◽  
Author(s):  
R.J. Thomson
Keyword(s):  
South Africa ◽  
Time Series ◽  
Interest Rates ◽  
South African ◽  
Growth Rates ◽  
Time Series Models ◽  
Short Term ◽  
Model Based ◽  
Inflation Rates

ABSTRACTThe purpose of this paper is to describe a methodology for determining an appropriate structure for time-series models of inflation rates, short-term and long-term interest rates, dividend growth rates, dividend yields, rental growth rates and rental yields and to demonstrate the application of that methodology to the development of a model based on South African data. It is suggested that the methodology used in this paper may be applied to other economic environments.

scholarly journals CANDIDE et la monnaie

2009 ◽  
Vol 52 (1) ◽  
pp. 75-103
Author(s):  
Jean-Pierre Aubry ◽  
Pierre Duguay
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Structural Equations ◽  
Reduced Form ◽  
Real Sector ◽  
Short Term ◽  
The Real ◽  
Structure Equations

Abstract In this paper we deal with the financial sector of CANDIDE 1.1. We are concerned with the determination of the short-term interest rate, the term structure equations, and the channels through which monetary policy influences the real sector. The short-term rate is determined by a straightforward application of Keynesian liquidity preference theory. A serious problem arises from the directly estimated reduced form equation, which implies that the demand for high powered money, but not the demand for actual deposits, is a stable function of income and interest rates. The structural equations imply the opposite. In the term structure equations, allowance is made for the smaller variance of the long-term rates, but insufficient explanation is given for their sharper upward trend. This leads to an overstatement of the significance of the U.S. long-term rate that must perform the explanatory role. Moreover a strong structural hierarchy, by which the long Canada rate wags the industrial rate, is imposed without prior testing. In CANDIDE two channels of monetary influence are recognized: the costs of capital and the availability of credit. They affect the business fixed investment and housing sectors. The potential of the personal consumption sector is not recognized, the wealth and real balance effects are bypassed, the credit availability proxy is incorrect, the interest rate used in the real sector is nominal rather than real, and the specification of the housing sector is dubious.

scholarly journals Returning home to die: Circular labour migration and mortality in South Africa 1

2007 ◽  
Vol 35 (69_suppl) ◽  
pp. 35-44 ◽  
Author(s):  
Samuel J. Clark ◽  
Mark A. Collinson ◽  
Kathleen Kahn ◽  
Kyle Drullinger ◽  
Stephen M. Tollman
Keyword(s):  
South Africa ◽  
Rural Areas ◽  
Urban Areas ◽  
Terminal Illness ◽  
Event History Analysis ◽  
Historical Period ◽  
Short Term ◽  
History Analysis ◽  
Working Age

Aim: To examine the hypothesis that circular labour migrants who become seriously ill while living away from home return to their rural homes to convalesce and possibly to die. Methods: Drawing on longitudinal data collected by the Agincourt health and demographic surveillance system in rural northeastern South Africa between 1995 and 2004, discrete time event history analysis is used to estimate the likelihood of dying for residents, short-term returning migrants, and long-term returning migrants controlling for sex, age, and historical period. Results: The annual odds of dying for short-term returning migrants are generally 1.1 to 1.9 times (depending on period, sex, and age) higher than those of residents and long-term returning migrants, and these differences are generally highly statistically significant. Further supporting the hypothesis is the fact that the proportion of HIV/TB deaths among short-term returning migrants increases dramatically as time progresses, and short-term returning migrants account for an increasing proportion of all HIV/TB deaths. Conclusions: This evidence strongly suggests that increasing numbers of circular labour migrants of prime working age are becoming ill in the urban areas where they work and coming home to be cared for and eventually to die in the rural areas where their families live. This shifts the burden of caring for them in their terminal illness to their families and the rural healthcare system with significant consequences for the distribution and allocation of health care resources.

scholarly journals Macroeconomic Synchronization Between G3 Countries

2002 ◽  
Vol 3 (2) ◽  
pp. 137-153 ◽  
Author(s):  
Amado Peirό
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Short Term ◽  
The Us ◽  
Production Prices ◽  
Over Time

AbstractThis paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices and interest rates in the three main world economies: Germany, Japan and the US. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates the existence of strong comovements in prices and long-term interest rates, and, to a lesser degree, in GDP and short-term interest rates. They are, however, rather unstable over time.

scholarly journals Journal of the History of Economic Thought Preprints - Limits to Arbitrage and Interest Rates: A Debate Between Keynes, Hawtrey and Hicks

2018 ◽  
Author(s):  
Lucy BRILLANT
Keyword(s):  
Business Cycle ◽  
Central Bank ◽  
Interest Rates ◽  
Economic Thought ◽  
History Of Economic Thought ◽  
Short Term ◽  
Limits To Arbitrage ◽  
History Of ◽  
The Business Cycle

This paper deals with a debate between Hawtrey, Hicks and Keynes concerning the capacity of the central bank to influence the short-term and the long-term rates of interest. Both Hawtrey and Keynes considered the central bank’s ability to influence short-term rates of interest. However, they do not put the same emphasis on the study of the long-term rates of interest. According to Keynes, long-term rates are influenced by future expected short-term rates (1930, 1936), whereas for Hawtrey (1932, 1937, 1938), long-term rates are more dependent on the business cycle. Short-term rates do not have much effect on long-term rates according to Hawtrey. In 1939, Hicks enters the controversy, giving credit to both Hawtrey’s and Keynes’s theories, and also introducing limits to the operations of arbitrage. He thus presented a nuanced view.

scholarly journals THE DETERMINATION OF FINANCIAL STRUCTURE IN AGRICULTURE, FORESTRY AND FISHING INDUSTRY IN SELECTED COUNTRIES OF CENTRAL AND EASTERN EUROPE

2021 ◽  
Vol 24 (3) ◽  
pp. 58-78
Author(s):  
Petra Růčková ◽  
Nicole Škuláňová
Keyword(s):  
Interest Rates ◽  
Eastern Europe ◽  
Central And Eastern Europe ◽  
Current Knowledge ◽  
Generalized Method Of Moments ◽  
Financial Structure ◽  
Fishing Industry ◽  
Inflation Rates

Every economic sector, every single industry, every economy, and even every firm has its specific financial structure. Given that it is not possible to examine thousands of individual companies for scientific purposes, it is necessary to at least examine the differences between individual sectors, industries and countries. At the same time, the formation and optimization of the financial structure is influenced by a myriad of diverse factors that financial managers should take into account in their decisions. Thanks to these facts, more and more researches had been created for over half a century. This research expands knowledge in seven selected countries of Central and Eastern Europe – the Visegrád Group, Bulgaria, Slovenia and Romania. The aim of the research is to evaluate, based on the Generalized Method of Moments, the relationship between the six selected factors and the indebtedness level in companies belonging to the agricultural, forestry and fishing industry. The subject of the research is medium, large and very large companies during the years 2009 to 2016. The research deals with the influence of profitability, liquidity, asset structure, economic development, inflation and interest rates on the total, long-term and short-term indebtedness of companies. The main finding of the research is that companies are influenced by both internal and external determinants. However, even though the industry should be neutral, external determinants – GDP growth rates, inflation rates and interest rates – have a more significant impact on the debt level. The results of this research will not only extend current knowledge in the field of corporate finance, but at the same time, the results may be stimulating in setting support rules for public administration and even European institutions, as the selected industry is strongly linked to subsidy policies.

An investigation on fuel carrier’s price rise impacts on the consumer price inflation in Iran

2021 ◽  
Vol 04 ◽  
Author(s):  
Nima Norouzi
Keyword(s):  
Consumer Price Index ◽  
Commodity Prices ◽  
Gasoline Prices ◽  
Government Control ◽  
Short Term ◽  
Fuel Price ◽  
Price Inflation ◽  
Oil Derivatives ◽  
The Impact

Introduction: Oil is one of the primary commodities of all countries globally and is, in essence, the energy base of all that we know as transportation. Therefore, price fluctuations of derivatives, especially fuel and oil derivatives, are the policymakers’ main concerns because they can cause serious problems, such as inflation in commodity prices. Objective: The impact of fuel carriers’ prices on the consumer price index remains a subject of debate and research. This paper aims to develop a model to define the inflation regime in Iran and then investigate the impact of gasoline and diesel price on the total inflation rate. Method: In this study, using the central bank time series and available data on energy balance and World Bank data banks, a non-linear distributed online delay regression modeling is developed to analyze the relationship between fuel price and essential commodity inflation. Results: The results show that there is an impact of gasoline price on inflation. It does not have much effect in the long term, but diesel can somewhat influence raising prices, which can exacerbate poverty in the community that needs special attention. Conclusion: It was also found that diesel’s price is harmful to the economy because it can stimulate inflation in the long term. However, in the short term, diesel does not cause any significant inflation in the prices. While gasoline prices can have many short-term social effects, this paper suggests that the Iranian government control diesel fuel prices prevent long-term inflation in inflation and consumer price rate.

How loan interest rate liberalization affects firms’ loan maturity structure

2014 ◽  
Vol 4 (2) ◽  
pp. 153-167 ◽  
Author(s):  
Jianfang Zhou ◽  
Jingjing Wang ◽  
Jianping Ding
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Manufacturing Companies ◽  
Short Term ◽  
Data Set ◽  
Content Type ◽  
Interest Rate Liberalization ◽  
Upper Limit ◽  
Maturity Structure

Purpose – After loan interest rate upper limit deregulation in October 2004, the financing environment in China changed dramatically, and the banks were eligible for risk compensation. The purpose of this paper is to focus on the influence of the loan interest rate liberalization on firms’ loan maturity structure. Design/methodology/approach – Based on Rajan's (1992) model, the authors constructed a trade-off model of how the banks choose long-term and short-term loans scales, and further analyzed banks’ loan term decisions under the loan interest rate upper limit deregulation or collateral cases. Then the authors used an unbalanced panel data set of 586 Chinese listed manufacturing companies and 9,376 observations during the period 1996-2011 to testify the theoretical conclusion. Furthermore, the authors studied the effect on firms with different characteristics of ownership or scale. Findings – The results show that the loan interest rate liberalization significantly decreases the private companies’ reliance on short-term loans and increases sensitivity to interest rates of state-owned companies’ long-term loans. But the results also show that the companies’ ownership still plays a key role on the long-term loans availability. When monetary policy tightened, small companies still have to borrow short-term loans for long-term purposes. As the bank industry is still dominated by state-owned banks and the deposit interest rate has upper limits, the effect of the loan interest rate liberalization on easing long-term credit constraints is limited. Originality/value – From a new perspective, the content and findings of this paper contribute to the study of the effect of the interest rate liberalization on China economy.

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