Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2012
This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...
