Evidence in favour of the monetary model of exchange rate determination for the South African Rand is at best mixed. A co-integrating relationship between the nominal exchange rate and fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...

In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...

This paper provides an empirical analysis of the role of house prices in determining the dynamic behaviour of consumption in South Africa using a panel vector autoregression (PVAR) approach to provincial level panel data covering the period of 1996 to 2010. With the shocks being identified using...

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...

Empirical evidence on the whether the inflation-targeting South African Reserve Bank (SARB) should also consider responding to exchange rate fluctuations, are contradictory. Against this backdrop of contradictory evidence, we revisit the issue by questioning if the inflation rate is more...

This paper provides empirical evidence on the long- and short-run relationships between real house and stock prices of South Africa. Standard linear tests may not detect the existence of long- and short-run relationships between time series especially in the presence of structural shifts or...

In this paper, we consider the forecasting power, both in- and out-of-sample, of 11 financial variables with respect to the growth rate of Indian industrial production over the monthly out-of-sample period of 2005:4-2011:4, using an in-sample of 1994:1-2005:3. The financial variables used are:...

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...

This paper analyzes the so-called “ripple” effect of house prices in five major metropolitan areas of South Africa, namely, Cape Town, Durban Unicity, Greater Johannesburg, Port Elizabeth/Uitenhage and Pretoria, based on available quarterly data covering the period of 1966:Q1 to 2010:Q1....

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests and daily returns for the Johannesburg Stock Exchange (JSE) All Share Index from 07/02/1995 to 08/25/2010. We find evidence of structural...