The impact of oil price changes on selected economic indicators in South Africa
- Authors: Vellem, Nomtha
- Date: 2014
- Subjects: Petroleum industry and trade -- South Africa , Foreign exchange rates -- South Africa , Interest rate futures -- South Africa , Economic indicators -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11485 , http://hdl.handle.net/10353/d1017862 , Petroleum industry and trade -- South Africa , Foreign exchange rates -- South Africa , Interest rate futures -- South Africa , Economic indicators -- South Africa
- Description: The study examines the effect of oil price changes on selected economic indicators in South Africa. A VAR-5 model was applied to quarterly data of 1990:Q1-2012:Q4 estimating the impulse response functions, variance decomposition and Granger-causality tests. The findings allow for a conclusion that oil significantly affects the exchange rate and an inverse link between oil and GDP exists. A unidirectional relation is found where oil Granger-causes the exchange rate and GDP Granger-causes oil in South Africa.
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- Authors: Vellem, Nomtha
- Date: 2014
- Subjects: Petroleum industry and trade -- South Africa , Foreign exchange rates -- South Africa , Interest rate futures -- South Africa , Economic indicators -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11485 , http://hdl.handle.net/10353/d1017862 , Petroleum industry and trade -- South Africa , Foreign exchange rates -- South Africa , Interest rate futures -- South Africa , Economic indicators -- South Africa
- Description: The study examines the effect of oil price changes on selected economic indicators in South Africa. A VAR-5 model was applied to quarterly data of 1990:Q1-2012:Q4 estimating the impulse response functions, variance decomposition and Granger-causality tests. The findings allow for a conclusion that oil significantly affects the exchange rate and an inverse link between oil and GDP exists. A unidirectional relation is found where oil Granger-causes the exchange rate and GDP Granger-causes oil in South Africa.
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Inflation targeting and inflation indicators: the case for inflation targeting in South Africa
- Authors: Jeke, Leward
- Date: 2012
- Subjects: South African Reserve Bank , Inflation (Finance) -- South Africa , Inflation targeting -- South Africa , Anti-inflationary policies -- South Africa , Economic indicators -- South Africa , Economic stabilization -- South Africa , Cointegration -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11467 , http://hdl.handle.net/10353/d1007091 , South African Reserve Bank , Inflation (Finance) -- South Africa , Inflation targeting -- South Africa , Anti-inflationary policies -- South Africa , Economic indicators -- South Africa , Economic stabilization -- South Africa , Cointegration -- South Africa
- Description: The control of inflation requires a forecast of the future path of the price level and its indicators. Targeting inflation directly requires that the central bank (SARB) form forecasts of the likely path of prices paying close attention to a variety of indicators that shows the predictive power of inflation in the past periods. Inflation indicators might be cointegrated with the rate of inflation to predict the future inflation rates. Forecasting inflation may be very difficult at a particular period due to the fact that the array candidate indicators of inflation may neither be very stable nor very strong in their relationships with the rate of inflation. Although this might be the case, this research uses testable effects of each of the South African inflation indicators to the rate of inflation using econometrics tools to find that they have a long run trend with the rate of inflation in South Africa. It has been found that each of the indicator variables has a long run relationship with the rate of inflation. The major conclusion is that inflation indicator variables like money supply (M3), oil price, gold price, total employment, interest rates, exchange rates and output growth can be useful inflation indicators in targeting the future trends of inflation in South Africa according to the data used in this research although some studies in some countries find that inflation targeting is an insufficient framework for monetary policy in the presence of financial exuberance. The money supply, the oil prices, interest rates, the exchange rates, prices of gold, the employment and output growth are co-integrated with the rate of inflation representing a long-run relationship.
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- Authors: Jeke, Leward
- Date: 2012
- Subjects: South African Reserve Bank , Inflation (Finance) -- South Africa , Inflation targeting -- South Africa , Anti-inflationary policies -- South Africa , Economic indicators -- South Africa , Economic stabilization -- South Africa , Cointegration -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11467 , http://hdl.handle.net/10353/d1007091 , South African Reserve Bank , Inflation (Finance) -- South Africa , Inflation targeting -- South Africa , Anti-inflationary policies -- South Africa , Economic indicators -- South Africa , Economic stabilization -- South Africa , Cointegration -- South Africa
- Description: The control of inflation requires a forecast of the future path of the price level and its indicators. Targeting inflation directly requires that the central bank (SARB) form forecasts of the likely path of prices paying close attention to a variety of indicators that shows the predictive power of inflation in the past periods. Inflation indicators might be cointegrated with the rate of inflation to predict the future inflation rates. Forecasting inflation may be very difficult at a particular period due to the fact that the array candidate indicators of inflation may neither be very stable nor very strong in their relationships with the rate of inflation. Although this might be the case, this research uses testable effects of each of the South African inflation indicators to the rate of inflation using econometrics tools to find that they have a long run trend with the rate of inflation in South Africa. It has been found that each of the indicator variables has a long run relationship with the rate of inflation. The major conclusion is that inflation indicator variables like money supply (M3), oil price, gold price, total employment, interest rates, exchange rates and output growth can be useful inflation indicators in targeting the future trends of inflation in South Africa according to the data used in this research although some studies in some countries find that inflation targeting is an insufficient framework for monetary policy in the presence of financial exuberance. The money supply, the oil prices, interest rates, the exchange rates, prices of gold, the employment and output growth are co-integrated with the rate of inflation representing a long-run relationship.
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Business cycles and stock market performance in South Africa
- Authors: Muchaonyerwa, Forward
- Date: 2011
- Subjects: Stock exchanges -- South Africa , Economic indicators -- South Africa , Business cycles -- South Africa , Economic forecasting -- South Africa , Stocks -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11460 , http://hdl.handle.net/10353/312 , Stock exchanges -- South Africa , Economic indicators -- South Africa , Business cycles -- South Africa , Economic forecasting -- South Africa , Stocks -- South Africa
- Description: The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.
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- Authors: Muchaonyerwa, Forward
- Date: 2011
- Subjects: Stock exchanges -- South Africa , Economic indicators -- South Africa , Business cycles -- South Africa , Economic forecasting -- South Africa , Stocks -- South Africa
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11460 , http://hdl.handle.net/10353/312 , Stock exchanges -- South Africa , Economic indicators -- South Africa , Business cycles -- South Africa , Economic forecasting -- South Africa , Stocks -- South Africa
- Description: The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.
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