Determinants of the yield curve in South Africa
- Authors: Ngonyama, Nomasomi
- Date: 2014
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11496
- Description: The yield curve has been the subject of many studies for some time, mainly in predicting recessions, economic growth and inflation. However, scant work is available on what drives the yield spread. Given this, the paper examines the determinants of the yield curve in South Africa by using time series econometric analysis over the period 2000-2012. Some key variables considered include inflation, economic growth, budget deficit, and monetary policy. To separate the long and short run effects, VECM was employed after ensuring stationarity of the series. The study found that a long run relationship exist between the yield spread, inflation, GDP, budget deficit, Repo rate, Real effective exchange rate and a money supply (M1). The Results of this thesis have implications for policy and academic work.
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- Date Issued: 2014
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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- Date Issued: 2014
The interaction between the stock market and macroeconomic variables in South Africa
- Authors: Ntshangase, Khanyisa
- Date: 2014
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11491 , http://hdl.handle.net/10353/d1018271
- Description: This study investigates the interaction between stock market and macroeconomic variables in South Africa. Apart from the stock market being a channel to raise capital, another important role of the stock market is to provide correct valuation of stocks and promote efficient allocation of capital. This is important given the great need of investment capital in a country such as South Africa. Utilising quarterly data for the period from 1994 to 2012, the study employs the Johansen cointegration test and the Vector Error Correction Model (VECM) to analyse the relationship between these important variables due to the simultaneous nature of the relationship between the variables. Empirical results indicate that all the variables have a significant relationship with the stock market. The findings in this study suggest that it is important to achieve macroeconomic equilibrium in South Africa because any disequilibrium in macroeconomics feeds into the stock market and it is likely to affect investor decision making and hence access to capital by companies listed on the stock exchange.
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- Date Issued: 2014
Financial structure and economic growth nexus: comparisons of banks, financial markets and economic growth in South Africa
- Authors: Godza, Praise G
- Date: 2013
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: http://hdl.handle.net/10353/921 , vital:26509
- Description: The importance of the financial structure system, which comprises the banking sector and financial markets, to the growth of a country’s economy cannot be underestimated. It is important to analyse comparatively the contribution of each sector to the economic growth of a country. This study, therefore, empirically examined the relationship between financial markets, banks and economic growth in South Africa using time series analysis for the period 1990 to 2011. The study used the Vector Error Correction model (VECM) based causality tests to establish the link between financial structure (represented by both banks and financial markets) and economic growth. Real GDP was used as a measure for economic growth, Bank credit to the private sector was used as a proxy for the banking system, turnover ratio and value of shares traded was used as a measure for the stock market and bond market capitalisation was used as a measure for the bond market. To determine the net effects of financial structure on long run growth in South Africa, one control variable was added which was the ratio of government expenditure to GDP to control for the government’s role in the economy. The Johansen co-integration technique was also employed to obtain a long run relationship. The results from the study revealed that the stock turnover ratio, bond market capitalisation, and government expenditure have a long run relationship with economic growth while bank credit to private sector and value of shares traded showed a negative relationship with economic growth. With granger causality all the variables proved to granger cause economic growth except for bond market capitalisation where economic growth prove to granger cause bond market development. The study recommended that measures to improve liquidity, transparency and accessibility of both the banking sector and financial markets instruments should be a priority for South African authorities. The authorities should, therefore, encourage stock market development through an appropriate mix of taxes, legal and regulatory policies to remove barriers to stock market operations and thus enhance their efficiency since stock markets in Africa are underdeveloped. Strong financial regulation and supervision in banks to ensure efficiency in credit allocation should be done to enable channelling of credits to capital development rather than consumption spending.
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- Date Issued: 2013