Analysis of Volatility transmission across South African Financial Markets

This paper analyses volatility transmission across four South African financial markets, using daily data for the period 2000-2009. These are the stock, bond, money and foreign exchange markets. The paper applies the TARCH procedure to the returns from the South African financial markets in order to estimate the cross-market volatility transmission. Results show that volatility transmission exists in South African financial markets on a weak form, with each market explaining its own volatility. The paper found transmission between stocks market and foreign exchange, and between foreign exchange and bond markets

South African money market volatility, asymmetry and retail interest pass-through

The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM-EGARCH (1, 1), negative volatility impact and leverage effect are present and influential only in the deposit interest rate adjustment process in South Africa

Natural gas consumption and economic growth : evidence from selected natural gas vehicle markets in Europe

In this study, the relationship between natural gas consumption (NGC) and economic growth is examined. Twelve (12) countries in Europe are considered, 10 of which make up the top natural gas vehicle (NGV) markets in Europe. The study considers four main variables in this exercise, namely; gross fixed capital formation, labour force, trade openness, and real GDP. It makes use of panel cointegration analysis and long-run vector error correction model analysis in assessing both the short-run and the long-run relationship dynamics between NGC and economic growth. The results show that a long-run impact of NGC on economic growth does indeed exist. In the short run, however, this does not seem to be the case. The results also suggest the existence of the growth hypothesis in Austria, Bulgaria and Switzerland, while the United Kingdom (UK) and Italy support the conservation hypothesis

Macroeconomic Policy effects on development transition – Views from Agent based model

Assessing the impact of a policy before implementation has often been a difficult feat to achieve, both at the macroeconomic and microeconomic levels. This challenge becomes even more daunting in the context of a developing country and has encouraged enormous amount of research over an extended period of time using different models. Traditional models for assessing the impact of policy implementation are fragmented given the assumption that factors affecting such policies are homogeneous whilst neglecting the interactions between various markets. Agent-based modelling can overcome this limitation given its capability to provide a micro-founded macroeconomic analysis of policy, within a variety of economic conditions and policy objectives to facilitate the understanding of the observed response. Against this backdrop, the current work adopts an agent based framework to investigate three distinct policies that have been employed by some advanced countries towards achieving sustainable development goals. This is carried out to derive lessons and explore opportunities for enhancing policy implementation in developing countries. Agent representation involve decisions by involve manufacturers, households (final goods consumers), banks (loan issues & bankruptcy warning), central bank (Basel monitor & monetary policy activity), government (fiscal policy role) and singular energy market supplier, which enables consideration of: the impact of unemployment benefits on the labour market; the impact of capital investment subsidy on investment levels; and the impact of energy taxes (in the form of an increase in the energy cost structure) on a developing country’s macroeconomic system. Results shows that an increase in unemployment benefits led to improvements in the labour market and reduction in wage margin, with a limitation threshold of 50%. Additionally, it was observed that the economy becomes more sensitive to energy tax due to higher unemployment benefits, although the diminishing nature of the relationship was quite noticeable