Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097354
O. Adelakun
The literature on the dynamics of inflation appears to have shifted from the question of the root cause of shocks to inflation, to whether the monetary union has a bearing in the measure of the degree or the persistence of the effect of the shocks. To capture the specific effect of monetary policy shocks on the persistence of inflation in WAMZ, a multivariate Vector Autoregressive Moving Average GARCH (VARMA- GARCH) framework is implemented. The study employs both conventional and conditional time-varying unit root tests to understand the extent to which monetary union influences the degree of inflation persistence. We find the degree of inflation persistence to have been relatively lower since the advent of monetary union in the WAMZ. The significance of this finding is particularly evident when the time-varying property of the persistence is captured. It is also observed that a monetary policy shock has the potential to neutralise the persistence of shocks to inflation at least in the long run, particularly when the timevarying property of the inflation series is captured.
{"title":"Does a Monetary Union Matter for the Degree of Inflation Persistence? The Case of the West Africa Monetary Zone (WAMZ)","authors":"O. Adelakun","doi":"10.1080/10800379.2020.12097354","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097354","url":null,"abstract":"The literature on the dynamics of inflation appears to have shifted from the question of the root cause of shocks to inflation, to whether the monetary union has a bearing in the measure of the degree or the persistence of the effect of the shocks. To capture the specific effect of monetary policy shocks on the persistence of inflation in WAMZ, a multivariate Vector Autoregressive Moving Average GARCH (VARMA- GARCH) framework is implemented. The study employs both conventional and conditional time-varying unit root tests to understand the extent to which monetary union influences the degree of inflation persistence. We find the degree of inflation persistence to have been relatively lower since the advent of monetary union in the WAMZ. The significance of this finding is particularly evident when the time-varying property of the persistence is captured. It is also observed that a monetary policy shock has the potential to neutralise the persistence of shocks to inflation at least in the long run, particularly when the timevarying property of the inflation series is captured.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"1 - 34"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097354","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47816276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-01DOI: 10.1080/10800379.2019.12097350
C. Urom, D. Yuni, A. Lasbrey, C. Emenekwe
Abstract This paper considers the contentious issue regarding the relationship between inflation and economic growth in a context of the world's first customs union - Southern African Customs Union (SACU). It examines the non-linear relationship between inflation and growth using a Panel Threshold Regression (PTR) on a dataset over the period 1980 to 2016. The study rejects the null hypothesis of a linear relationship between inflation and growth and that there exists a statistically significant negative impact of inflation on growth when inflation rates rise above the threshold of 10.2%. We also found that the size of the growth effect of inflation is stronger in the upper inflation regime. Descriptive results from our threshold variance analysis show that variance in inflation rates is higher when inflation is above the threshold level and this is mostly associated with higher variance in growth. Taken together, these findings imply that stable economic growth may be achieved by keeping inflation below the threshold to attract both domestic and foreign investment while individual governments imbibe fiscal discipline as means of controlling inflationary pressures created by rising government consumption.
{"title":"Examining The Non-Linearities In Inflation-Growth Nexus: Further Evidence From a Fixed-Effect Panel Threshold Regression Approach For The Sacu Region","authors":"C. Urom, D. Yuni, A. Lasbrey, C. Emenekwe","doi":"10.1080/10800379.2019.12097350","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097350","url":null,"abstract":"Abstract This paper considers the contentious issue regarding the relationship between inflation and economic growth in a context of the world's first customs union - Southern African Customs Union (SACU). It examines the non-linear relationship between inflation and growth using a Panel Threshold Regression (PTR) on a dataset over the period 1980 to 2016. The study rejects the null hypothesis of a linear relationship between inflation and growth and that there exists a statistically significant negative impact of inflation on growth when inflation rates rise above the threshold of 10.2%. We also found that the size of the growth effect of inflation is stronger in the upper inflation regime. Descriptive results from our threshold variance analysis show that variance in inflation rates is higher when inflation is above the threshold level and this is mostly associated with higher variance in growth. Taken together, these findings imply that stable economic growth may be achieved by keeping inflation below the threshold to attract both domestic and foreign investment while individual governments imbibe fiscal discipline as means of controlling inflationary pressures created by rising government consumption.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"31 - 61"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097350","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42446403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-01DOI: 10.1080/10800379.2019.12097351
V. Gorlach
Abstract This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed, that correlations are linear and risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that incorporates an investor's economic forecast. Extreme Value Theory (EVT) is used to capture the skewness and kurtosis inherent in asset class returns and account for the volatility clustering and extreme co-movements across asset classes. The estimation consists of using an asymmetric GJR-GARCH model to extract filtered residuals for each asset class return. Subsequently, a marginal cumulative distribution function (CDF) of each asset class is constructed by using a Gaussian-kernel estimation for the interior, together with a generalised Pareto distribution (GPD) for the upper and lower tails. The distribution of exceedance method is applied to find residuals in the tails. A Student's t copula is then fitted to the data to induce correlation between the simulated residuals of each asset class. A Monte Carlo technique is applied to simulate standardised residuals, which represent a univariate stochastic process when viewed in isolation but maintain the correlation induced by the copula. The results are mean-CVaR optimised portfolios, which are derived based on an investor's forward-looking expectation.
摘要本文着重分析了现代投资组合理论的不足。除了其他缺陷之外，MPT假设收益是正态分布的，相关性是线性的，风险是对称的。我们提出了一种动态和灵活的基于场景的投资组合选择方法，该方法结合了投资者的经济预测。极值理论(EVT)用于捕获资产类别回报固有的偏度和峰度，并解释资产类别之间的波动聚类和极端协同运动。估计包括使用非对称GJR-GARCH模型提取每个资产类别收益的过滤残差。随后，通过使用内部的高斯核估计以及上尾和下尾的广义帕累托分布(GPD)来构造每个资产类别的边际累积分布函数(CDF)。采用超越分布法求尾部残差。然后将Student's t copula拟合到数据中，以诱导每个资产类别的模拟残差之间的相关性。应用蒙特卡罗技术模拟标准化残差，当孤立地观察时，它代表一个单变量随机过程，但保持由联结引起的相关性。结果是平均cvar优化的投资组合，这是基于投资者的前瞻性预期。
{"title":"Scenario-Based Asset Allocation With Fat Tails And Non-Linear Correlation","authors":"V. Gorlach","doi":"10.1080/10800379.2019.12097351","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097351","url":null,"abstract":"Abstract This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed, that correlations are linear and risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that incorporates an investor's economic forecast. Extreme Value Theory (EVT) is used to capture the skewness and kurtosis inherent in asset class returns and account for the volatility clustering and extreme co-movements across asset classes. The estimation consists of using an asymmetric GJR-GARCH model to extract filtered residuals for each asset class return. Subsequently, a marginal cumulative distribution function (CDF) of each asset class is constructed by using a Gaussian-kernel estimation for the interior, together with a generalised Pareto distribution (GPD) for the upper and lower tails. The distribution of exceedance method is applied to find residuals in the tails. A Student's t copula is then fitted to the data to induce correlation between the simulated residuals of each asset class. A Monte Carlo technique is applied to simulate standardised residuals, which represent a univariate stochastic process when viewed in isolation but maintain the correlation induced by the copula. The results are mean-CVaR optimised portfolios, which are derived based on an investor's forward-looking expectation.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"61 - 94"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097351","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45391852","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-01DOI: 10.1080/10800379.2019.12097352
P. Lavado, S. Cueto, G. Yamada, M. Wensjoe
Abstract This study estimates the effect of one charter school (a public-private partnership) on mathematics and reading comprehension among second grade students in Peru between 2007 and 2012. The study uses an identification strategy to estimate the causal effect of a charter school. The strategy is based on a natural experiment of an admission lottery to determine which students would be accepted into second grade at the charter school. The results show that the charter school achieved substantial gains in the scores of the lottery winners that are equivalent to 0.4 standard deviations. We also find that this effect has increased over time.
{"title":"The Effect of a Charter School in Peru (Fe Y AlegrÍA) on School Achievement:Exploiting a School Lottery Selection as a Natural Experiment","authors":"P. Lavado, S. Cueto, G. Yamada, M. Wensjoe","doi":"10.1080/10800379.2019.12097352","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097352","url":null,"abstract":"Abstract This study estimates the effect of one charter school (a public-private partnership) on mathematics and reading comprehension among second grade students in Peru between 2007 and 2012. The study uses an identification strategy to estimate the causal effect of a charter school. The strategy is based on a natural experiment of an admission lottery to determine which students would be accepted into second grade at the charter school. The results show that the charter school achieved substantial gains in the scores of the lottery winners that are equivalent to 0.4 standard deviations. We also find that this effect has increased over time.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"95 - 110"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097352","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44929597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-01DOI: 10.1080/10800379.2019.12097353
S. Kennedy-Palmer
Abstract Accurate estimates of volatility are important for the valuation and risk management of financial assets. The benchmark interest rate for many assets in South Africa, the 3-month Jibar, is found to exhibit a high volatility persistence when modelled with a standard generalised autoregressive conditional heteroskedasticity (GARCH) process. The literature suggests that unobserved regime-switching in interest rate data may lead to an overestimation of volatility persistence. In this study 120 GARCH-type volatility models are tested to determine which model, conditional distribution and number of regimes best fit the data in order to extract the most accurate in-sample estimation of historical volatility for asset pricing. The data analysed consists of 877 weekly observations of 3-month Jibar in total, spanning from September 2001 to July 2018. The switching between regimes is governed by a Markov chain process which produces state-dependent transition probabilities for the unobserved regimes. The study finds that a standard single regime GARCH model may not capture the underlying volatility dynamics of the interest rate. The best performing model in this study is the 4 State Threshold-GARCH indicating that in addition to evidence of regime-switching in the data, there is an asymmetric reaction to negative information.
{"title":"South African Historical Interest Rate Volatility - Evidence of Regime- Switching","authors":"S. Kennedy-Palmer","doi":"10.1080/10800379.2019.12097353","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097353","url":null,"abstract":"Abstract Accurate estimates of volatility are important for the valuation and risk management of financial assets. The benchmark interest rate for many assets in South Africa, the 3-month Jibar, is found to exhibit a high volatility persistence when modelled with a standard generalised autoregressive conditional heteroskedasticity (GARCH) process. The literature suggests that unobserved regime-switching in interest rate data may lead to an overestimation of volatility persistence. In this study 120 GARCH-type volatility models are tested to determine which model, conditional distribution and number of regimes best fit the data in order to extract the most accurate in-sample estimation of historical volatility for asset pricing. The data analysed consists of 877 weekly observations of 3-month Jibar in total, spanning from September 2001 to July 2018. The switching between regimes is governed by a Markov chain process which produces state-dependent transition probabilities for the unobserved regimes. The study finds that a standard single regime GARCH model may not capture the underlying volatility dynamics of the interest rate. The best performing model in this study is the 4 State Threshold-GARCH indicating that in addition to evidence of regime-switching in the data, there is an asymmetric reaction to negative information.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"111 - 132"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097353","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46701316","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-12-01DOI: 10.1080/10800379.2019.12097349
M. Ngundu, N. Ngepah
Abstract This paper seeks to analyse how FDI from China, US, EU, and the rest of Asia transmit to growth in sub-Sahara Africa through export upgrading for the period (2003-2012). Terms-of-trade is utilized as a proxy for export upgrading. We develop a theoretical argument to show that countries with worsening (less than 1%) terms-of-trade are associated with poor industrialization as a result they can hardly improve quality and quantity of their products for export market, vis-à-vis. In this respect, this study contributes to existing literature in two ways. First, we investigate if technology embodied in FDI from the above-mentioned sources can enhance quantity and quality improvements of export commodities in sub-Sahara Africa. Second, we account for industrial policy heterogeneity of sub-Sahara African countries in order to determine the threshold level at which FDI-induced export upgrading can contribute positively to growth. Using both 2SLS and PTR models, our results reveal that FDI from China and the rest of Asia does not bear significant impact on growth in sub-Sahara Africa through export upgrading. However, PTR analysis demonstrates that FDI from US and EU seem to have a significant negative impact only below a threshold of 1.08%. As the terms-of-trade improves beyond 1.08%, the estimated coefficients of both FDI from US and EU turn positive, albeit insignificant. We conclude that sub-Sahara African countries are far yet to reach a threshold at which FDI-induced export upgrading can contribute positively to growth.
{"title":"The Impact of China's Fdi and Fdi From Other Sources on Growth in Sub-Sahara Africa Through Export Upgrading","authors":"M. Ngundu, N. Ngepah","doi":"10.1080/10800379.2019.12097349","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097349","url":null,"abstract":"Abstract This paper seeks to analyse how FDI from China, US, EU, and the rest of Asia transmit to growth in sub-Sahara Africa through export upgrading for the period (2003-2012). Terms-of-trade is utilized as a proxy for export upgrading. We develop a theoretical argument to show that countries with worsening (less than 1%) terms-of-trade are associated with poor industrialization as a result they can hardly improve quality and quantity of their products for export market, vis-à-vis. In this respect, this study contributes to existing literature in two ways. First, we investigate if technology embodied in FDI from the above-mentioned sources can enhance quantity and quality improvements of export commodities in sub-Sahara Africa. Second, we account for industrial policy heterogeneity of sub-Sahara African countries in order to determine the threshold level at which FDI-induced export upgrading can contribute positively to growth. Using both 2SLS and PTR models, our results reveal that FDI from China and the rest of Asia does not bear significant impact on growth in sub-Sahara Africa through export upgrading. However, PTR analysis demonstrates that FDI from US and EU seem to have a significant negative impact only below a threshold of 1.08%. As the terms-of-trade improves beyond 1.08%, the estimated coefficients of both FDI from US and EU turn positive, albeit insignificant. We conclude that sub-Sahara African countries are far yet to reach a threshold at which FDI-induced export upgrading can contribute positively to growth.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"1 - 30"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097349","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47594190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-01DOI: 10.1080/10800379.2019.12097346
Frank Gyimah Sackey, P. Amponsah, P. Yeboah
This study sought to examine the extent to which youth employment outcomes in Ghana are influenced by their individual and family characteristics on the one hand and parents' educational status on the other. A sample size of 250 youths, both employed and unemployed, was used for the study. A probit estimation with marginal effects was used to determine how these individuals and family characteristics influence employment outcomes. The results showed that individual and family characteristics influence employment outcomes. We disentangle educational background of parents and group them into high and low status. A Blinder-Oaxaca decomposition shows that the employment gap between youths with parents of high educational status and those with parents of low educational status is largely influenced by the differences in the individual and other family characteristics of the youths rather than differences in parents' educational status.
{"title":"A Decomposition and Counterfactual Analysis of the Effect of Parents' Educational Status on Youth Employment Outcomes","authors":"Frank Gyimah Sackey, P. Amponsah, P. Yeboah","doi":"10.1080/10800379.2019.12097346","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097346","url":null,"abstract":"This study sought to examine the extent to which youth employment outcomes in Ghana are influenced by their individual and family characteristics on the one hand and parents' educational status on the other. A sample size of 250 youths, both employed and unemployed, was used for the study. A probit estimation with marginal effects was used to determine how these individuals and family characteristics influence employment outcomes. The results showed that individual and family characteristics influence employment outcomes. We disentangle educational background of parents and group them into high and low status. A Blinder-Oaxaca decomposition shows that the employment gap between youths with parents of high educational status and those with parents of low educational status is largely influenced by the differences in the individual and other family characteristics of the youths rather than differences in parents' educational status.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"9 - 28"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097346","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44392512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-01DOI: 10.1080/10800379.2019.12097345
F. Botha, A. Pitot
Using monthly data for January 2006 - December 2015, this study explores the relationship between suicide and the South African business cycle. Contrary to most previous research, the findings reveal that suicide is pro-cyclical.
{"title":"Suicide and the South African Business Cycle","authors":"F. Botha, A. Pitot","doi":"10.1080/10800379.2019.12097345","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097345","url":null,"abstract":"Using monthly data for January 2006 - December 2015, this study explores the relationship between suicide and the South African business cycle. Contrary to most previous research, the findings reveal that suicide is pro-cyclical.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"1 - 8"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097345","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43970956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-01DOI: 10.1080/10800379.2019.12097348
J. Eita, V. Manuel, E. Naimhwaka
This paper investigates macroeconomic determinants of the current account balance in Namibia. The results show that there is evidence of twin deficit hypothesis in Namibia. Evidence of twin deficit hypothesis suggest that it is important for Namibia to have fiscal discipline in order to improve its current account. Increase in capital flows, real GDP or per capita, results in a deterioration of the current account. Increase in interest rate, commodity prices and population cause the current account balance to improve. This suggest that contractionary monetary policy contributed to reduction of unproductive imports and improved the current account balance.
{"title":"Macroeconomic Variables and Current Account Balance in an Open Economy: Evidence from Namibia","authors":"J. Eita, V. Manuel, E. Naimhwaka","doi":"10.1080/10800379.2019.12097348","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097348","url":null,"abstract":"This paper investigates macroeconomic determinants of the current account balance in Namibia. The results show that there is evidence of twin deficit hypothesis in Namibia. Evidence of twin deficit hypothesis suggest that it is important for Namibia to have fiscal discipline in order to improve its current account. Increase in capital flows, real GDP or per capita, results in a deterioration of the current account. Increase in interest rate, commodity prices and population cause the current account balance to improve. This suggest that contractionary monetary policy contributed to reduction of unproductive imports and improved the current account balance.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"55 - 70"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097348","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48723016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-08-01DOI: 10.1080/10800379.2019.12097347
P. Moores-Pitt, B. Strydom, M. Murray
Recent South African empirical tests of the ability of equity to act as a hedge against inflation have generally relied on conventional cointegration tests that assume symmetric adjustment between the variables in the cointegrating relationship, however modern international evidence increasingly indicates that the relationship may not be this straightforward. Using CPI and JSE-ALSI data for the period 1980 - 2015, this study employs a threshold cointegration approach to investigate the long-run relationship between inflation and equity returns allowing for non-linear adjustment. The study finds compelling evidence that the relationship has experienced asymmetric adjustment over the sample period and that the relationship between equity returns and inflation is more appropriately modelled using threshold cointegration. The study confirms the ability of equity returns to protect investors against inflation, even when allowing for asymmetric adjustment, making the results a more robust indicator of the equity returns-inflation relationship.
{"title":"Accounting for Threshold Effects and Asymmetric Adjustment Between Inflation and Equity Returns in South Africa","authors":"P. Moores-Pitt, B. Strydom, M. Murray","doi":"10.1080/10800379.2019.12097347","DOIUrl":"https://doi.org/10.1080/10800379.2019.12097347","url":null,"abstract":"Recent South African empirical tests of the ability of equity to act as a hedge against inflation have generally relied on conventional cointegration tests that assume symmetric adjustment between the variables in the cointegrating relationship, however modern international evidence increasingly indicates that the relationship may not be this straightforward. Using CPI and JSE-ALSI data for the period 1980 - 2015, this study employs a threshold cointegration approach to investigate the long-run relationship between inflation and equity returns allowing for non-linear adjustment. The study finds compelling evidence that the relationship has experienced asymmetric adjustment over the sample period and that the relationship between equity returns and inflation is more appropriately modelled using threshold cointegration. The study confirms the ability of equity returns to protect investors against inflation, even when allowing for asymmetric adjustment, making the results a more robust indicator of the equity returns-inflation relationship.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"43 1","pages":"29 - 54"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2019.12097347","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46649931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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