An analysis of the money market linkages between South Africa and selected major world economies
- Authors: Barnor, Joel A
- Date: 2009
- Subjects: South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:956 , http://hdl.handle.net/10962/d1002690 , South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Description: Globalisation and financial liberalisation has increased the linkages across countries in recent times. The existence of money market links has important implications for both domestic monetary policy and for investment decisions. This study examines the linkages between South Africa’s money market and selected major international money markets. The objectives of the study are firstly to examine the links between the repo rate of South Africa and the central bank rates of the EU, Japan, UK and US. Secondly, is to compare the influence of domestic and foreign monetary policy decisions on South Africa’s money market. The third objective is to examine the long run relationship between the South African money market and the money markets of its major trading partners. Three estimation techniques are used to examine the different links. Principal components analysis, four tests of cointegration, and stationarity tests of the spreads/risk premium between South Africa’s interest rates and the interest rates of the other countries. All three techniques show that there is no long-run link between South Africa’s central bank rates and the central bank rates of the other countries. This shows that the repo rate does not depend on movements in other central bank rates. Domestic money market interest rates respond strongly to changes in the repo rate whilst showing no dependence on central bank rates of the other countries. This confirms the autonomy of the South African Reserve Bank in carrying out policy objectives. When the risk premium is accounted for under the third technique, evidence of integration is found. This indicates that the risk premium plays a crucial part in the level of integration between South Africa and the countries included in the study.
- Full Text:
- Date Issued: 2009
- Authors: Barnor, Joel A
- Date: 2009
- Subjects: South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:956 , http://hdl.handle.net/10962/d1002690 , South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Description: Globalisation and financial liberalisation has increased the linkages across countries in recent times. The existence of money market links has important implications for both domestic monetary policy and for investment decisions. This study examines the linkages between South Africa’s money market and selected major international money markets. The objectives of the study are firstly to examine the links between the repo rate of South Africa and the central bank rates of the EU, Japan, UK and US. Secondly, is to compare the influence of domestic and foreign monetary policy decisions on South Africa’s money market. The third objective is to examine the long run relationship between the South African money market and the money markets of its major trading partners. Three estimation techniques are used to examine the different links. Principal components analysis, four tests of cointegration, and stationarity tests of the spreads/risk premium between South Africa’s interest rates and the interest rates of the other countries. All three techniques show that there is no long-run link between South Africa’s central bank rates and the central bank rates of the other countries. This shows that the repo rate does not depend on movements in other central bank rates. Domestic money market interest rates respond strongly to changes in the repo rate whilst showing no dependence on central bank rates of the other countries. This confirms the autonomy of the South African Reserve Bank in carrying out policy objectives. When the risk premium is accounted for under the third technique, evidence of integration is found. This indicates that the risk premium plays a crucial part in the level of integration between South Africa and the countries included in the study.
- Full Text:
- Date Issued: 2009
An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets
- Authors: Chinzara, Zivanemoyo
- Date: 2008
- Subjects: Stock exchanges -- South Africa , Globalization -- Economic aspects -- South Africa , International economic relations , Portfolio management -- South Africa , Monetary policy -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:970 , http://hdl.handle.net/10962/d1002704 , Stock exchanges -- South Africa , Globalization -- Economic aspects -- South Africa , International economic relations , Portfolio management -- South Africa , Monetary policy -- South Africa
- Description: The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
- Full Text:
- Date Issued: 2008
- Authors: Chinzara, Zivanemoyo
- Date: 2008
- Subjects: Stock exchanges -- South Africa , Globalization -- Economic aspects -- South Africa , International economic relations , Portfolio management -- South Africa , Monetary policy -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:970 , http://hdl.handle.net/10962/d1002704 , Stock exchanges -- South Africa , Globalization -- Economic aspects -- South Africa , International economic relations , Portfolio management -- South Africa , Monetary policy -- South Africa
- Description: The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
- Full Text:
- Date Issued: 2008
Assessing the use of international business strategies among automotive wiring harness manufacturers in the Nelson Mandela Metropole
- Authors: Mears, Michael
- Date: 2007
- Subjects: International trade , International business enterprises -- South Africa , Corporations, Foreign , International economic relations
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:8741 , http://hdl.handle.net/10948/764 , International trade , International business enterprises -- South Africa , Corporations, Foreign , International economic relations
- Description: Since 1994, the opening up of the South African economy has presented South African companies with opportunities to exploit the bigger global market and also with challenges of competing with international companies. Companies must consider both external environmental forces and internal organizational factors before arriving at a suitable international strategy. This treatise explores the wiring harness industry in the Nelson Mandela Bay to determine whether the industry is adopting international strategies in line with globalization, thus ensuring sustained growth and profitability. A literature survey was conducted to discover the main strategies that are used by companies in order to achieve global competitiveness. These strategies were used in conjunction with Porter's (1990) theory of National Competitive Advantage to analyse the wiring harness industry in the Nelson Mandela Bay. Porter's (1990) theory of National Competitive Advantage was used to analyse the competitiveness of the wiring harness industry in the Nelson Mandela Bay. A questionnaire was developed to test the degree to which the wiring harness industry in the Nelson Mandela Bay is in agreement with the findings of the literature study. This information was used to determine whether the wiring harness industry in the Nelson Mandela Bay is following global trends to remain profitable.
- Full Text:
- Date Issued: 2007
- Authors: Mears, Michael
- Date: 2007
- Subjects: International trade , International business enterprises -- South Africa , Corporations, Foreign , International economic relations
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:8741 , http://hdl.handle.net/10948/764 , International trade , International business enterprises -- South Africa , Corporations, Foreign , International economic relations
- Description: Since 1994, the opening up of the South African economy has presented South African companies with opportunities to exploit the bigger global market and also with challenges of competing with international companies. Companies must consider both external environmental forces and internal organizational factors before arriving at a suitable international strategy. This treatise explores the wiring harness industry in the Nelson Mandela Bay to determine whether the industry is adopting international strategies in line with globalization, thus ensuring sustained growth and profitability. A literature survey was conducted to discover the main strategies that are used by companies in order to achieve global competitiveness. These strategies were used in conjunction with Porter's (1990) theory of National Competitive Advantage to analyse the wiring harness industry in the Nelson Mandela Bay. Porter's (1990) theory of National Competitive Advantage was used to analyse the competitiveness of the wiring harness industry in the Nelson Mandela Bay. A questionnaire was developed to test the degree to which the wiring harness industry in the Nelson Mandela Bay is in agreement with the findings of the literature study. This information was used to determine whether the wiring harness industry in the Nelson Mandela Bay is following global trends to remain profitable.
- Full Text:
- Date Issued: 2007
The direction of trade and its implications for labour in South Africa
- Authors: Cameron, Iona R
- Date: 2005
- Subjects: Labor demand -- South Africa , Labor market -- South Africa , Industrial relations -- South Africa , Foreign trade and employment -- South Africa , International economic relations , Free trade -- South Africa , South Africa -- Commercial policy
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:948 , http://hdl.handle.net/10962/d1002682 , Labor demand -- South Africa , Labor market -- South Africa , Industrial relations -- South Africa , Foreign trade and employment -- South Africa , International economic relations , Free trade -- South Africa , South Africa -- Commercial policy
- Description: This aim of this thesis is to analyse the demand for labour from trade with a selection of South Africa’s trading partners. It is expected that labour demand will be greater in trade with developed blocs. Trade between developing blocs, however, is thought to be more skilled labour intensive and such trade should have greater linkages. This ought to feed through into greater labour demand so that South-South trade may be more ‘labour creating’ than expected. As it is more skill intensive, it may also be more dynamic, which has implications for future growth and development. Factor content methodology is used to assess labour demand. Calculations consider linkages to other sectors (which will increase labour demand) and the use of scarce resources (which has an opportunity cost to labour). The findings support the claim that trade with developing blocs is more professional labour intensive. Evidence that it may be more dynamic and have greater linkages to labour is borne out in exports to SADC. Greater labour demand through linkages, however, is not evident in net trade to SADC. Neither are they of significance in trade with any of the other developing blocs so labour effects due to linkages appear to be negligible. The advantages of South-South trade may rather lie in the dynamic benefits that trade in higher technology goods provides. When scarce resources such as capital and professional labour are taken into account, it is found that labour demand is negative in net trade to all blocs. However, even without the problem of scarce resources, most blocs have a negative demand for labour in net trade. The indication is that with the present trade patterns, South Africa cannot expect trade to increase labour demand. Policy which could improve this situation would be to increase labour force skills, improve the flexibility of the labour market and develop sectors which are both more advanced as well as labour intensive. Despite the negative impact of trade on labour in general, it is found that trade does differ by direction and that for each labour type there are certain blocs where labour demand is positive. This is also the case in net trade for particular sectors. Such information could be used as part of a targeted trade policy to assist in the marketing of particular sectors in trade and also for increasing labour demand for certain labour groups.
- Full Text:
- Date Issued: 2005
- Authors: Cameron, Iona R
- Date: 2005
- Subjects: Labor demand -- South Africa , Labor market -- South Africa , Industrial relations -- South Africa , Foreign trade and employment -- South Africa , International economic relations , Free trade -- South Africa , South Africa -- Commercial policy
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:948 , http://hdl.handle.net/10962/d1002682 , Labor demand -- South Africa , Labor market -- South Africa , Industrial relations -- South Africa , Foreign trade and employment -- South Africa , International economic relations , Free trade -- South Africa , South Africa -- Commercial policy
- Description: This aim of this thesis is to analyse the demand for labour from trade with a selection of South Africa’s trading partners. It is expected that labour demand will be greater in trade with developed blocs. Trade between developing blocs, however, is thought to be more skilled labour intensive and such trade should have greater linkages. This ought to feed through into greater labour demand so that South-South trade may be more ‘labour creating’ than expected. As it is more skill intensive, it may also be more dynamic, which has implications for future growth and development. Factor content methodology is used to assess labour demand. Calculations consider linkages to other sectors (which will increase labour demand) and the use of scarce resources (which has an opportunity cost to labour). The findings support the claim that trade with developing blocs is more professional labour intensive. Evidence that it may be more dynamic and have greater linkages to labour is borne out in exports to SADC. Greater labour demand through linkages, however, is not evident in net trade to SADC. Neither are they of significance in trade with any of the other developing blocs so labour effects due to linkages appear to be negligible. The advantages of South-South trade may rather lie in the dynamic benefits that trade in higher technology goods provides. When scarce resources such as capital and professional labour are taken into account, it is found that labour demand is negative in net trade to all blocs. However, even without the problem of scarce resources, most blocs have a negative demand for labour in net trade. The indication is that with the present trade patterns, South Africa cannot expect trade to increase labour demand. Policy which could improve this situation would be to increase labour force skills, improve the flexibility of the labour market and develop sectors which are both more advanced as well as labour intensive. Despite the negative impact of trade on labour in general, it is found that trade does differ by direction and that for each labour type there are certain blocs where labour demand is positive. This is also the case in net trade for particular sectors. Such information could be used as part of a targeted trade policy to assist in the marketing of particular sectors in trade and also for increasing labour demand for certain labour groups.
- Full Text:
- Date Issued: 2005
The new initiative of the East African Cooperation : opportunities, challenges and prospects
- Authors: Kimemia, Peter Njau
- Date: 2000 , 2013-04-25
- Subjects: International economic relations , Africa, East -- Foreign economic relations , East African Co-operation , Africa, East -- Economic integration
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:1041 , http://hdl.handle.net/10962/d1004743 , International economic relations , Africa, East -- Foreign economic relations , East African Co-operation , Africa, East -- Economic integration
- Description: The landmark inauguration of the East African Cooperation (EAC) on 14 March 1996 brought to the fore some key issues regarding regional economic integration in East Africa, particularly since it signalled the second attempt by Kenya, Uganda and Tanzania to form a regional economic bloc. The EAC's predecessor, the East African Community, had collapsed in 1977 in acrimonious circumstances. Prominent among the issues that led to the collapse of the East African Community was the perception of unequal gains from the integration scheme, with Uganda and Tanzania considering that disproportionate benefits were accruing to Kenya at their expense. With the new initiative, the question emerges as to whether the problems that caused the collapse of the Community will not beset the EAC and subject it to a similar fate. In an attempt to address this question, this study considers some of the theoretical issues relating to regional economic integration among countries at different levels of development, and attempts to provide an analysis of the new initiative of the EAC in the light of this theory and the history of the East African Community. The study also critically examines the objectives of the EAC and the integration strategy adopted by the three countries, and offers suggestions on the way forward. Among the arguments made in this thesis are that, contrary to the suggestions of orthodox static analysis, if the dynamic effects of integration are considered, then there may be important gains which may accrue to integrating states in the developing country context. It is also argued that different levels of development among integrating states need not necessarily be an impediment to economic integration. The study finds that, in spite of the enormous challenges facing the EAC, member states may be better off within the integration scheme than if they acted as individual units in a rapidly globalizing international system.
- Full Text:
- Date Issued: 2000
- Authors: Kimemia, Peter Njau
- Date: 2000 , 2013-04-25
- Subjects: International economic relations , Africa, East -- Foreign economic relations , East African Co-operation , Africa, East -- Economic integration
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:1041 , http://hdl.handle.net/10962/d1004743 , International economic relations , Africa, East -- Foreign economic relations , East African Co-operation , Africa, East -- Economic integration
- Description: The landmark inauguration of the East African Cooperation (EAC) on 14 March 1996 brought to the fore some key issues regarding regional economic integration in East Africa, particularly since it signalled the second attempt by Kenya, Uganda and Tanzania to form a regional economic bloc. The EAC's predecessor, the East African Community, had collapsed in 1977 in acrimonious circumstances. Prominent among the issues that led to the collapse of the East African Community was the perception of unequal gains from the integration scheme, with Uganda and Tanzania considering that disproportionate benefits were accruing to Kenya at their expense. With the new initiative, the question emerges as to whether the problems that caused the collapse of the Community will not beset the EAC and subject it to a similar fate. In an attempt to address this question, this study considers some of the theoretical issues relating to regional economic integration among countries at different levels of development, and attempts to provide an analysis of the new initiative of the EAC in the light of this theory and the history of the East African Community. The study also critically examines the objectives of the EAC and the integration strategy adopted by the three countries, and offers suggestions on the way forward. Among the arguments made in this thesis are that, contrary to the suggestions of orthodox static analysis, if the dynamic effects of integration are considered, then there may be important gains which may accrue to integrating states in the developing country context. It is also argued that different levels of development among integrating states need not necessarily be an impediment to economic integration. The study finds that, in spite of the enormous challenges facing the EAC, member states may be better off within the integration scheme than if they acted as individual units in a rapidly globalizing international system.
- Full Text:
- Date Issued: 2000
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