Macroeconomic convergence in SACU : a panel unit root analysis
- Authors: Maleke, Xaverina Nyatso
- Date: 2010-10-04T07:54:23Z
- Subjects: Southern African Customs Union , Macroeconomics , Convergence (Economics) , Monetary policy , Economic indicators
- Type: Thesis
- Identifier: uj:6910 , http://hdl.handle.net/10210/3421
- Description: M.Comm. , This study uses annual data for five SACU members over the period 1991-2005 to investigate the evidence for convergence in macroeconomic variables. Panel unit root test as an econometric tool is utilised together with other several approaches for this analysis. The results show significant evidence that the SACU countries have reached a reasonable level of convergence on specific macroeconomic variables. This can be attributed to common economic policies and institutional features. It is also evident that the countries that are members of the CMA show a dramatically higher convergence rate. As far as monetary policy is concerned, a high degree of convergence has been achieved in SACU. However, the results show no convergence on fiscal policies. This could be attributed to data constraint on debt to GDP which was used as a proxy for fiscal policy.
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The management of liquid asset and cash reserve requirements in the South African banking sector
- Authors: Jansen van Vuuren, Cornelius Benjamin
- Date: 2012-02-28
- Subjects: Banks and banking , Liquid assets , Monetary policy , Fiscal policy , Financial institutions
- Type: Mini-Dissertation
- Identifier: uj:2087 , http://hdl.handle.net/10210/4433
- Description: M.Comm.
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Die invloed van monetêre veranderlikes op die bate- en lastestruktuur van banke
- Authors: Swartz, Le'ande
- Date: 2015-02-09
- Subjects: Monetary policy , Banks and banking - South Africa
- Type: Thesis
- Identifier: http://ujcontent.uj.ac.za8080/10210/378011 , uj:13205 , http://hdl.handle.net/10210/13231
- Description: M.Com. (Economics) , The aim of this study is to identify the various monetary variables financial risks involved in the structuring of the Asset and Liability portfolio of a bank and to establish their influence on a dynamic financial system. The implementation of a successful Asset and Liability management plan is the ultimate objective of trying to maximize capital gains. Therefore, the success of such a management plan lies in its ability to limit the exposure of the bank to financial risks and monetary variables and finally to increase profitability. In this study an attempt is made to create a portfolio management plan. For this purpose a linear optimization computer nodal, is used. In order to obtain better understanding of the financial system in 'which such a portfolio management plan is implemented, a description of both the international and local financial systems ,including a comparison between the South African and United States markets,is set out in this study. In chapter V the strategy to limit financial risk exposure used in the United States' is discussed. Following a comparison made between the workings of the South African and United States financial markets, the conclusion is that, given a few adjustments, the same strategy could be used in the South African financial system...
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Essays on systemic risk modelling and its impact on the banking sector
- Authors: Manguzvane, Mathias Mandla
- Date: 2020
- Subjects: Financial risk management , Monetary policy , Economic policy
- Language: English
- Type: Doctoral (Thesis)
- Identifier: http://hdl.handle.net/10210/478488 , uj:43245
- Description: Abstract: Financial stability relates to a financial system that is impervious to systemic shocks, accelerates effective financial intermediation and mitigates macroeconomic losses while ensuring that confidence in the financial system is retained. Following the events of the 2007–2009 global financial crisis, which destabilized financial systems, regulators led by the Basel Committee on Banking Supervision embarked on several policy measures that aimed to improve the resilience of financial institutions and the financial system. In so doing, they investigated the problem of systemic risk. In line with this concern, this thesis focuses on modelling different dimensions of systemic risk in the financial system. The first empirical chapter of this thesis, examines which group contributes the most to systemic risk in South Africa between banks and insurers. The chapter builds on the conditional value at risk (CoVaR) method which is based on quantile regression, which nonetheless, has been proven not to show a monotonic relationship with the dependence parameter. For this reason, the generalized autoregressive score dynamics (GAS) of Creal et al. (2013) are adopted to augment the CoVaR. GAS dynamics use the score of the density as a mechanism to update parameters. Our findings show that in South Africa, insurers contribute more to system wide instability compared to banks... , Ph.D. (Economics)
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