An evaluation of purchasing power parity and the monetary model as explanations of rand exchange rate behaviour
- Authors: Weeks, Keith Patrick
- Date: 2015-02-11
- Subjects: Purchasing power parity , Foreign exchange rates
- Type: Thesis
- Identifier: uj:13259 , http://hdl.handle.net/10210/13281
- Description: M.Com. (Economics) , This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...
- Full Text:
- Authors: Weeks, Keith Patrick
- Date: 2015-02-11
- Subjects: Purchasing power parity , Foreign exchange rates
- Type: Thesis
- Identifier: uj:13259 , http://hdl.handle.net/10210/13281
- Description: M.Com. (Economics) , This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...
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Transmission of volatility shocks between the equity and foreign exchange markets in South Africa
- Authors: Bonga-Bonga, Lumengo
- Date: 2013
- Subjects: Stock market volatility , Foreign exchange rates , Equity
- Type: Article
- Identifier: uj:5988 , ISSN 2157-8834 , http://hdl.handle.net/10210/8617
- Description: The paper assesses the dynamic interaction between exchange rates and stock market volatility in South Africa by making use of the generalised impulse response function obtained from a bivariate VAR model. Volatility variables in the VAR system are obtained from a family of GARCH models based on criteria such as covariance stationarity and leverage effects. The findings of the paper show that foreign exchange conditional volatility responds positively to volatility shocks to the equity market. Nonetheless, the response of the equity market conditional volatility to volatility shocks to the foreign exchange market is short-lived and neutral for most of the time horizon periods. The paper attributes this finding mainly to the extent of foreign participation
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- Authors: Bonga-Bonga, Lumengo
- Date: 2013
- Subjects: Stock market volatility , Foreign exchange rates , Equity
- Type: Article
- Identifier: uj:5988 , ISSN 2157-8834 , http://hdl.handle.net/10210/8617
- Description: The paper assesses the dynamic interaction between exchange rates and stock market volatility in South Africa by making use of the generalised impulse response function obtained from a bivariate VAR model. Volatility variables in the VAR system are obtained from a family of GARCH models based on criteria such as covariance stationarity and leverage effects. The findings of the paper show that foreign exchange conditional volatility responds positively to volatility shocks to the equity market. Nonetheless, the response of the equity market conditional volatility to volatility shocks to the foreign exchange market is short-lived and neutral for most of the time horizon periods. The paper attributes this finding mainly to the extent of foreign participation
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Modelling the relationship between the exchange rate and the trade balance in South Africa
- Chiloane, Molebatsi Lebogang
- Authors: Chiloane, Molebatsi Lebogang
- Date: 2013-07-18
- Subjects: Balance of payments , Balance of trade , Foreign exchange rates
- Type: Thesis
- Identifier: uj:7658 , http://hdl.handle.net/10210/8527
- Description: M.Comm. (Economic Development and Policy Issues) , The response of the trade balance to changes in currency movements has gained increasing interest among researchers, especially since the fall of the Bretton Woods system. Previous empirical studies that examined the response of the trade balance to exchange rate changes in South Africa employed aggregate trade data and provided mixed results. This dissertation uses disaggregated data with specific focus on the manufacturing sector. The purpose is to investigate the short and long run effects of the real exchange rate of the rand on the South African manufacturing trade balance by adopting the elasticity approach of balance of payments adjustment. Using quarterly data from 1995 to 2010, the study seeks to test the existence of the J-curve effect and to show whether the Marshal–Lerner condition holds in the manufacturing sector. Johansen cointegration and vector error correction modelling techniques are employed in attaining the objectives of this study. In addition, impulse response functions are used to determine how the manufacturing trade balance responds following shocks in its main determinants. The results show that real effective exchange rate (REER), real domestic and foreign income levels are important long run determinants of the manufacturing trade balance, and that a long run equilibrium relationship exists among these variables. A long run negative relationship was found between the trade balance and the REER and between the trade balance and real domestic income. In contrast, real foreign income was found to be positively related to the domestic manufacturing trade balance in the long run. The short run model reveals that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance. This, together with the long run findings, suggests evidence of the existence of the J-curve in the South African manufacturing trade balance. The long run dynamics suggest that the Marshal–Lerner condition holds. This dissertation found evidence that a depreciation of the rand is necessary to improve the manufacturing trade balance.
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- Authors: Chiloane, Molebatsi Lebogang
- Date: 2013-07-18
- Subjects: Balance of payments , Balance of trade , Foreign exchange rates
- Type: Thesis
- Identifier: uj:7658 , http://hdl.handle.net/10210/8527
- Description: M.Comm. (Economic Development and Policy Issues) , The response of the trade balance to changes in currency movements has gained increasing interest among researchers, especially since the fall of the Bretton Woods system. Previous empirical studies that examined the response of the trade balance to exchange rate changes in South Africa employed aggregate trade data and provided mixed results. This dissertation uses disaggregated data with specific focus on the manufacturing sector. The purpose is to investigate the short and long run effects of the real exchange rate of the rand on the South African manufacturing trade balance by adopting the elasticity approach of balance of payments adjustment. Using quarterly data from 1995 to 2010, the study seeks to test the existence of the J-curve effect and to show whether the Marshal–Lerner condition holds in the manufacturing sector. Johansen cointegration and vector error correction modelling techniques are employed in attaining the objectives of this study. In addition, impulse response functions are used to determine how the manufacturing trade balance responds following shocks in its main determinants. The results show that real effective exchange rate (REER), real domestic and foreign income levels are important long run determinants of the manufacturing trade balance, and that a long run equilibrium relationship exists among these variables. A long run negative relationship was found between the trade balance and the REER and between the trade balance and real domestic income. In contrast, real foreign income was found to be positively related to the domestic manufacturing trade balance in the long run. The short run model reveals that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance. This, together with the long run findings, suggests evidence of the existence of the J-curve in the South African manufacturing trade balance. The long run dynamics suggest that the Marshal–Lerner condition holds. This dissertation found evidence that a depreciation of the rand is necessary to improve the manufacturing trade balance.
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The impact of the rand exchange rate volatility on the pricing strategies in the apparel retail sector
- Authors: Mphanje, Hlompho
- Date: 2016
- Subjects: Pricing , Foreign exchange rates
- Language: English
- Type: Masters (Thesis)
- Identifier: http://ujcontent.uj.ac.za8080/10210/369177 , http://hdl.handle.net/10210/124227 , uj:20892
- Description: Abstract: Pricing strategies have become one of the most important aspects of any business as these give a reflection on everything that a business does, from inception of product development to the final product. Furthermore, price optimisation has the highest impact on increasing company profits. However, these profits are affected by price increases stemming from an increase in input costs. On the other hand, price decreases are often caused by the marking down of non-performing products or reducing prices on the back of a reduction in competitor prices. Apparel retailers sometimes import textiles and clothing in order to produce and change the styling of garments locally. However, imports of clothing have been increasing steadily, which has reduced the demand for textiles from domestic clothing manufactures. The quantity of textile and apparel that is imported is affected by the unpredictable change in dollar/rand exchange rate. This forces apparel retailers to revise their pricing strategies and amend prices and sell in order to maximise revenue. The aim of this paper is to analyse the impact of the rand exchange rate volatility on pricing strategies within the apparel retail sector. In agreement with existing literature, the paper finds that volatility exhibits a negative relationship with price. The Engle Granger single equation test for cointegration as well as error correction model (ECM) were used to test whether there are existing long-run and short-run relationships between the following variables: logged Dunns retail selling price (LDRSP) and volatility of exchange rate (VOL), consumer price index (CPI), Dunns cost of sales (DCS), Dunns quantity demanded or sold (DNQ), producer price index (PPI), Edgars retail selling price (ERS), Edgars cost of sales (ECS), exchange rate (EX). The ECM results showed a negative and significant coefficient of adjustment- with a quick adjustment back to equilibrium level. Vector error correction model (VECM) was estimated in order to produce impulse response functions (IRP). These showed that shocks in all the exogenous variables considered do not exhibit permanent effects on prices. When the shocks are experienced or felt by apparel retailers, Dunns retail selling prices increase and decrease accordingly, and then revert to equilibrium level over time. , M.Com.
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- Authors: Mphanje, Hlompho
- Date: 2016
- Subjects: Pricing , Foreign exchange rates
- Language: English
- Type: Masters (Thesis)
- Identifier: http://ujcontent.uj.ac.za8080/10210/369177 , http://hdl.handle.net/10210/124227 , uj:20892
- Description: Abstract: Pricing strategies have become one of the most important aspects of any business as these give a reflection on everything that a business does, from inception of product development to the final product. Furthermore, price optimisation has the highest impact on increasing company profits. However, these profits are affected by price increases stemming from an increase in input costs. On the other hand, price decreases are often caused by the marking down of non-performing products or reducing prices on the back of a reduction in competitor prices. Apparel retailers sometimes import textiles and clothing in order to produce and change the styling of garments locally. However, imports of clothing have been increasing steadily, which has reduced the demand for textiles from domestic clothing manufactures. The quantity of textile and apparel that is imported is affected by the unpredictable change in dollar/rand exchange rate. This forces apparel retailers to revise their pricing strategies and amend prices and sell in order to maximise revenue. The aim of this paper is to analyse the impact of the rand exchange rate volatility on pricing strategies within the apparel retail sector. In agreement with existing literature, the paper finds that volatility exhibits a negative relationship with price. The Engle Granger single equation test for cointegration as well as error correction model (ECM) were used to test whether there are existing long-run and short-run relationships between the following variables: logged Dunns retail selling price (LDRSP) and volatility of exchange rate (VOL), consumer price index (CPI), Dunns cost of sales (DCS), Dunns quantity demanded or sold (DNQ), producer price index (PPI), Edgars retail selling price (ERS), Edgars cost of sales (ECS), exchange rate (EX). The ECM results showed a negative and significant coefficient of adjustment- with a quick adjustment back to equilibrium level. Vector error correction model (VECM) was estimated in order to produce impulse response functions (IRP). These showed that shocks in all the exogenous variables considered do not exhibit permanent effects on prices. When the shocks are experienced or felt by apparel retailers, Dunns retail selling prices increase and decrease accordingly, and then revert to equilibrium level over time. , M.Com.
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Estimating equilibrium exchange rates in South Africa
- Authors: Mabe, Queen Magadi
- Date: 2013-12-09
- Subjects: Foreign exchange rates , International Monetary Fund
- Type: Thesis
- Identifier: uj:7851 , http://hdl.handle.net/10210/8745
- Description: M.Comm. (Financial Economics) , In this study, the equilibrium exchange rate path of the rand/dollar real exchange rate between 1994 and the second quarter of 2011 is estimated. This is done by employing a number of methods, namely, Fundamental Equilibrium Exchange Rates (FEER), Behavioural Equilibrium Exchange Rates (BEER), Natural Real Exchange Rate (NATREX) and the Corbae-Oularis filter method. What stands out in the study is that all of the methods lead to results that are close in proximity, with the Corbae-Oularis method as an exception. In the study it is established that during the period when the ZAR.USD real exchange rate was
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- Authors: Mabe, Queen Magadi
- Date: 2013-12-09
- Subjects: Foreign exchange rates , International Monetary Fund
- Type: Thesis
- Identifier: uj:7851 , http://hdl.handle.net/10210/8745
- Description: M.Comm. (Financial Economics) , In this study, the equilibrium exchange rate path of the rand/dollar real exchange rate between 1994 and the second quarter of 2011 is estimated. This is done by employing a number of methods, namely, Fundamental Equilibrium Exchange Rates (FEER), Behavioural Equilibrium Exchange Rates (BEER), Natural Real Exchange Rate (NATREX) and the Corbae-Oularis filter method. What stands out in the study is that all of the methods lead to results that are close in proximity, with the Corbae-Oularis method as an exception. In the study it is established that during the period when the ZAR.USD real exchange rate was
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The impact of exchange rate volatility on capital flows in BRICS economies
- Authors: Gnagne, Pascal Xavier
- Date: 2017
- Subjects: Foreign exchange rates , Capital movements , BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272301 , uj:28979
- Description: M.Com. (Financial Economics) , Abstract: This study intends to analyse the impact of exchange rate risk on equity returns and bond yields as well as the volatility spillover between the foreign exchange, equity and bond markets in the BRICS economies. To reach this objective, a multivariate GARCH-M with BEKK specifications is applied on weekly data obtained from Thomson Reuters DataStream. The dataset consists of each BRICS country’s exchange rate, namely the Brazilian real, Russian ruble, Indian rupee, Chinese yuan and South African rand, against the US dollar. In addition, the study makes use of stock market equity indices of each BRICS country, namely the Brazilian Bovespa Index; Russian Trading System Index (RTSI), National Stock Exchange (NSE) NIFTY 50 Index for India; Shanghai Stock Exchange Composite Index for China and FTSE/JSE All Share Index for South Africa. The other databases used are the ten-year government bond yields for each BRICS country, with sample data depending on availability, thus varying for each country: data for India and South Africa span from November 1996 to November 2016, Brazil’s data are from January 2006 to November 2016; Russia’s data span from April 2003 to November 2016 and the period of China’s data are from June 2002 to November 2016. The results of estimation show that exchange rate volatility has a positive impact on ten-year bond yields in all BRICS countries except in South Africa, where the volatility of exchange rate has a negative impact. In addition, volatility to exchange rate positively influences equity returns in Brazil, India and South Africa, while the influence on Chinese and Russian equity returns is negative. These findings show that equity returns increase with the increase in exchange rate volatility in Brazil, India and South Africa, and decrease in China and Russia. Furthermore, the results on volatility spillovers between the equity returns, bond yields and foreign exchange markets show that the transmissions are from capital markets to foreign exchange market in South Africa, while the volatility to currency markets influence capital markets in Russia. The results of the study give evidence of bidirectional volatility transmissions in Brazil and China. Surprisingly, in India, volatility is transmitted from foreign exchange markets to bond markets, while changes to equity influence the foreign exchange markets. S&P 500 returns positively affect equity returns in all five emerging nations, indicating that a one percent increase in S&P 500 returns yields to a rise in equity returns in...
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- Authors: Gnagne, Pascal Xavier
- Date: 2017
- Subjects: Foreign exchange rates , Capital movements , BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272301 , uj:28979
- Description: M.Com. (Financial Economics) , Abstract: This study intends to analyse the impact of exchange rate risk on equity returns and bond yields as well as the volatility spillover between the foreign exchange, equity and bond markets in the BRICS economies. To reach this objective, a multivariate GARCH-M with BEKK specifications is applied on weekly data obtained from Thomson Reuters DataStream. The dataset consists of each BRICS country’s exchange rate, namely the Brazilian real, Russian ruble, Indian rupee, Chinese yuan and South African rand, against the US dollar. In addition, the study makes use of stock market equity indices of each BRICS country, namely the Brazilian Bovespa Index; Russian Trading System Index (RTSI), National Stock Exchange (NSE) NIFTY 50 Index for India; Shanghai Stock Exchange Composite Index for China and FTSE/JSE All Share Index for South Africa. The other databases used are the ten-year government bond yields for each BRICS country, with sample data depending on availability, thus varying for each country: data for India and South Africa span from November 1996 to November 2016, Brazil’s data are from January 2006 to November 2016; Russia’s data span from April 2003 to November 2016 and the period of China’s data are from June 2002 to November 2016. The results of estimation show that exchange rate volatility has a positive impact on ten-year bond yields in all BRICS countries except in South Africa, where the volatility of exchange rate has a negative impact. In addition, volatility to exchange rate positively influences equity returns in Brazil, India and South Africa, while the influence on Chinese and Russian equity returns is negative. These findings show that equity returns increase with the increase in exchange rate volatility in Brazil, India and South Africa, and decrease in China and Russia. Furthermore, the results on volatility spillovers between the equity returns, bond yields and foreign exchange markets show that the transmissions are from capital markets to foreign exchange market in South Africa, while the volatility to currency markets influence capital markets in Russia. The results of the study give evidence of bidirectional volatility transmissions in Brazil and China. Surprisingly, in India, volatility is transmitted from foreign exchange markets to bond markets, while changes to equity influence the foreign exchange markets. S&P 500 returns positively affect equity returns in all five emerging nations, indicating that a one percent increase in S&P 500 returns yields to a rise in equity returns in...
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The impact of exchange rate volatility on emerging market exports : a comparative study
- Authors: Khosa, Matimba Johannes
- Date: 2013-05-01
- Subjects: Exchange rate volatility , Generalised Autoregressive Conditional Heteroscedasticity , Foreign exchange rates , International economic relations , International trade
- Type: Thesis
- Identifier: http://ujcontent.uj.ac.za8080/10210/370718 , uj:7476 , http://hdl.handle.net/10210/8334
- Description: M.Com. (Economic Development and Policy Issues) , This research analyses the effect of exchange rate volatility on exports using a sample of nine emerging countries – Argentina, Brazil, India, Indonesia, Mexico, Malaysia, Poland, South Africa and Thailand – between 1995 and 2010. The study uses panel data models, with a standard exports equation with exports performance determined by exchange rate volatility, the level of exchange rate, demand conditions in major countries as well as terms of trade. Exchange rate volatility is measured by Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and conventional standard deviation in order to determine if the instrument of volatility used influences the nature of the relationship between exchange rate volatility and exports. The results show that exchange rate volatility has a significant negative effect on the performance of exports regardless of the measure of volatility used. The Pedroni residual cointegration method was used to test for panel cointegration to determine if there is a long-run relationship among the variables, and the test showed that a long-run relationship does exists. Generally, the study concludes that policy mix that will reduce exchange rate volatility (such as managed exchange rate regimes) and relatively competitive exchange rates are essential for emerging markets in order to sustain their exports performance.
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- Authors: Khosa, Matimba Johannes
- Date: 2013-05-01
- Subjects: Exchange rate volatility , Generalised Autoregressive Conditional Heteroscedasticity , Foreign exchange rates , International economic relations , International trade
- Type: Thesis
- Identifier: http://ujcontent.uj.ac.za8080/10210/370718 , uj:7476 , http://hdl.handle.net/10210/8334
- Description: M.Com. (Economic Development and Policy Issues) , This research analyses the effect of exchange rate volatility on exports using a sample of nine emerging countries – Argentina, Brazil, India, Indonesia, Mexico, Malaysia, Poland, South Africa and Thailand – between 1995 and 2010. The study uses panel data models, with a standard exports equation with exports performance determined by exchange rate volatility, the level of exchange rate, demand conditions in major countries as well as terms of trade. Exchange rate volatility is measured by Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and conventional standard deviation in order to determine if the instrument of volatility used influences the nature of the relationship between exchange rate volatility and exports. The results show that exchange rate volatility has a significant negative effect on the performance of exports regardless of the measure of volatility used. The Pedroni residual cointegration method was used to test for panel cointegration to determine if there is a long-run relationship among the variables, and the test showed that a long-run relationship does exists. Generally, the study concludes that policy mix that will reduce exchange rate volatility (such as managed exchange rate regimes) and relatively competitive exchange rates are essential for emerging markets in order to sustain their exports performance.
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Capital flows, emerging markets and South Africa
- Authors: Mabunda, Joyce
- Date: 2012-08-23
- Subjects: Capital movements , Macroeconomics , Foreign exchange rates , Fiscal policy
- Type: Thesis
- Identifier: uj:3076 , http://hdl.handle.net/10210/6496
- Description: M.A. , Financial markets are rapidly integrating into a single global market place, and developing countries including South Africa, are increasingly part of this process. The process is being driven by both the push and the pull factors in both developed and developing countries. Nevertheless, the overwhelming majority of the developing countries still need to create the conditions to attract long-term capital flows. Although South Africa has been attracting capital flows since the 1990s, the level is not sustainable because it mainly attracts shortterm capital. It has failed to attract long-term capital on a sustainable basis because of economic and political crises facing the country. Thus, the South African government needs to build the kind of macroeconomic, regulatory and institutional environment that channels this private capital into broad - based and sustainable growth.
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- Authors: Mabunda, Joyce
- Date: 2012-08-23
- Subjects: Capital movements , Macroeconomics , Foreign exchange rates , Fiscal policy
- Type: Thesis
- Identifier: uj:3076 , http://hdl.handle.net/10210/6496
- Description: M.A. , Financial markets are rapidly integrating into a single global market place, and developing countries including South Africa, are increasingly part of this process. The process is being driven by both the push and the pull factors in both developed and developing countries. Nevertheless, the overwhelming majority of the developing countries still need to create the conditions to attract long-term capital flows. Although South Africa has been attracting capital flows since the 1990s, the level is not sustainable because it mainly attracts shortterm capital. It has failed to attract long-term capital on a sustainable basis because of economic and political crises facing the country. Thus, the South African government needs to build the kind of macroeconomic, regulatory and institutional environment that channels this private capital into broad - based and sustainable growth.
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Die vooruitskatting van wisselkoerse : 'n kritiese evaluering
- Authors: Thorn, M.E.
- Date: 2014-08-05
- Subjects: Foreign exchange rates
- Type: Thesis
- Identifier: uj:11983 , http://hdl.handle.net/10210/11710
- Description: M.Com. , Please refer to full text to view abstract
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- Authors: Thorn, M.E.
- Date: 2014-08-05
- Subjects: Foreign exchange rates
- Type: Thesis
- Identifier: uj:11983 , http://hdl.handle.net/10210/11710
- Description: M.Com. , Please refer to full text to view abstract
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The co-movement between copper prices and the exchange rate of five major commodity currencies
- Authors: Le Roux, Corlise
- Date: 2013-07-24
- Subjects: Foreign exchange rates , Copper prices
- Type: Thesis
- Identifier: uj:7666 , http://hdl.handle.net/10210/8534
- Description: M.Comm. (Financial Management) , In this study, the relationship between movements in the exchange rates of five commodity currencies (those of Australia, Canada, Chile, China, and South Africa) in terms of the United States Dollar (USD) and the spot USD copper price was analysed. Correlation and simple regression analysis was used to investigate these relationships. The regression analysis included the use of lagged variables. It was found that four of the five commodity currency exchange rates have a strong co-movement relationship with copper price (i.e. the Australian Dollar, Canadian Dollar, Chilean Peso, and the South African Rand). The only exchange rate that does not have a co-movement relationship with copper prices is the Chinese Yuan.
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- Authors: Le Roux, Corlise
- Date: 2013-07-24
- Subjects: Foreign exchange rates , Copper prices
- Type: Thesis
- Identifier: uj:7666 , http://hdl.handle.net/10210/8534
- Description: M.Comm. (Financial Management) , In this study, the relationship between movements in the exchange rates of five commodity currencies (those of Australia, Canada, Chile, China, and South Africa) in terms of the United States Dollar (USD) and the spot USD copper price was analysed. Correlation and simple regression analysis was used to investigate these relationships. The regression analysis included the use of lagged variables. It was found that four of the five commodity currency exchange rates have a strong co-movement relationship with copper price (i.e. the Australian Dollar, Canadian Dollar, Chilean Peso, and the South African Rand). The only exchange rate that does not have a co-movement relationship with copper prices is the Chinese Yuan.
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Does uncertainty predict cryptocurrency returns? A copula based approach
- Authors: Koumba, Ur Armand
- Date: 2018
- Subjects: Cryptocurrencies , Business cycles , Foreign exchange rates
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/295891 , uj:32230
- Description: M.Com. (Financial Economics) , Abstract: Please refer to full text to view abstract.
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- Authors: Koumba, Ur Armand
- Date: 2018
- Subjects: Cryptocurrencies , Business cycles , Foreign exchange rates
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/295891 , uj:32230
- Description: M.Com. (Financial Economics) , Abstract: Please refer to full text to view abstract.
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Impact of systemic risk measure on portfolio diversification : evidence from the JSE Limited
- Authors: Kitenge, Kipupi
- Date: 2019
- Subjects: Foreign exchange rates , Risk management , Portfolio management , Diversification in industry , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/456838 , uj:40484
- Description: Abstract: This study develops a framework for the diversification of a domestic portfolio exposed to systemic risk within a common financial market. The developed framework intends to examine the optimal allocation problem and the investors’ risk tolerance in two financial market uncertainty regimes obtained from the systemic risk measure. To this end, the study makes use of the Conditional Value at Risk (CVaR) based on the Extreme Value Theory (EVT) and the Generalized Autoregressive Heteroscedasticity (GARCH) model. The CVaR is thereafter used to create two sub-portfolios; i.e., the Adverse Returns Portfolio (ARP) and the Favorable Returns Portfolio (FRP). The ARP1 and the FRP2 represent the set of portfolio returns observed during a financial crisis due to systemic risk, and during normal financial market period respectively. A quadratic Mean-Variance portfolio optimization problem is then applied to these two types of portfolio returns in order to identify investment allocations and performances during financial crisis resulting from a systemic risk and during normal financial market period. Using a sample of daily log return series of nine Johannesburg Stock Exchange (JSE) sector indices; the findings of this study show that JSE sectors that are positively correlated with the benchmark index (All-Share Index: ALSI) tend to contribute more in maximizing the ARP while the sectors that are negatively correlated with the ALSI tend to maximize the FRP. Investors who are aware of the behavior of these two portfolios can protect their investment capital during financial crisis resulting from a systemic risk. Furthermore, the study finds that the efficient ARP has better performance measures than the benchmark. However, the inverse is true for the FRP. These findings are consistent with different levels of risk aversion considered in this study. , M.Com. (Financial Economics)
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- Authors: Kitenge, Kipupi
- Date: 2019
- Subjects: Foreign exchange rates , Risk management , Portfolio management , Diversification in industry , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/456838 , uj:40484
- Description: Abstract: This study develops a framework for the diversification of a domestic portfolio exposed to systemic risk within a common financial market. The developed framework intends to examine the optimal allocation problem and the investors’ risk tolerance in two financial market uncertainty regimes obtained from the systemic risk measure. To this end, the study makes use of the Conditional Value at Risk (CVaR) based on the Extreme Value Theory (EVT) and the Generalized Autoregressive Heteroscedasticity (GARCH) model. The CVaR is thereafter used to create two sub-portfolios; i.e., the Adverse Returns Portfolio (ARP) and the Favorable Returns Portfolio (FRP). The ARP1 and the FRP2 represent the set of portfolio returns observed during a financial crisis due to systemic risk, and during normal financial market period respectively. A quadratic Mean-Variance portfolio optimization problem is then applied to these two types of portfolio returns in order to identify investment allocations and performances during financial crisis resulting from a systemic risk and during normal financial market period. Using a sample of daily log return series of nine Johannesburg Stock Exchange (JSE) sector indices; the findings of this study show that JSE sectors that are positively correlated with the benchmark index (All-Share Index: ALSI) tend to contribute more in maximizing the ARP while the sectors that are negatively correlated with the ALSI tend to maximize the FRP. Investors who are aware of the behavior of these two portfolios can protect their investment capital during financial crisis resulting from a systemic risk. Furthermore, the study finds that the efficient ARP has better performance measures than the benchmark. However, the inverse is true for the FRP. These findings are consistent with different levels of risk aversion considered in this study. , M.Com. (Financial Economics)
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