Financial integration amongst the SACU countries: evidence from interest rate pass-through analysis
- Authors: Aziakpono, Meshach J
- Date: 2006
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469709 , vital:77287 , https://hdl.handle.net/10520/EJC21430
- Description: Using cointegration and error correction techniques, as well as impulse response analysis, the study examined the extent of interest rates pass-through to measure the degree of financial integration amongst the SACU countries. The results confirm the dominant role of South Africa in the Union and show that there exists a hierarchy of integration of the financial systems of each member state with that of South Africa, with Namibia at the top, followed by Swaziland, then Lesotho, with Botswana at the bottom. The results further suggest that the prevailing integration between the financial systems is mainly as a result of policy convergence, rather than market convergence, which suggest limited arbitrage opportunities between the countries. The lack of arbitrage opportunities is attributed to poor institutional developments and limited investment opportunities in the BLNS countries when compared to South Africa.
- Full Text:
- Date Issued: 2006
- Authors: Aziakpono, Meshach J
- Date: 2006
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469709 , vital:77287 , https://hdl.handle.net/10520/EJC21430
- Description: Using cointegration and error correction techniques, as well as impulse response analysis, the study examined the extent of interest rates pass-through to measure the degree of financial integration amongst the SACU countries. The results confirm the dominant role of South Africa in the Union and show that there exists a hierarchy of integration of the financial systems of each member state with that of South Africa, with Namibia at the top, followed by Swaziland, then Lesotho, with Botswana at the bottom. The results further suggest that the prevailing integration between the financial systems is mainly as a result of policy convergence, rather than market convergence, which suggest limited arbitrage opportunities between the countries. The lack of arbitrage opportunities is attributed to poor institutional developments and limited investment opportunities in the BLNS countries when compared to South Africa.
- Full Text:
- Date Issued: 2006
Real exchange rate volatility and its effect on trade flows: New evidence from South Africa
- Takaendesa, Peter, Tsheole, Thapelo, Aziakpono, Meshach J
- Authors: Takaendesa, Peter , Tsheole, Thapelo , Aziakpono, Meshach J
- Date: 2006
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469742 , vital:77290 , https://hdl.handle.net/10520/EJC21431
- Description: This paper empirically re-examines the impact of real exchange rate volatility on South Africa's export flows to the United States for the period 1992:1 - 2004:4, using the two-country model of international trade. The exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model is used to measure real exchange rate volatility. Cointegration and error- correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. Further, variance decomposition analysis is used to show the dynamic adjustments of real exports to shocks in the fundamentals and the proportion thereof. The results obtained in this paper summarily provide evidence that real exchange rate volatility has a negative effect on real exports.
- Full Text:
- Date Issued: 2006
- Authors: Takaendesa, Peter , Tsheole, Thapelo , Aziakpono, Meshach J
- Date: 2006
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469742 , vital:77290 , https://hdl.handle.net/10520/EJC21431
- Description: This paper empirically re-examines the impact of real exchange rate volatility on South Africa's export flows to the United States for the period 1992:1 - 2004:4, using the two-country model of international trade. The exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model is used to measure real exchange rate volatility. Cointegration and error- correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. Further, variance decomposition analysis is used to show the dynamic adjustments of real exports to shocks in the fundamentals and the proportion thereof. The results obtained in this paper summarily provide evidence that real exchange rate volatility has a negative effect on real exports.
- Full Text:
- Date Issued: 2006
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