Investigating the first level of pass -through effects of the SACU region monetary transmission mechanism
- Authors: Mkhombo, Thando
- Date: 2022-04
- Subjects: Monetary unions -- Africa, Southern , Foreign exchange market
- Language: English
- Type: Doctoral theses , text
- Identifier: http://hdl.handle.net/10948/55998 , vital:54562
- Description: The purpose of this thesis is to investigate the first-level pass-through effects of monetary policy transmission in SACU using the wavelet analysis methodology. The thesis comprises four empirical themes. 1. Investigating the time-frequency relationship in the Fisher’s effect for SACU countries. 2. Investigating the time-frequency relationship in the Purchasing Power Parity (PPP) for SACU countries. 3. Investigating the time-frequency relationship between the exchange rate and the stock returns for SACU countries. 4. Investigating the time-frequency relationship between interest rates, exchange rates, and stock returns for SACU countries. Whilst there exists a considerable amount of empirical works which have studied the four themes in SACU countries that are covered in this study, there is a need for more empirical investigation for several reasons. Firstly, a majority of the studies have focused on South Africa with very little empirical literature existing for Botswana and Lesotho. Secondly, the previous SACU based studies present contradicting findings. Thirdly, Most of these studies did not cover the themes comprehensively, as is the case in this study. Finally, to the best of my knowledge, this methodology has not been employed in any SACU related literature until now. Altogether, the thesis bridges the inconsistencies found in previous SACU-related literature and offers fresh implications for policymakers and market participants. From an empirical perspective, the wavelet coherence analysis proves to be a powerful tool in reconciling previous contradicting empirical evidence on the existence of the Fisher effect in SACU countries. From a policy perspective, more fined tuned implications are derived from the findings of the study as wavelets are able to depict a more accurate description of the different first-level monetary transmission relationships. , Thesis (PhD) -- Faculty of Business and Economic Sciences, School for Economics, Development and Tourism, 2022
- Full Text:
- Date Issued: 2022-04
- Authors: Mkhombo, Thando
- Date: 2022-04
- Subjects: Monetary unions -- Africa, Southern , Foreign exchange market
- Language: English
- Type: Doctoral theses , text
- Identifier: http://hdl.handle.net/10948/55998 , vital:54562
- Description: The purpose of this thesis is to investigate the first-level pass-through effects of monetary policy transmission in SACU using the wavelet analysis methodology. The thesis comprises four empirical themes. 1. Investigating the time-frequency relationship in the Fisher’s effect for SACU countries. 2. Investigating the time-frequency relationship in the Purchasing Power Parity (PPP) for SACU countries. 3. Investigating the time-frequency relationship between the exchange rate and the stock returns for SACU countries. 4. Investigating the time-frequency relationship between interest rates, exchange rates, and stock returns for SACU countries. Whilst there exists a considerable amount of empirical works which have studied the four themes in SACU countries that are covered in this study, there is a need for more empirical investigation for several reasons. Firstly, a majority of the studies have focused on South Africa with very little empirical literature existing for Botswana and Lesotho. Secondly, the previous SACU based studies present contradicting findings. Thirdly, Most of these studies did not cover the themes comprehensively, as is the case in this study. Finally, to the best of my knowledge, this methodology has not been employed in any SACU related literature until now. Altogether, the thesis bridges the inconsistencies found in previous SACU-related literature and offers fresh implications for policymakers and market participants. From an empirical perspective, the wavelet coherence analysis proves to be a powerful tool in reconciling previous contradicting empirical evidence on the existence of the Fisher effect in SACU countries. From a policy perspective, more fined tuned implications are derived from the findings of the study as wavelets are able to depict a more accurate description of the different first-level monetary transmission relationships. , Thesis (PhD) -- Faculty of Business and Economic Sciences, School for Economics, Development and Tourism, 2022
- Full Text:
- Date Issued: 2022-04
Modelling daily return variations in developing market currencies
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
- Full Text:
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
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The effects of real exchange rate misalignment on economic growth: a case study of Kenya
- Authors: Ndavi, Theresa Watwii
- Date: 2012
- Subjects: Foreign exchange rate , Foreign exchange market , Economic development
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:8985 , http://hdl.handle.net/10948/d1008109 , Foreign exchange rate , Foreign exchange market , Economic development
- Description: This paper investigates the effects of real exchange rate misalignment (REM) on economic growth in Kenya over the period 1964-2009. The real exchange rate misalignment is defined as the difference between the equilibrium exchange rate and the actual real exchange rate (RER). The equilibrium real exchange rate was obtained by using the purchasing power parity (PPP) approach. To this effect, the study examined the existence or absence of the cointegration between the REM and economic growth, using the autoregressive distributed lag (ARDL) bounds testing approach. The ARDL approach is employed to determine both the long-run and short-run dynamics of the model. The results suggest that no long-run relationship exists between economic growth and the REM in Kenya. The short-run model is then estimated, using the OLS (ordinary least squares) method. From this model, it is determined that trade openness has a positive impact on economic growth, while foreign aid has a negative impact on economic growth; and both are considered empirically significant. The inflation rate and REM both negatively impact economic growth, but are empirically insignificant. All variables corroborate the a priori expectations.
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- Date Issued: 2012
- Authors: Ndavi, Theresa Watwii
- Date: 2012
- Subjects: Foreign exchange rate , Foreign exchange market , Economic development
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:8985 , http://hdl.handle.net/10948/d1008109 , Foreign exchange rate , Foreign exchange market , Economic development
- Description: This paper investigates the effects of real exchange rate misalignment (REM) on economic growth in Kenya over the period 1964-2009. The real exchange rate misalignment is defined as the difference between the equilibrium exchange rate and the actual real exchange rate (RER). The equilibrium real exchange rate was obtained by using the purchasing power parity (PPP) approach. To this effect, the study examined the existence or absence of the cointegration between the REM and economic growth, using the autoregressive distributed lag (ARDL) bounds testing approach. The ARDL approach is employed to determine both the long-run and short-run dynamics of the model. The results suggest that no long-run relationship exists between economic growth and the REM in Kenya. The short-run model is then estimated, using the OLS (ordinary least squares) method. From this model, it is determined that trade openness has a positive impact on economic growth, while foreign aid has a negative impact on economic growth; and both are considered empirically significant. The inflation rate and REM both negatively impact economic growth, but are empirically insignificant. All variables corroborate the a priori expectations.
- Full Text:
- Date Issued: 2012
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