• Structural breaks and GARCH models of stock return volatility : the case of South Africa 

  Gupta, Rangan; Mwabutwa, Chance; Babikir, Ali; Owusu-Sekyere, Emmanuel (University of Pretoria, Department of Economics, 2010-12)

  This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests and daily returns for the Johannesburg Stock Exchange (JSE) All Share ...
• The long-run impact of inflation in South Africa 

  Amusa, Kafayat; Gupta, Rangan; Karolia, Shaakira; Kengne, Beatrice D. Simo (University of Pretoria, Department of Economics, 2010-12)

  This paper evaluates the hypothesis of long-run super-neutrality of money (LRSN) within the context of the South African economy. The long-run impact of inflation on the interest rate and subsequently, output is estimated ...
• The long-run relationship between inflation and real stock prices : empirical evidence from South Africa 

  Botes, Mariette; Chesang, Laban K.; Gupta, Rangan; Arjoon, Riona (University of Pretoria, Department of Economics, 2010-12)

  The existing literature on the theoretical relationship between the rate of inflation and real stock prices in an economy has shown varied predictions about the long run effects of inflation on real stock prices. In this ...
• South African stock return predictability in the context of data mining : the role of financial variables and international stock returns 

  Gupta, Rangan; Modise, Mampho P. (University of Pretoria, Department of Economics, 2010-12)

  In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 ...
• Fiscal regime changes and the sustainability of fiscal imbalance in South Africa : a smooth transition error-correction approach 

  Jibao, Samuel Sangawulo; Naraidoo, Ruthira; Schoeman, N.J. (Nicolaas Johannes) (University of Pretoria, Department of Economics, 2010-10)

  In addition to the conventional linear cointegration test, this paper tests the asymmetry relationship between revenue and expenditure i.e. making a distinction between the adjustment of positive (budget surplus) and ...
• Mobilising tax revenue to finance development : the case of property taxation in francophone Africa 

  Monkam, Nara F. (University of Pretoria, Department of Economics, 2010-11)

  In the context of a widespread focus on decentralisation in Africa, there has been an imperative to find suitable ways to maximise potential own revenue sources at all sub-national government levels. This need in particular ...
• Defining the tax revenue base for individuals in the South African economy using a micro-simulating tax model 

  Schoeman, N.J. (Nicolaas Johannes); Van Heerden, Yolande (University of Pretoria, Department of Economics, 2010-10)

  The use of micro-simulation tax modelling techniques is reasonably well-documented in a broad spectrum of literature in the field of public economics. This article is primarily concerned with assessing the revenue base for ...
• Nonlinear tax elasticities and their implications for the structural balance 

  Jooste, Charl; Naraidoo, Ruthira (University of Pretoria, Department of Economics, 2010-10)

  Research on tax elasticities in South Africa mainly employs linear models and shows that taxes evolve symmetrically irrespective of the economic cycle. This study extends this research to show that taxes behave asymmetrically ...
• Fractional multinomial response models with an application to expenditure shares 

  Koch, Steven F. (University of Pretoria, Department of Economics, 2010-10)

  The research presented here considers the performance of the Fractional Multinomial Logit (FMNL) model in explaining expenditure shares using data from the 2005/06 South African Income and Expenditure Survey. The results ...
• Forecasting key macroeconomic variables of the South African economy : a small open economy New Keyenesian DSGE-VAR model 

  Gupta, Rangan; Steinbach, Rudi (University of Pretoria, Department of Economics, 2010-09)

  The paper develops a Small Open Economy New Keynesian DSGE-VAR (SOENKDSGEVAR) model of the South African economy, characterised by incomplete pass-through of exchange rate changes, external habit formation, partial indexation ...
• Semiparametric stochastic frontier analysis of specialist surgeon clinics 

  Koch, Steven F.; Slabbert, Jean D. (University of Pretoria, Department of Economics, 2010-09)

  A purposive sample of South African specialist surgeons was used to nonparametrically estimate production relations for single output and multiple output production processes. The analysis was further extended to ...
• Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes 

  Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; Miller, Stephen M. (University of Pretoria, Department of Economics, 2010-07)

  This paper provides out-of-sample forecasts of Nevada gross gaming revenue and taxable sales using a battery of linear and non-linear forecasting models and univariate and multivariate techniques. The linear models include ...
• Bubbles in South African house prices and their impact on consumption 

  Gupta, Rangan; Kanda, Patrick T.; Das, Sonali (University of Pretoria, Department of Economics, 2010-07)

  This paper tests for house price bubbles in the South African housing market, using quarterly data from 1969:Q2 to 2009:Q3, based on the unit root test developed by Phillips et al. (2010). This test allows us to detect ...
• Valuation ratios and stock price predictability in South Africa : is it there? 

  Gupta, Rangan; Modise, Mampho P. (University of Pretoria, Department of Economics, 2010-07)

  Using monthly South African data for 1990:01-2009:10, this paper, to the best of our knowledge, is the first to examine the predictability of real stock prices based on valuation ratios, namely, price-dividend and ...
• The impact of the international economic crisis on child poverty in South Africa 

  Chitiga-Mabugu, Margaret; Decaluwe, Bernard; Mabugu, Ramos; Maisonnave, Helene; Robichaud, Veronique; Shepherd, Debra; Van der Berg, Servaas; Von Fintel, Dieter (University of Pretoria, Department of Economics, 2010-06)

  This paper reports on a study to provide insights into the magnitude of the shocks associated with the recent global economic crisis in macroeconomic terms in South Africa, the country’s capacity to withstand or cushion ...
• The use of a Marshallian Macroeconomic Model for policy evaluation : case of South Africa 

  Ngoie, Jacques Kibambe; Zellner, Arnold (University of Pretoria, Department of Economics, 2010-06)

  Using a disaggregated Marshallian Macroeconomic Model (MMM-DA), this paper investigates how the adoption of a set of 'free market reforms' may affect the economic growth rate of South Africa. Accounting for possible side ...
• Inflation and economic growth in Latin America : some panel time-series evidence 

  Bittencourt, Manoel (University of Pretoria, Department of Economics, 2010-04)

  In this paper we investigate the role of poor macroeconomic performance, in terms of high rates of inflation, in determining economic growth in four Latin American countries between 1970 and 2007. The empirical results, ...
• Financial development and economic growth in Latin America : Schumpeter is right! 

  Bittencourt, Manoel (University of Pretoria, Department of Economics, 2010-06)

  In this paper we investigate the role of financial development, or more wide-spread access to finance, in generating economic growth in four Latin American countries between 1980 and 2007. The results, based on the ...
• The impact of the global economic crisis on sub-national government – lessons from the Free State Province in South Africa 

  Chitiga-Mabugu, Margaret; Maisonnave, Helene; Mahabir, Jugal; Mabugu, Ramos (University of Pretoria, Department of Economics, 2010-06)

  A provincial computable general equilibrium model for the Free State province in South Africa is used to quantify the channels by which the recent global economic crisis affects the province. The analysis allows focus on ...
• Financial market liberalization, monetary policy and housing price dynamics 

  Gupta, Rangan; Miller, Stephen M.; Van Wyk, Dylan (University of Pretoria, Department of Economics, 2010-03)

  This paper considers how monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector and whether the financial market liberalization of the early 1980’s influenced those dynamics. The analysis ...

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