dc.contributor.author |
Aye, Goodness Chioma
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|
dc.contributor.author |
Gupta, Rangan
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|
dc.contributor.author |
Modise, Mampho P.
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dc.date.accessioned |
2015-08-21T08:00:57Z |
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dc.date.available |
2015-08-21T08:00:57Z |
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dc.date.issued |
2015-08 |
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dc.description.abstract |
This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real consumption growth rate, the nominal three-months Treasury bill rate and the growth rate of real stock prices. We find that the impact of a real stock price shocks on consumption is in general positive, with large and significant effects observed at the one-quarter ahead horizon. However, there is also evidence of significant negative spillovers from the stock market to consumption during the financial crisis, at both short and long-horizons. Monetary policy response to stock price shocks has been persistent, and strong especially post-the financial liberalization in 1985, but became weaker during the financial crisis. Overall, we provide evidence of significant time-varying spillovers on consumption and interest rate from the stock market. |
en_ZA |
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://emf.sagepub.com |
en_ZA |
dc.identifier.citation |
Aye, GC, Gupta, R & Modise, MP 2015, 'Do stock prices impact consumption and interest rate in South Africa? Evidence from a time-varying vector autoregressive model', Journal of Emerging Market Finance, vol. 14, no. 2, pp. 176-196. |
en_ZA |
dc.identifier.issn |
0972-6527 (print) |
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dc.identifier.issn |
0973-0710 (online) |
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dc.identifier.other |
10.1177/0972652715584267 |
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dc.identifier.uri |
http://hdl.handle.net/2263/49419 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Sage |
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dc.rights |
© 2015 Institute for Financial Management and Research. Sage Publications. |
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dc.subject |
Bayesian inference |
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dc.subject |
Consumption |
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dc.subject |
Stock price |
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dc.subject |
Markov Chain Monte Carlo |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Structural vector autoregression |
en_ZA |
dc.subject |
Stochastic volatility |
en_ZA |
dc.subject |
Time-varying parameter (TVP) |
en_ZA |
dc.subject |
Time-varying parameter vector autoregressive (TVP-VAR) |
en_ZA |
dc.title |
Do stock prices impact consumption and interest rate in South Africa? Evidence from a time-varying vector autoregressive model |
en_ZA |
dc.type |
Postprint Article |
en_ZA |