Stock price dynamics and the business cycle in an estimated DSGE model for South Africa
| dc.contributor.author | Paetz, Michael | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2016-11-21T08:40:46Z | |
| dc.date.issued | 2016-09 | |
| dc.description.abstract | This paper develops and estimates an open economy dynamic stochastic general equilibrium model of South Africa. We devote special attention to the impact of stock price wealth effects on output and the interest rate. For this reason we adopt a perpetual youth approach, which allows for a limited decision horizon. We estimate the model using Bayesian techniques and find that (i) about 9 percent of the volatility in production can be explained by financial shocks, and (ii) the SARB does not and should not react on stock price disturbances. Moreover, stock prices seem to be unaffected by shocks from the real economy. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2017-09-30 | |
| dc.description.librarian | hb2016 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/intfin | en_ZA |
| dc.identifier.citation | Paetz, M & Gupta, R 2016, 'Stock price dynamics and the business cycle in an estimated DSGE model for South Africa', Journal of International Financial Markets, Institutions and Money, vol. 44, pp.166-182. | en_ZA |
| dc.identifier.issn | 1042-4431 (print) | |
| dc.identifier.issn | 1873-0612 (online) | |
| dc.identifier.other | 10.1016/j.intfin.2016.05.004 | |
| dc.identifier.uri | http://hdl.handle.net/2263/58210 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2016 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, vol. 44, pp. 166-182, 2016. doi : 10.1016/j.intfin.2016.05.004. | en_ZA |
| dc.subject | Wealth effects | en_ZA |
| dc.subject | Open economy | en_ZA |
| dc.subject | South Africa (SA) | en_ZA |
| dc.subject | Dynamic stochastic general equilibrium (DSGE) model | en_ZA |
| dc.title | Stock price dynamics and the business cycle in an estimated DSGE model for South Africa | en_ZA |
| dc.type | Postprint Article | en_ZA |