- Title
- Investigating the first level of pass -through effects of the SACU region monetary transmission mechanism
- Creator
- Mkhombo, Thando
- Subject
- Monetary unions -- Africa, Southern
- Subject
- Foreign exchange market
- Date Issued
- 2022-04
- Date
- 2022-04
- Type
- Doctoral theses
- Type
- text
- Identifier
- http://hdl.handle.net/10948/55998
- Identifier
- 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.
- Description
- Thesis (PhD) -- Faculty of Business and Economic Sciences, School for Economics, Development and Tourism, 2022
- Format
- computer
- Format
- online resource
- Format
- application/pdf
- Format
- 1 online resource (xvii,206 pages)
- Format
- Publisher
- Nelson Mandela University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela University
- Rights
- All Rights Reserved
- Rights
- Open Access
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| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | Mkhombo, T.pdf | 7 MB | Adobe Acrobat PDF | View Details Download |