The South African economy and internationally fuelled business cycles: an econometric analysis
- Authors: Conradie, Tiaan
- Date: 2015
- Subjects: Business cycles -- Econometric models , Econometrics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/4354 , vital:20588
- Description: The objective of this study is to understand the dynamics of international monetary policy and the relationship that exists between larger more developed economies and smaller less developed economies within a policy context. The 2008 financial crisis has caused intense revival of Austrian economics due to the monetary nature of the recession caused as a subsequent effect of the stock/housing market collapse that occurred in 2007. One factor of the 2008 financial crisis that created intense concern was the extent to which the slowdown in economic activity was able to be transmitted across international borders. The South African economy was not isolated from the financial crisis by any means and experienced a significant slowdown in economic growth. By making use of data collected from the Federal Reserve Bank of St. Louis and the appropriate econometric techniques, a model is developed to study the dynamics between United States monetary policy and the South African economy. The Austrian School provides a sound theoretical framework that allows for the specification of testable propositions to verify the validity of an “Austrian” internationally transmitted business cycle. Using United States money supply, South African private consumption, South African gross fixed capital formation and the South African current account, a vector autoregressive model is specified to analyse the dynamics behind the United States and South African economy. The results of the empirical test all confirm the theoretical prescriptions developed in the literature review that monetary growth in the United States raise consumption, investment and improve the current account balance in the South African economy. This is a novel result for this study as it confirms that a large central economy has the ability to trigger economic expansions in a peripheral economy. This study further points out the inefficiencies associated with Keynesian style policy making and propagates for a movement towards a more prudent Austrian approach. Keynesian policy making through demand oriented policies have historically been more concerned with “curing” economic instability rather than preventing it. In light of this, the need for economic reform specifically within the manner in which monetary policy is conducted is evident. Aggressive monetary policy in the wake of economic slowdown is no longer effective at creating a sustainable and stable economic environment. A movement away from the monopolization of money and central economic decision making is necessary if the global economy wishes to reach economic permanence.
- Full Text:
- Date Issued: 2015
- Authors: Conradie, Tiaan
- Date: 2015
- Subjects: Business cycles -- Econometric models , Econometrics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/4354 , vital:20588
- Description: The objective of this study is to understand the dynamics of international monetary policy and the relationship that exists between larger more developed economies and smaller less developed economies within a policy context. The 2008 financial crisis has caused intense revival of Austrian economics due to the monetary nature of the recession caused as a subsequent effect of the stock/housing market collapse that occurred in 2007. One factor of the 2008 financial crisis that created intense concern was the extent to which the slowdown in economic activity was able to be transmitted across international borders. The South African economy was not isolated from the financial crisis by any means and experienced a significant slowdown in economic growth. By making use of data collected from the Federal Reserve Bank of St. Louis and the appropriate econometric techniques, a model is developed to study the dynamics between United States monetary policy and the South African economy. The Austrian School provides a sound theoretical framework that allows for the specification of testable propositions to verify the validity of an “Austrian” internationally transmitted business cycle. Using United States money supply, South African private consumption, South African gross fixed capital formation and the South African current account, a vector autoregressive model is specified to analyse the dynamics behind the United States and South African economy. The results of the empirical test all confirm the theoretical prescriptions developed in the literature review that monetary growth in the United States raise consumption, investment and improve the current account balance in the South African economy. This is a novel result for this study as it confirms that a large central economy has the ability to trigger economic expansions in a peripheral economy. This study further points out the inefficiencies associated with Keynesian style policy making and propagates for a movement towards a more prudent Austrian approach. Keynesian policy making through demand oriented policies have historically been more concerned with “curing” economic instability rather than preventing it. In light of this, the need for economic reform specifically within the manner in which monetary policy is conducted is evident. Aggressive monetary policy in the wake of economic slowdown is no longer effective at creating a sustainable and stable economic environment. A movement away from the monopolization of money and central economic decision making is necessary if the global economy wishes to reach economic permanence.
- Full Text:
- Date Issued: 2015
Good's casualty for time series: a regime-switching framework
- Authors: Mlambo, Farai Fredric
- Date: 2014
- Subjects: Time-series analysis , Econometrics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/6018 , vital:21025
- Description: Causal analysis is a significant role-playing field in the applied sciences such as statistics, econometrics, and technometrics. Particularly, probability-raising models have warranted significant research interest. Most of the discussions in this area are philosophical in nature. Contemporarily, the econometric causality theory, developed by C.J.W. Granger, is popular in practical, time series causal applications. While this type of causality technique has many strong features, it has serious limitations. The processes studied, in particular, should be stationary and causal relationships are restricted to be linear. However, we cannot classify regime-switching processes as linear and stationary. I.J. Good proposed a probabilistic, event-type explication of causality that circumvents some of the limitations of Granger’s methodology. This work uses the probability raising causality ideology, as postulated by Good, to propose some causal analysis methodology applicable in a stochastic, non-stationary domain. There is a proposal made for a Good’s causality test, by transforming the originally specified probabilistic causality theory from random events to a stochastic, regime-switching framework. The researcher performed methodological validation via causality simulations for a Markov, regime-switching model. The proposed test can be used to detect whether none stochastic process is causal to the observed behaviour of another, probabilistically. In particular, the regime-switch causality explication proposed herein is pivotal to the results articulated. This research also examines the power of the proposed test by using simulations, and outlines some steps that one may take in using the test in a practical setting.
- Full Text:
- Date Issued: 2014
- Authors: Mlambo, Farai Fredric
- Date: 2014
- Subjects: Time-series analysis , Econometrics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/6018 , vital:21025
- Description: Causal analysis is a significant role-playing field in the applied sciences such as statistics, econometrics, and technometrics. Particularly, probability-raising models have warranted significant research interest. Most of the discussions in this area are philosophical in nature. Contemporarily, the econometric causality theory, developed by C.J.W. Granger, is popular in practical, time series causal applications. While this type of causality technique has many strong features, it has serious limitations. The processes studied, in particular, should be stationary and causal relationships are restricted to be linear. However, we cannot classify regime-switching processes as linear and stationary. I.J. Good proposed a probabilistic, event-type explication of causality that circumvents some of the limitations of Granger’s methodology. This work uses the probability raising causality ideology, as postulated by Good, to propose some causal analysis methodology applicable in a stochastic, non-stationary domain. There is a proposal made for a Good’s causality test, by transforming the originally specified probabilistic causality theory from random events to a stochastic, regime-switching framework. The researcher performed methodological validation via causality simulations for a Markov, regime-switching model. The proposed test can be used to detect whether none stochastic process is causal to the observed behaviour of another, probabilistically. In particular, the regime-switch causality explication proposed herein is pivotal to the results articulated. This research also examines the power of the proposed test by using simulations, and outlines some steps that one may take in using the test in a practical setting.
- Full Text:
- Date Issued: 2014
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