Examining the long-run equilibrium between South African and United States markets
- Authors: Meyiwa, Zenande Mandilakhe
- Date: 2018
- Subjects: Equilibrium (Economics) -- Mathematical models , Economics -- Mathematical models Macroeconomic studies Stock exchanges -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/22692 , vital:30058
- Description: The objective of this study is to examine the long-run equilibrium between the markets of South Africa and the United States of America (USA). To achieve this, the study reviews theoretical literature that examines the link between stock market returns, the real effective exchange rate and interest rates. Furthermore, the study provides a review of previous empirical literature. In addition, the study estimates a number of time series econometric techniques to examine the equilibrium between the four variables. The study estimates: The Johansen co-integration test, the Granger causality test in the VAR system; the Impulse Response Function, as well as the Forecast Error Variance Decomposition. The period under review is January 1996 to January 2016. The Granger Causality test revealed that there is a one-way causality from interest rates to the JSE ALSI (South African stock exchange) and the Russell 3000 index (USA stock market indicator), and a unidirectional causality that runs from the Russell 3000 to the real effective exchange rate. Furthermore, the study found that the real effective exchange rate Granger causes interest rates. The results for the Generalised Impulse Response Function and the Forecast Error Variance Decomposition underscore the findings of the Granger Causality test. In addition, the Generalised Impulse Response Function and the Forecast Error Variance Decomposition revealed that each variable experiences a very large response from its own shock. Since interest rates have an influence on stock market returns, the study recommended that companies listed on the JSE should develop appropriate debt management policies that will ensure cash flows are not affected when interest rates rise. The Rand/US Dollar exchange rate and US Stock market movements do not have a material effect on the JSE ALSI performance, therefore, the study recommended that the JSE can be marketed to international investors as a relatively safe market for international portfolio diversification. Lastly, South African businesses, along with local and international investors, should constantly monitor developments on the real effective exchange rate since they have an effect on interest rates.
- Full Text:
- Date Issued: 2018
- Authors: Meyiwa, Zenande Mandilakhe
- Date: 2018
- Subjects: Equilibrium (Economics) -- Mathematical models , Economics -- Mathematical models Macroeconomic studies Stock exchanges -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/22692 , vital:30058
- Description: The objective of this study is to examine the long-run equilibrium between the markets of South Africa and the United States of America (USA). To achieve this, the study reviews theoretical literature that examines the link between stock market returns, the real effective exchange rate and interest rates. Furthermore, the study provides a review of previous empirical literature. In addition, the study estimates a number of time series econometric techniques to examine the equilibrium between the four variables. The study estimates: The Johansen co-integration test, the Granger causality test in the VAR system; the Impulse Response Function, as well as the Forecast Error Variance Decomposition. The period under review is January 1996 to January 2016. The Granger Causality test revealed that there is a one-way causality from interest rates to the JSE ALSI (South African stock exchange) and the Russell 3000 index (USA stock market indicator), and a unidirectional causality that runs from the Russell 3000 to the real effective exchange rate. Furthermore, the study found that the real effective exchange rate Granger causes interest rates. The results for the Generalised Impulse Response Function and the Forecast Error Variance Decomposition underscore the findings of the Granger Causality test. In addition, the Generalised Impulse Response Function and the Forecast Error Variance Decomposition revealed that each variable experiences a very large response from its own shock. Since interest rates have an influence on stock market returns, the study recommended that companies listed on the JSE should develop appropriate debt management policies that will ensure cash flows are not affected when interest rates rise. The Rand/US Dollar exchange rate and US Stock market movements do not have a material effect on the JSE ALSI performance, therefore, the study recommended that the JSE can be marketed to international investors as a relatively safe market for international portfolio diversification. Lastly, South African businesses, along with local and international investors, should constantly monitor developments on the real effective exchange rate since they have an effect on interest rates.
- Full Text:
- Date Issued: 2018
A study of the existence of equilibrium in mathematical economics
- Authors: Xotyeni, Zukisa Gqabi
- Date: 2008
- Subjects: Equilibrium (Economics) -- Mathematical models , Macroeconomics -- Mathematical models , Economics -- Mathematical models , Welfare economics -- Mathematical models , Lattice theory , Economics, Mathematical
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5418 , http://hdl.handle.net/10962/d1005232 , Equilibrium (Economics) -- Mathematical models , Macroeconomics -- Mathematical models , Economics -- Mathematical models , Welfare economics -- Mathematical models , Lattice theory , Economics, Mathematical
- Description: In this thesis we define and study the existence of an equilibrium situation in which producers maximize their profits relative to the production vectors in their production sets, consumers satisfy their preferences in their consumption sets under certain budget constraint, and for every commodity total demand equals total supply. This competitive equilibrium situation is referred to as the Walrasian equilibrium. The existence of this equilibrium is investigated from a various mathematical points of view. These include microeconomic theory, simplicial spaces, global analysis and lattice theory.
- Full Text:
- Date Issued: 2008
- Authors: Xotyeni, Zukisa Gqabi
- Date: 2008
- Subjects: Equilibrium (Economics) -- Mathematical models , Macroeconomics -- Mathematical models , Economics -- Mathematical models , Welfare economics -- Mathematical models , Lattice theory , Economics, Mathematical
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5418 , http://hdl.handle.net/10962/d1005232 , Equilibrium (Economics) -- Mathematical models , Macroeconomics -- Mathematical models , Economics -- Mathematical models , Welfare economics -- Mathematical models , Lattice theory , Economics, Mathematical
- Description: In this thesis we define and study the existence of an equilibrium situation in which producers maximize their profits relative to the production vectors in their production sets, consumers satisfy their preferences in their consumption sets under certain budget constraint, and for every commodity total demand equals total supply. This competitive equilibrium situation is referred to as the Walrasian equilibrium. The existence of this equilibrium is investigated from a various mathematical points of view. These include microeconomic theory, simplicial spaces, global analysis and lattice theory.
- Full Text:
- Date Issued: 2008
- «
- ‹
- 1
- ›
- »