scholarly journals Does the financial market lead the business cycle in South Africa?

2008 ◽  
Vol 2 (1) ◽  
pp. 71-88
Author(s):  
Ilsé Botha
Keyword(s):  
South Africa ◽  
Business Cycle ◽  
Financial Markets ◽  
Financial Market ◽  
Emerging Market ◽  
Business Decisions ◽  
Financial Indicator ◽  
Financial Liberalisation ◽  
The Business Cycle ◽  
The Impact

Financial markets play a significant role in an emerging market economy such as South Africa, especially after financial liberalisation. Financial liberalisation causes economies to interrelate across borders and between different sectors. The impact of this interrelationship can be captured by taking the different components of the financial market into account and relating these to the real sector, using the coincident indicator. It will be useful to identify an indicator representing the major components - equity market, capital market and the domestic financial sector - of the financial market in South Africa. This financial indicator will lead the coincident indicator, because the components of the financial indicator are available at a higher frequency than the components of the coincident indicator. This new indicator for South Africa will be of assistance in making more informed business decisions since it can be used to forecast turning points in the coincident indicator, i.e. the business cycle.

scholarly journals The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP

2020 ◽  
Vol 7 (6) ◽  
pp. 1
Author(s):  
Ralf Fendel ◽  
Nicola Mai ◽  
Oliver Mohr
Keyword(s):  
Standard Deviation ◽  
Business Cycle ◽  
Financial Markets ◽  
Impulse Response ◽  
Two Dimensions ◽  
Point Estimate ◽  
Impulse Response Functions ◽  
Response Functions ◽  
The Business Cycle ◽  
The Impact

This paper examines the role of uncertainty in the context of the business cycle in the euro area. To gain a more granular perspective on uncertainty, the paper decomposes uncertainty along two dimensions: First, we construct the four different moments of uncertainty, including the point estimate, the standard deviation, the skewness and the kurtosis. The second dimension of uncertainty spans along three distinct groups of economic agents, including consumers, corporates and financial markets. Based on this taxonomy, we construct uncertainty indices and assess the impact on real GDP via impulse response functions and further investigate their informational value in rolling out-of-sample GDP forecasts. The analysis lends evidence to the hypothesis that higher uncertainty expressed through the point estimate, a larger standard deviation among confidence estimates, positive skewness and a higher kurtosis are all negatively correlated with the business cycle. The impulse response functions reveal that in particular the first and the second moment of uncertainty cause a permanent effect on GDP with an initial decline and a subsequent overshoot. We find uncertainty in the corporate sector to be the main driver behind this observation, followed by financial markets’ uncertainty whose initial effect on GDP is comparable but receding much faster. While the first two moments of uncertainty improve GDP forecasts significantly, both the skewness and the kurtosis do not augment the forecast quality any further.

Commodities in International and Emerging Markets

2018 ◽  
Author(s):  
Kamal Smimou
Keyword(s):  
Business Cycle ◽  
Emerging Markets ◽  
Emerging Market ◽  
Trading Strategies ◽  
Emerging Nations ◽  
Economic Significance ◽  
Portfolio Strategy ◽  
Bond Portfolio ◽  
The Business Cycle ◽  
Global Investors

This chapter seeks to elucidate the relations of U.S.-listed global commodity futures, the business cycle, and stocks and bonds of emerging markets. It shows that global investors poised to benefit from investing in emerging market securities can concurrently learn from and better understand the dynamic intermarket relations when establishing such trading strategies. Investment in emerging markets can enhance the performance and sturdiness of an equity or bond portfolio strategy. Evidence lends support to the conjecture that a subtle contemporaneous and occasionally trailing effect exerted by the movement of global commodities on the business cycle exists. Global commodities also affect equity and bond market dynamics. The evidence also reveals differences in terms of economic significance and magnitude among selected emerging nations and across various commodities.

scholarly journals Credit procyclicality and financial regulation in South Africa

2016 ◽  
Vol 19 (4) ◽  
pp. 467-478
Author(s):  
James Bernstein ◽  
Leroi Raputsoana ◽  
Eric Schaling
Keyword(s):  
South Africa ◽  
Business Cycle ◽  
Financial Institutions ◽  
Financial Regulation ◽  
Banking Supervision ◽  
Expansion Phase ◽  
Reference Guide ◽  
Common Reference ◽  
The Business Cycle ◽  
The Relationship

This study assesses the behaviour of credit extension over the business cycle in South Africa for the period 2000 to 2012. This is motivated by the proposal of the Basel Committee on Banking Supervision to look at credit extension over the business cycle as a reference guide for implementing countercyclical capital buffers for financial institutions. The study finds that credit extension in South increases during the trough phase, while the relationship between credit extension and the business cycle becomes insignificant during the peak phase. The study also finds that credit extension decreases during the expansion phase, while it increases during the contraction phase. Thus we do not find any evidence of procyclical behaviour of credit extension in South Africa, and the latter should therefore be used with caution and not as a mechanical rule based common reference guide for countercyclical capital buffers for financial institutions. 

scholarly journals The continuous market cycle of the short term insurance industry

2012 ◽  
Vol 2 (1) ◽  
pp. 22-29
Author(s):  
Liezel Essel ◽  
Frederik J. Mostert ◽  
Jan Hendrik Mostert
Keyword(s):  
South Africa ◽  
Insurance Industry ◽  
Emerging Market ◽  
Literature Study ◽  
Short Term ◽  
Financial Decision Making ◽  
Empirical Survey ◽  
Term Insurance ◽  
Financial Decision ◽  
The Impact

The short-term insurance industry is a cyclical type of business due to the impact of the continuous market cycle. This cycle has a growth phase, soft market phase, hard market phase and a break-even phase. The objective of the research paper focuses on the improvement of financial decision-making when executives of the short-term insurance industry are managing their business during the various phases of the continuous market cycle. Both a literature study and an empirical survey were necessary to achieve the research objective. The empirical survey included the contributions of the top nine commercial and corporate short-term insurers in South Africa. They represented more than 77% of the total gross written premiums in 2009 and can thus be considered as the leaders of the short-term insurance industry in this country. The conclusions of the study should be valuable to other developing countries with emerging market economies as South Africa is also classified as such. The study focused on the various factors which may cause the continuous market cycle, the problem areas which the executives experience concerning the continuous market cycle, and how often various factors are adjusted by the short-term insurers to account for changes in the continuous market cycle.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

The Impact of Fiscal Policy on Economic Activity over the Business Cycle: An Empirical Investigation in the Case of Algeria

2019 ◽  
Vol 15 (3) ◽  
Author(s):  
Abderrahim Chibi ◽  
Sidi Mohamed Chekouri ◽  
Mohamed Benbouziane
Keyword(s):  
Fiscal Policy ◽  
Business Cycle ◽  
Government Spending ◽  
Economic Recession ◽  
Policy Decision ◽  
Vector Autoregressive ◽  
Asymmetric Effects ◽  
The Business Cycle ◽  
The Right ◽  
The Impact

Abstract In this paper, we aim to analyze whether the effect of fiscal policy on economic growth in Algeria differs throughout the business cycle. To tackle this question, we use a Markov Switching Vector Autoregressive (MSVAR) framework. We find evidence of asymmetric effects of fiscal policy through regimes, defined by the state of the business cycle (recession and boom). The results show small positive government spending and revenue multipliers in the short term in both regimes. Most importantly, fiscal policy shocks have a stronger impact in times of economic recession than in times of expansion, which confirm the hypothesis of asymmetric effects. However, the impact of government spending is stronger than the impact of public revenue during recession periods. In addition, fiscal policy decision-makers interact with Anti-Keynesian view (pro-cyclical). Our results imply that there is something to gain by using the "right instrument" at the "right time".

Sign in / Sign up

Export Citation Format

Share Document