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Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach

100%
Phiri A.
Business and Economic Horizons
|
2018
|
vol. Volume 14
|
issue Issue 1
97-104
EN
Using the quantile autoregression methodology (QAR), this study contributes to the ever-expanding empirical literature by investigating the persistence in inflation for BRICS countries using quarterly time series data collected between 1996 to 2016. Our empirical analysis reveals two crucial findings. Firstly, for all estimated regressions, inflation persistence in the higher percentiles of the QAR regression exhibits unit root tendencies. Secondly, we note that the global financial crisis did alter the levels of inflation persistence at all quantiles for all BRICS countries. Collectively, we advise monetary authorities in BRICS countries to focus on keeping inflation at low and stable rates.
2
Content available remote

Threshold convergence between the federal fund rate and South African equity returns around the colocation period

100%
Phiri A.
Business and Economic Horizons
|
2017
|
vol. Volume 13
|
issue Issue 1
1-9
EN
Using weekly data collected from 20.09.2008 to 09.12.2016, this paper uses dynamic threshold adjustment models to demonstrate how the introduction of high-frequency and algorithmic trading on the Johannesburg Stock Exchange (JSE) has altered convergence relations between the federal fund rate and equity returns for aggregate and disaggregate South African market indices. We particularly find that for the post-crisis period, the JSE appears to operate more efficiently, in the weak-form sense, under high frequency trading platforms.
3
Content available remote

Are fiscal budgets sustainable in South Africa? Evidence from provincial level data

63%
Kavase K., Phiri A.
Business and Economic Horizons
|
2018
|
vol. Volume 14
|
issue Issue 2
415-423
EN
This study uses the nonlinear autoregressive distributive lag (N-ARDL) model to investigate the expenditure-revenue relationship for all nine South African provinces using annual data spanning from 2000 to 2016. Whereas other cointegration models can only depict whether budgets are sustainable or not, the N-ARDL model presents features which further enable us to predict a course of action which individual provincial governments can take towards attaining higher levels of budgetary sustainability in both the short and the long-run. Ultimately, our empirical study demonstrates that the ‘one rule fit all’ strategy as suggested by previous studies may not be an appropriate approach seeing that provincial governments have differing requirements for attaining improved levels of budget sustainability.
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