This paper investigates the feasibility of creating a common-currency union consisting of 16 countries in Southern Africa. We estimate an augmented-gravity model that includes public deficit, public debt, public expenditure, inflation, and the foreign reserves position. We also integrate Africa-specific variables such as existing economic blocs in the region, colonial heritage, and the convergence of living standards. Our analysis shows that the prospect for further integration in Southern Africa is promising, but many challenges still persist. The existing economic blocs can provide a first stepping stone to a larger currency union, but countries continuously have to cultivate good governance and fiscal discipline.
This paper investigates the forecasting power of stock prices using two methods, namely, the random walk and the non-parametric methods. Using daily prices of the FTSE / JSE All Share index it is found that non-parametric methodology reveals distributional behaviour in the time series that is not captured by the random walk model. Based on the out-of-sample predicted mean square error, the F-test for two variances (those of both the observed series and the predicted one) and the bootstrap confidence interval and volatility, this method predicts the future behaviour of stock prices more accurately than the traditional random walk model has done.
In this paper, we study the impact of Rand / US Dollar exchange rate volatility on the performance of futures markets for agricultural commodities. First, the performance of futures markets is assessed using a dynamic price asymmetric model. Second, Rand / US Dollar exchange rate volatility is measured using GARCH approach and its variations. By means of bootstrapping technique the volatility measure is used to determine the impact of Rand / US Dollar exchange rate volatility on the performance of futures markets for agricultural commodities. The results reveal that the stability of Rand / US Dollar exchange rate would not improve the performance of futures market for agricultural commodities.
Among the current concerns in Tanzania is that banks are awash with liquidity notwithstanding the private sector high demand for credit. Excess liquidity constrains banks' productivity / efficiency; and on the other hand, strangles the share of credit allocated to the private sector, thereafter upsetting economic growth. To determine the causes of excess liquidity, autoregressive distributed lag model is employed. The findings suggest that high cost of funds, credit risks, volatility of deposit holders' cash preference, inter alia, perpetuated accumulation of excess liquidity in commercial banks. Important policy implications on price stability, risks minimization, proper supervision and optimal liquidity management are highlighted.