Faculty of Commerce, Law and Management (ETDs)
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Item Oil shocks and macroeconomic policy uncertainty in South Africa(University of the Witwatersrand, Johannesburg, 2023) Makanda, Samantha; Fasanya, IsmailThe study reevaluates the connection between oil shocks and macroeconomic policy uncertainty in South Africa over the period of 1990M1 to 2022M6 using spillover connectedness frameworks and Quantile-on-quantile regression analysis. The link between oil shocks andmacroeconomy rests on the Neoclassical theory following the Hamilton (2005) production function framework. The following findings are apparent from the analysis. First, the average- based connectedness framework shows a moderate connection between oil shocks and macroeconomic policy uncertainty parameters. Economic policy uncertainty and political uncertainty exhibit the most prominent bi-directional spillovers, while political uncertainty and oil consumption demand shocks function as net spillover transmitters. However, using the quantile approach, the level of connectedness between oil shocks and macroeconomic policy uncertainty parameters is stronger and much higher at both tails of the conditional distribution. Specifically, the study finds that macroeconomic policy uncertainty parameters act as net receivers at lower quantiles, while all the oil shocks and financial policy uncertainty act as net receivers at median quantiles, and economic activity shocks and oil inventory demand shocks act as net receivers at upper quantiles. Thus, the application of the average based framework of connectedness is inadequate and restrictive. Finally, using the Quantile-on-Quantile regression analysis, the results demonstrate a substantial positive (negative) relationship between the upper quantiles of oil shocks and the lower (upper) quantiles of macroeconomic policy uncertainty. These findings suggest that policymakers keep an eye on the repercussions of oil shocks on macroeconomic conditions and develop monitoring frameworks that will help to predict the likely effects of external shocks emanating from oil. Simultaneously, investors should contemplate modifying their investment strategy regarding the circumstances and keep an eye on oil prices, government policies, and economic indicatorItem Persistence and interdependence of macroeconomic variables in the West African Monetary Zone(2020) Eshun, RichardThe introduction of monetary integration which enables member countries to adopt a common currency is not something which has just been discovered, For example, the Euro is used by the Eurozone as their regional currency; some francophone countries in Africa use the African Financial Community, which is the CFA Franc. Economic Community of West African States desire to introduce a common currency in the sub region has been in the offing since the birth of the regional integration body. This was considered expedient given the fact that there exist in the sub region one of the oldest monetary union which is the Union économique et monétaire ouestafricaine. In 2000, certain countries that belong to the Economic Community of West African States announced their intention to form a second monetary zone by creating the West African Monetary Zone. For the West African Monetary Zone to introduce a common currency, member countries are to fulfill some primary as well as some secondary criteria set up in the macroeconomic convergence criteria. Among some of the primary and secondary criteria are: inflation rate should be single-digit at the end of each year. Member countries are to ensure a stable real exchange rate as well as ensuring a positive real interest rate. The overarching aim of this study is to assess the degree of integration of interest rate, inflation rate and exchange rate in the West African Monetary Zone and to analyse whether convergence as a prerequisite condition for the implementation of the common currency is achievable. The study used a multi-criteria approach to examine the introduction of a single currency. This study used two approaches; the first approach which is Autoregressive Fractionally Integrated Moving Average and Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity is used to test the degree of relationship of the macroeconomic variables, that is, interest rates, inflation rates and exchange rates independently and simultaneously in the West African Monetary Zone. The second approach which is wavelet-based methodology is used to test how the variables co-move independently and simultaneously across the West African Monetary Zone. From the study, when there is a shock to any of the macroeconomic variables across the zone, its reversion to the mean varies and again the speed at which it returns to the mean varies as well whiles on the interdependence of the macroeconomic variables across the zone, the study shows that the overall correlations of the three macroeconomic variables are weak both in the short, medium and long term. The evidence suggests that the zone is not ready to establish a monetary integration. Furthermore, from this study, if the zone wants to introduce a single currency for the entire region, it should be done in phases with countries that exhibit high similarities whiles the rest follow gradually as and when they achieve the convergence criteria.Item Determinants of non-performing loans and their impact on profitability in South African banks(2021) Mogagabe, N; Mogagabe, NtebogengThe study aimed to examine the determinants (macroeconomic and bank specific) of non-performing loans in South Africa and assess the impact of non-performing loans on banking profitability. It has been demonstrated by the above statistics that South African banks are facing bad loan debt repayments which in turn turns into non-performing loans. Although it can be argued that the level of non-performing loans in South Africa is relatively low, the level of bank credit impairments threatens bank stability in the economy. The study was based on the cointegration and Granger causality method which was applied to panel data drawn from a sample of 8 banks. The granger causality test indicated that no variable Granger causes non-performing loans although non-performing loans granger caused GDP and capital adequacy. Furthermore, the Granger causality test indicated that non-interest income to total income Granger causes return on assets. Therefore, non-interest income to total income is a significant determinant of bank profitability as measured by return on assets