Recent working papers

Posted by Melt van Schoor on 2015-08-03

The following working papers were recently added to the Stellenbosch Working Paper Series:

In "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?", Nico Katzke and Chris Garbers test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. Their findings confirm that controlling for asymmetries and long memory in volatility models improve risk management calculations.

Hendrik van Broekhuizen uses aggregate data from the Higher Education Management Information System (HEMIS) to analyse the trends and underlying correlates of first-time enrolments and graduations in initial teacher education (ITE) programmes in the public higher education system between 2004 and 2013 in "Teacher Supply in South Africa: A Focus on Initial Teacher Education Graduate Production".

Finally, in "Identifying Periods of US Housing Market Explosivity", Mehmet Balcilar, Nico Katzke and Rangan Gupta apply several robust techniques that allow them to identify periods in which US housing prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices.

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BER Weekly

22 September 2017
In the domestic section we unpack the latest decision by Monetary Policy Committee (MPC) of the South African Reserve Bank (SARB). Against expectations for a cut, the MPC decided to keep the policy interest rate unchanged. Additionally, we look at the latest consumer inflation numbers from Statistics South Africa (Stats SA), which shows that August...

Read the full issue
 

BER Weekly

22 September 2017
In the domestic section we unpack the latest decision by Monetary Policy Committee (MPC) of the South African Reserve Bank (SARB). Against expectations for a cut, the MPC decided to keep the policy interest rate unchanged. Additionally, we look at the latest consumer inflation numbers from Statistics South Africa (Stats SA), which shows that August...

Read the full issue