The objective of the thesis is to find out whether expansionary monetary policy creates an upward pressure on asset prices and can thus create asset price bubbles, or more precisely significantly contribute to their creation. In doing so, we test the significance and the sign of coefficient on monetary policy stance indicator as a determinant of real estate and stock prices on 19 OECD countries quarterly panel data since 1980. Further we assess periods of real estate and stock price bubbles and periods of expansionary monetary policy and examine their relationship. The asset price bubbles are assessed on the basis of relevant price indices developments without examining the underlying fundamentals. Based on our results it appears that expansionary monetary policy has a positive effect on real estate prices and can thus contribute to formation of real estate bubbles. The effect on stock prices is ambiguous and mostly statistically insignificant. By examining the relationship between assessed asset price bubbles and periods of expansionary monetary policy we found out that monetary expansion is neither sufficient nor necessary condition for formation of asset price bubbles but also that there is a relatively strong relationship between these events. JEL Classification C23, E43, E52, E58, G12, N10, N20...

Nous soutenons la thèse que la sécurité alimentaire des pays d'Afrique sub-saharienne peut être renforcée par une meilleure maitrise de l'instabilité des prix des matières premières agricoles constituant leur panier alimentaire de base. A cet effet, nous évoquons dans un premier temps les mécanismes de fonctionnement des marchés agricoles, le rôle qu'y joue la notion de prix ainsi que le lien existant entre l'évolution instable des prix et l'insécurité alimentaire. Nous nous intéressons ensuite au lien existant entre l'insécurité alimentaire et la régulation du secteur agricole, en particulier dans le cadre des échanges internationaux et régionaux. Nous procédons enfin au traitement formalisé de l'insécurité alimentaire. En ayant recours aux outils économétriques, nous mettons en évidence le caractère instable des prix au niveau individuel des pays ainsi que les interdépendances entre les prix des différentes denrées alimentaires et des différents pays. Des mesures de sécurisation alimentaire sont suggérées tout au long de la thèse pour les pays d'Afrique sub-saharienne étudiés. Nous estimons que ces mesures peuvent servir de pistes de réflexion pour l'établissement de politiques économiques agricoles nationales et régionales. Ces politiques auraient pour but final de garantir la sécurité alimentaire des populations des pays de l'Afrique sub-saharienne par une meilleure maitrise de l'instabilité des prix alimentaires. / In our thesis, we assume that African Sub-saharan countries' food security status can be enhanced through a better management of agricultural commodities prices instability, which constitutes the basic food basket of local populations. To this aim, we initially review the dynamics of agricultural markets and the role played by “prices” in this mechanism as well as the existing linkages between unstable price trends and the notion of food insecurity. Focus is then directed to the relationship between “food insecurity” and the regulation of the agricultural sector, in particular within international trade theory frameworks.Finally, we proceed to the assessment of “food insecurity” through the empirical analysis of the instabilities affecting food prices of the region, and also that of price transmission and linkages within and between countries. We then highlight prices instabilities at individual (country) level, as well as the linkage of these prices (therefore of their unstable components) between the various constituents of the basic food basket of a given country, or that of neighboring countries.All along our thesis, food insecurity resilience measures for these countries are suggested. These measures are believed to potentially serve as initial steps in the establishment of national and regional agricultural policies aiming at attaining/safeguarding food security in African sub-Saharan countries.

The impact of rare disasters on equity premium and term premium in a New Keynesian DSGE model is explored in the thesis. Andreasen's (2012) model with Epstein-Zin preferences, bonds and a rare disaster shock in total factor productivity process is extended by a variable capital stock and an equity-type asset. We find that the variable capital significantly changes behavior of the model, capital depreciation must be substantially increased to counter the effect of variable capital and stochastic mean of inflation increases. The model calibrated to the US economy and a high risk aversion generates 10-year term premium of 90 basis points, rare disasters increase the premium only by 3 basis points. The equity premium is 163 basis points and rare disasters increase it also only by 3 basis points. The model with a low coefficient of relative risk aversion of 5.5 generates negative risk premia. Rare disasters increase the risk premia by mere 4 basis points in comparison to a model with i.i.d. shocks. Powered by TCPDF (www.tcpdf.org)

M.Econ. / Please refer to full text to view abstract

Ph.D. (Economic Sciences) / The international oil industry has always been subject to significant changes throughout the years, mainly as a result of changes in the environment, government policies, the world economy and a developing technology. Since the turn of the century, however, no changes have been as fundamental as the events of 1973. The international oil industry found itself in a very short period of time, with the following changes: The loss of production resources to the industry's previous host countries. A significant increase in the price of the products the industry handle. Increased interference by the governments of the countries in which the industry markets its products. No growth. A permanent change in the mix of petroleum products required by the market. The oil industry reacted to these changes in the following ways: Large proportions of refining networks were closed and large amounts of money were spent on additional cracking facilities for the remainder of the industry's networks. Organisational changes were introduced, with the objective of removing surplus infra-structure from a shrinking industry. iii Attention was given to other forms of energy. Whatever the reaction had been, the mere fact that refining capacity had to be reduced, and large oil tankers scrapped, suggests a lack of proper planning during the period preceding the problems of 1973. During the late fifties and sixties, when there was a steady growth in the world economy and oil prices remained static, planning ahead became relatively simple, and the oil industry planners slipped into the illusion that none of the upheave1s of history would be repeated. The signals were clearly there, but were totally ignored until far too late. To a large extent, this happened because government officials and oil company executives tended to specialise, and therefore they lacked knowledge of the oil industry as a whole. In South Africa, more planning was conducted than elsewhere in the world, but was mainly directed towards the development of synfuels and strategic storage. This was the result of South Africa's peculiar political circumstances and not because of an awareness of the need for realistic commercial planning.

Consumer sentiment has the ability to provide researchers with many avenues to test existing Finance and Economic theories. Chapter 1 introduces the issues that I seek to explore within the area of Behavioral Finance. Chapter 2 utilizes thirty years of consumer sentiment data to explore extant economic theories and hypotheses. In particular, I study the Prospect Theory and the Life Cycle Investment Hypothesis. In addition, I also study how changes in consumer sentiment can foretell future stock returns for firms in different industries and of different sizes. By studying how individuals of different ages display optimism and pessimism through consumer sentiment surveys, I am able to contribute to the literature by shedding additional light on just how the important age is with respect to a person's economic outlook. One particular phenomenon that I discuss in this chapter is downside risk. I will provide further support to the existing literature which shows that gains and losses are not viewed equally by individuals. To account for this discrepancy, this paper models the time series relationship between consumer sentiment and stock returns using asymmetric response models. Chapter 3 builds upon the previous chapter's findings by using consumer sentiment to explore if this index can forecast housing market variables such as changes in home sales and home prices. Given the recent financial market turmoil that stemmed from the U.S. housing market debacle, this chapter is timely. Using widely cited housing indices, I explore regional differences in the U.S. housing market and how the sentiment of local consumers can possibly affect their housing markets. I also include analyses in which the age of the consumer is accounted for to see if evidence of the Life Cycle Investment Hypothesis emerges. This theory postulates that younger individuals are more likely to demand housing as a financial asset and if this were true, I hypothesize that changes in younger individuals' sentiment would have more forecasting power with respect to future housing sales and price changes. Lastly, I conclude this dissertation with Chapter 4 which includes additional discussions of the issues studied.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in fulfillment of the requirements for the degree of Master of Management in Finance and Investment. June 2017 / This research report explores how various macroeconomic surprises impact on individual stock returns in South Africa. The focus of the study is on the individual constituent stocks of the FTSE/JSE Top 40 Index listed during the period January 2005 to December 2015. This report employs an event study and Bayesian Vector Autoregressive (BVAR) analysis approach to provide comprehensive insights into the relationship between the macroeconomic surprises and the individual stock returns in South Africa. This study closely mirrors a previous study conducted by Gupta and Reid (2013) which explored the impact of five macroeconomic surprises on general stock market indices (ALSI and JSE Top 40) and industry-specific stock returns in South Africa. However, in the interests of completeness and robustness, there are a few material differences and additional innovations introduced in this report. The event study results show that individual stock returns in South Africa are highly sensitive to GDP growth and CA surprises. Upon immediate impact, the GDP growth shocks cause negative stock returns indicating that initially market participants have a general dislike for the surprise element in GDP growth surprise announcements. However, post immediate impact, the stock returns increase and remain positive in line with widely hypothesized economic theory. In addition to GDP growth and CA surprises, the BVAR analysis indicates that USFed shocks have significant dynamic effects on individual stock returns in South Africa. The study finds that individual banking stocks and resource stocks are significantly sensitive to REPO surprises, whilst individual retail, property and consumer goods stocks are very responsive to GDP growth shocks. / MT2017

A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. Johannesburg 2014. / The application of agent based modelling in nance allows market experiments to be undertaken which would normally be prohibitive due to cost, complexity and other factors. Agent based models use simple behaviour and interaction to produce complex outcomes. We introduce the requirements of an agent based market simulator based on protocol stipulated by the Johannesburg Stock Exchange. The requirements are then translated into a technical design. This design is implemented using the Microsoft .NET framework. The product of this design and creation approach is a market simulator which is then used to run three simulations where different agent behaviour is demonstrated. The approach and results of the simulations are documented to show possible use cases of the simulator.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017. / The extent to which the liquidity has an impact on stock return continues to be an eagerly researched topic. The effect on liquidity on the return of stocks has been a greatly debated subject on the capital market theory. The thesis looks at the impact of liquidity on the stock indices return of eight frontier markets. The paper uses two methods to estimate the regression namely, unbalanced dynamic panel Generalised Method of Moments and Fixed Effect Model. An analysis on factors affecting liquidity was done and turnover ratio, Amivest ratio and Amihud ratio were used as a measure for liquidity. The correlation between stock return and the liquidity measure was mixed; with turnover ratio having a negative correlation. Amivest ratio has positive relationship consistent with the risk premium and was found to be significant. However, the correlation on the Amihud ratio was not consistent with the liquidity premium as it was found to be positive. Although negatively correlated to return, the turnover ratio was found to be insignificant. / MT 2017

A research report submitted in partial fulfilment of the requirements for the degree M.Com. Masters (Finance) in the School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg / This study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts. / MT2017