Thesis (Ph. D.)--University of Southern California, 2003. / Includes bibliographical references (leaves 70-73).

Thesis (doctoral) - Freie Universität, Berlin, 2004. / "with 12 figures and tables". Includes bibliographical references ( p. [143]-155).

Thesis (Ph. D.)--Yale University, 1989. / Includes bibliographical references (leaves 223-228).

Thesis (doctoral) - Freie Universitat, Berlin, 2004. / Title from e-book title screen (viewed March 17, 2008). Includes bibliographical references ( p. [143]-155).

Magister Commercii - MCom / This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices. / South Africa

In this thesis, I undertake an empirical search for the existence of price and exchange rate bubbles during the inter-war European hyperinflations of Germany, Hungary and Poland. Since the choice of an appropriate policy to control inflation depends upon the true nature of the underlying process generating the inflation, the existence or non-existence of inflationary bubbles has important policy implications. If bubbles do exist, positive action will be required to counter the public's self-fulfilling expectation of a price surge. Hyperinflationary episodes have been chosen as my case study because of the dominant role that such expectations play in price determination. In the literature, there are frequently expressed concerns about empirical research into bubbles. The existence of model misspecification and the nonlinear dynamics in the fundamentals under conditions of regime switching may lead to spurious conclusions concerning the existence of bubbles. Furthermore, some stochastic bubbles may display different collapsing properties and consequently appear to be linearly stationary. Thus, the evidence against the existence of bubbles may not be reliable. In my thesis, I attempt to tackle the above empirical problems of testing for the existence of bubbles using advances in testing procedures and methodologies. Since the number of bubble solutions is infinite in the rational expectations framework, I adopt indirect tests, rather than direct tests, for the empirical study. From the findings of my empirical research, the evidence for stationary specification errors and the nonlinearity of the data series cannot be rejected, but the evidence for the existence of price and exchange rate bubbles is rejected for all the countries under study. It leads to the conclusion that the control of the inter-war European hyperinflations was attributable to control of the fundamental processes, since the dynamics of prices and exchange rates for these countries might not be driven by self-fulfilling expectations.

published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

M.Comm. / The fundamental objective of this paper is to effectively analise and forecast currency option volatility in the South African derivative market. The study of Dollar/Rand volatility is based in the domain of quantitative and international economics. It focuses on the monetary aspect of international finance, where currency volatility is of critical significance in the hedging of open currency option positions used in investment strategies as well as in active currency risk management. Topics covered in this study include firstly a theoretical discussion of option pricing and volatility to provide the necessary financial and statistical background: Advanced volatility issues are secondly addressed to define the volatility matrix and to explain the appearance of volatility smiles and cones as well as the characteristics of the time structure of volatility. The use of volatility as an important risk management tool is also depicted. Various time-series techniques such as the Box Jenkins methodology and decomposition of Dollar/Rand historical and implied volatility are assessed and used to forecast volatility. Univariate and multivariate regression analysis is in addition described and used to find the best estimate for subsequent Dollar/Rand volatility. Finally, the paper is concluded by an analysis of time varying stochastic volatility models such as the models for autoregressive conditional heteroscedasticity. The techniques apply a regression on the variance and include a function to allow for the asymmetric nature of movements in Dollar/Rand volatility. Up to date, no formal in-depth academical research on high frequency currency volatility has been conducted in the South African derivative market. It is therefor crucial to research the unique characteristics of Dollar/Rand option volatility. If the study concludes that Dollar/Rand volatility is predictable, it will have important implications for currency option pricing and portfolio management. Investors seeking to avoid risk, may choose to adjust their portfolios by reducing their commitments to assets whose volatilities are predicted to increase, or by using dynamic diversification approaches to hedge predicted volatility increases. This is particularly true of currency derivative markets where the volatility of the underlying asset has a profound effect on the value of the derivative.

M.A. / Financial markets are rapidly integrating into a single global market place, and developing countries including South Africa, are increasingly part of this process. The process is being driven by both the push and the pull factors in both developed and developing countries. Nevertheless, the overwhelming majority of the developing countries still need to create the conditions to attract long-term capital flows. Although South Africa has been attracting capital flows since the 1990s, the level is not sustainable because it mainly attracts shortterm capital. It has failed to attract long-term capital on a sustainable basis because of economic and political crises facing the country. Thus, the South African government needs to build the kind of macroeconomic, regulatory and institutional environment that channels this private capital into broad - based and sustainable growth.