Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The relationship between asset markets and economic growth is well documented in
economic literature.
Harvey (1989), conducted a study of the relationship between interest rate spreads,
share market prices and real economic growth in the USA. He developed a model
to forecast real economic growth using interest rate spreads and share market
prices and concluded that interest rate spreads produced superior forecasts to those
based on share market information. He further established that the forecasts
obtained from his simple model, which made no provision for serial correlation,
compared favourably with those of leading economic forecasters in the USA.
Van der Mescht (1991) undertook a similar study based on interest rate spreads and
share market prices in South Africa. He concluded that there were no significant
differences between the capital market and share market as predictors of economic
growth in South Africa when provision was made in Harvey's model for the effects of
serial correlation. His results indicated that both the capital and share markets were
able to explain more than 65 percent of the variation in economic growth over the
period of his study and that the forecasts were able to accurately predict the turning
points in the economy and compared favourably with other leading economic
forecasters.
A similar study to Van der Mescht's using updated South African data found that in
general the conclusions reached by Van der Mescht remain valid. A difference
which is evident, however, is that, whereas previously, there was little difference
between the results of the interest rate spread and share market index model, the
interest rate spread model produced better results over the period of this study
(1981 - 1998). / AFRIKAANSE OPSOMMING: Die verwantskap tussen die kapitaal- en aandelemark en ekonomiese groei is
deeglik in die ekonomiese literatuur ge-dokumenteer.
Harvey (1989) het navorsing gedoen oor die verwantskap tussen die
termynstruktuur van rentekoerse, aandelepryse en reële ekonomiese groei in die
VSA. Hy het 'n vooruitskattingsmodel ontwikkel vir ekonomiese groei, gebaseer op
die termynstruktuur van rentekoerse en aandelepryse en het tot die gevolgtrekking
gekom dat die termynstruktuur van rentekoerse 'n beter vooruitskatter van
ekonomiese groei is as die aandelemark, en dat sy model, wat geen voorsiening vir
outokorrelasie maak nie, goed vergelyk met ander ekonometriese modelle wat
ekonomiese groei in die VSA vooruitskat.
Van der Mescht (1991) het 'n soortgelyke studie, gebaseer op die termynstruktuur
van rentekoerse en aandelepyse in Suid Afrika, onderneem. Hy het tot die
gevolgtrekking gekom dat daar geen betekenisvolle verskil is tussen die kapitaal en
aandelemark as vooruitskatters van ekonomiese groei indien daar vir
outokorrelasie in die modelle voorsiening gemaak word nie. Sy resultate dui aan dat
die kapitaal- en aandelemark meer as 65 persent van die persentasieverandering in
die ekonomiese groei kon verklaar oor die termyn van sy studie, dat dit akkurate
vooruitskattings van die draaipunte in die Suid Afrikaanse ekonomie gelewer het, en
dat dit gunstig vergelyk met ander ekonomiese vooruitskatters.
'n Soortgelyke studie as die van Van der Mescht is onderneem, met die jongste
inligting omtrent termynstruktuur van rentekoerse en aandelepryse in Suid Afrika. In
die algemeen is die gevolgtrekkings van Van der Mescht steeds van toepassing.
Daar is egter aangetoon dat, waar daar voorheen geen betekenisvolle verskil tussen
die kapitaal- en aandelemark as vooruitskatters van ekonomiese groei was nie, die
termynstruktuur van rentekoerse beter resultate oor die termyn van hierdie studie
gelewer het. (1981 -1998).
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/51766 |
| Date | 12 1900 |
| Creators | Crawford, Robert Cameron |
| Contributors | Van der M. Smit, E., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 38 p. : ill. |
| Rights | Stellenbosch University |
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