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oai:figshare.com:article/22187701 2023-03-13T12:31:01Z category_26026 category_26038 category_26017 category_25984 category_25969 portal_753 item_type_3 month_year_03_2023

Analysis of volatility spillovers in the stock, currency and goods market and the monetary policy efficiency within different uncertainty states in these markets Chevaughn van der Westhuizen (14674250) Reneé van Eyden (10179903) Goodness C. Aye (7197173) Time-series analysis Macroeconomic theory Econometric and statistical methods Macroeconomics (incl. monetary and fiscal theory) Financial economics Share price Exchange rate markerts Volatility estimators Monetary policy rate Economic policy uncertainty Policy implications Policy outcomes Industrial production Investing activities Inflation <p>South African monthly The FTSE/JSE All Share Index data was procured from Bloomberg and the nominal effective exchange rate (NEER) from South African Reserve Bank (SARB) database, where the data has been seasonally adjusted specifying 2015 as the base year. Volatility measures in these markets are generated through a multivaraite EGARCH model in the WinRATS software. </p> <p>South African monthly consumer price index (CPI) data was procured from the International Monetary Fund’s International Financial Statistics (IFS) database, where the data has been seasonally adjusted, specifying 2010 as the base year. The inflation rate is constructed by taking the year-on-year changes in the monthly CPI figures. Inflation uncertainty was generated through the GARCH model in Eviews software. </p> <p>The following South African macroeconomic variables were procured from the SARB: real industrial production (IP), which is used as a proxy for real GDP, real investment (I), real consumption (C), inflation (CPI), broad money (M3), the 3-month treasury bill rate (TB3) and the policy rate (R),  a measure of U.S. EPU developed by Baker <em>et al.</em> (2016) to account for global developments available at http://www.policyuncertainty.com/us_monthly.html.</p> 2023-03-13T12:31:01Z Dataset Dataset 10.25403/UPresearchdata.22187701.v1 https://figshare.com/articles/dataset/Analysis_of_volatility_spillovers_in_the_stock_currency_and_goods_market_and_the_monetary_policy_efficiency_within_different_uncertainty_states_in_these_markets/22187701 CC BY 4.0