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Details about Kevin Kotze

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Homepage:https://www.economodel.com/
Workplace:School of Economics, Faculty of Commerce, University of Cape Town, (more information at EDIRC)
Economic Research Southern Africa (ERSA), (more information at EDIRC)

Access statistics for papers by Kevin Kotze.

Last updated 2020-11-29. Update your information in the RePEc Author Service.

Short-id: pko495


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Working Papers

2020

  1. This paper provides a long-term perspective to the causal linkages between currency dynamics and macroeconomic conditions by utilising a long span data set for the United Kingdom that extends back to 1856 and a time-varying causality testing methodology that accounts for the nonlinearity and structural breaks. Using unemployment fluctuations as a proxy for macroeconomic conditions and wavelet decompositions to obtain the fundamental factor that drives excess returns for the British pound, time varying causality tests based on alternative model specifications yield significant evidence of causal linkages and information spillovers across the labour and currency markets over the majority of the sample. Causal effects seem to strengthen during the Great Depression and later following the collapse of the Bretton Woods system, highlighting the role of economic crises in the predictive linkages between the two markets. While the predictive role of currency market dynamics over unemployment fluctuations reflects the effect of exchange rate volatility on corporate investment decisions, which in turn, drives subsequent labour market dynamics (e.g. Belke & Gross (2001); Belke & Kaas (2004); Feldman (2011); among others), we argue that causality in the direction of exchange rates from unemployment possibly reflects the signals regarding monetary policy actions, which in turn, spills over to financial markets. Overall, the findings indicate significant information spillovers across the labour and currency markets in both directions with significant policy making implications
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
  2. Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data
    Working Papers, University of Pretoria, Department of Economics

2018

  1. Forecasting with Second-Order Approximations and Markov Switching DSGE Models
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2018) Downloads

    See also Journal Article in Computational Economics (2020)

2017

  1. Fiscal Policy Uncertainty and Economic Activity in South Africa
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads View citations (1)
  2. Inflation Dynamics in Uganda: A Quantile Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads

    See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2020)
  3. Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads

    See also Journal Article in Empirical Economics (2020)
  4. Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads

2016

  1. Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (1)

    See also Journal Article in Empirical Economics (2017)
  2. The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)

    See also Journal Article in Energy Economics (2017)

2013

  1. Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model
    Working Papers, University of Pretoria, Department of Economics View citations (9)

2012

  1. Trends and Structural Changes in South African Macroeconomic Volatility
    Working Papers, Economic Research Southern Africa Downloads View citations (2)

2010

  1. Should Central Banks of Small Open Economies Respond to Exchange Rate Fluctuations? The Case of South Africa
    Working Papers, Economic Research Southern Africa Downloads View citations (15)

Journal Articles

2020

  1. Forecasting with Second-Order Approximations and Markov-Switching DSGE Models
    Computational Economics, 2020, 56, (4), 747-771 Downloads
    See also Working Paper (2018)
  2. Inflation dynamics in Uganda: a quantile regression approach
    Macroeconomics and Finance in Emerging Market Economies, 2020, 13, (2), 161-187 Downloads
    See also Working Paper (2017)
  3. Monetary policy and financial frictions in a small open-economy model for Uganda
    Empirical Economics, 2020, 59, (3), 1213-1241 Downloads
    See also Working Paper (2017)

2017

  1. Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
    Empirical Economics, 2017, 53, (1), 117-135 Downloads View citations (1)
    See also Working Paper (2016)
  2. The role of oil prices in the forecasts of South African interest rates: A Bayesian approach
    Energy Economics, 2017, 61, (C), 270-278 Downloads View citations (1)
    See also Working Paper (2016)

2015

  1. Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model
    Economic Modelling, 2015, 44, (C), 215-228 Downloads View citations (10)
  2. Measuring Core Inflation in South Africa
    South African Journal of Economics, 2015, 83, (4), 527-548 Downloads View citations (4)

2014

  1. Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies
    South African Journal of Economics, 2014, 82, (2), 209-238 Downloads View citations (2)

2011

  1. FORECASTING PERFORMANCE OF AN ESTIMATED DSGE MODEL FOR THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2011, 79, (1), 50-67 View citations (31)

2010

  1. THE ROLE OF THE EXCHANGE RATE IN A NEW KEYNESIAN DSGE MODEL FOR THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2010, 78, (2), 170-191 Downloads View citations (22)
 
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