Browsing by Author "Touna-Mama, Albert"

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    3-month bond option strategies: an analysis of performance from 1998 to 2010 in the South African market
    (2011) Ndebele, Ndumiso; Jones, Samantha; Touna-Mama, Albert
    Due to the 2008 financial crisis, investors have become more risk averse in investing in equities and have increased their holdings in bonds as they are believed to be less risky. However, South African interest rates have been volatile over the past decade due to changes in the inflation rate. This has caused the returns of bond portfolios to be uncertain since bond prices are inversely related to interest rates. It is thus imperative to manage the interest rate risk inherent in bond portfolios so that institutional investors can achieve their mandates and targeted returns.
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    DSGE models for the South African economy
    (2010) Abbas, Ahmed; Touna-Mama, Albert
    Dynamic stochastic modelling is relatively a new exercise in developing countries including South Africa. We use stochastic models to reproduce stylized facts of business cycles in South Africa. The basic neoclassical model and a model with indivisible labour are used to replicate the documented facts from the data. A model with variable capacity utilization and investment specific shocks is also used to reproduce facts about the manufacturing sector in South Africa. The models fair reasonably well in replicating volatilities of certain variables, but investment remains over-volatile in all the models. However, the South African labour market remains the hardest to replicate amidst well documented inflexibility.