nep-afr New Economics Papers
on Africa
Issue of 2008‒07‒30
four papers chosen by
Marco Novarese
University Amedeo Avogadro

  1. Foreign Reserve Adequacy in Sub-Saharan Africa. By Dhasmana, Anubha; Drummond, Paulo
  2. The Recent Decline in the Employment of Persons with Disabilities in South Africa, 1998-2006 By Sophie Mitra
  3. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model By Albert H. De Wet; Renee Van Eyden; Rangan Gupta
  4. Economic diversification in central Africa By KAMGNA, Severin Yves

  1. By: Dhasmana, Anubha; Drummond, Paulo
    Abstract: This paper looks at the question of adequacy of reserves in sub-Saharan African countries in light of the shocks faced by these countries. Literature on optimal reserves so far has not paid attention to the particular shocks facing low-income countries. We use a two-good endowment economy model facing terms of trade and aid shocks to derive the optimal level of reserves by comparing the cost of holding reserves with their benefits as an insurance against a shock. We find that the optimal level of reserves depends upon the size of these shocks, their probability, and the output cost associated with them.
    JEL: F0
    Date: 2008–06–01
  2. By: Sophie Mitra (Fordham University, Department of Economics)
    Abstract: This paper shows that there has been a significant decline in the employment and labor force participation of persons with disabilities in South Africa over the 1998 through 2006 period. Disability is defined based on activity limitations. Data are from the October and the General Household Surveys. The paper also deals with the possible causes of the decline. While several causes can be invoked, preliminary evidence suggests that the rise of the Disability Grant program might be responsible for a part of the decline. Recommendations are made for future research and data collection on disability and employment.
    Date: 2008
  3. By: Albert H. De Wet (FirstRand Bank, South Africa); Renee Van Eyden (Department of Economics, University of Pretoria); Rangan Gupta (Department of Economics, University of Pretoria)
    Abstract: Active credit portfolio management is becoming a central part of capital and credit management within the banking industry. Stimulated by the Basel II capital accord the estimation of risk sensitive credit and capital management is central to success in an increasingly competitive environment. If any risk mitigation or value-enhancing activity is to be pursued, a credit portfolio manager must be able to identify the interdependencies between exposures in a portfolio, but more importantly, be able to relate credit risk to tangible portfolio effects on which specific actionable items can be taken. This analysis draws on the macroeconometric vector error correcting model (VECM) developed by De Wet and Van Eyden (2007) and applies the proposed methodology of PSTW (2006) to a fictitious portfolio of corporate bank loans within the South African economy. It illustrates that it is not only possible to link macroeconomic factors to a South African specific credit portfolio, but that scenario and sensitivity analysis can also be performed within the credit portfolio model. These results can be used in credit portfolio management or standalone credit risk analytics which is ideal for practical credit portfolio management applications.
    Keywords: Credit portfolio modelling, macroeconometric correlation model, economic capital, scenario analysis, default threshold
    JEL: G32 E17
    Date: 2008–07
  4. By: KAMGNA, Severin Yves
    Abstract: The CEMAC’s countries are characterized by a weak diversification of their products and exports. Their economic performances are thus dependent of the activities of vulnerable sectors, and in general of the production of one or some raw materials. In fact, in spite of the growth of the weight of the exports of goods in the wealth creation during the period 1987 - 2006, with as corollary an accentuation of the openness, the exported products are stayed quasi-identical on the whole period. Besides, it is evident from the macro-econometrics modelling that the most explanatory factors of the diversification are i) the budgetary balance (macroeconomic variable), ii) the degree of commercial openness (political variable), and iii) the rate of investment (physical variable). These results show that all these variables are rather likely to encourage the concentration.
    Keywords: Diversification; concentration; CEMAC
    JEL: F10 F14 F41 F43
    Date: 2007–10–02

This nep-afr issue is ©2008 by Marco Novarese. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
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