Financial cycles synchronisation in South Africa. A dynamic conditional correlation (DCC) Approach

References

• Adarov, A. (2017). Financial cycles in credit, housing and capital markets: Evidence from systemic economies. Tech. rep., WIIW Working Paper.
   Google Scholar
• Adrian, T., & Shin, H. S. (2010). Liquidity and leverage. Journal of Financial Intermediation, 19(3), 418–437. https://doi.org/10.1016/j.jfi.2008.12.002
   Web of Science ®Google Scholar
• Agénor, P. R., & da Silva, L. A. (2013). Inflation targeting and financial stability: A perspective from the developing world. Inter-American Development Bank.
   Google Scholar
• Agenor, P. R., & Da Silva, P. (2019). Integrated inflation targeting: Another perspective from the developing world. Bank of International Settlements.
   Google Scholar
• Aielli, G. P. (2013). Dynamic conditional correlation: On properties and estimation. Journal of Business & Economic Statistics, 31(3), 282–299. https://doi.org/10.1080/07350015.2013.771027
   Web of Science ®Google Scholar
• Aikman, D., Giese, J., Kapadia, S., & McLeay, M. (2019). Targeting financial stability: Macroprudential or monetary policy? European Central Bank.
   Google Scholar
• Alcidi, C. (2017). Fiscal policy stabilisation and the financial cycle in the Euro area. Tech. rep., Directorate General Economic and Financial Affairs (DG ECFIN), European.
   Google Scholar
• Alfaro, L., Kalemli-Ozcan, S., & Volosovych, V. (2007). Capital flows in a globalized world: The role of policies and institutions. In Capital controls and capital flows in emerging economies: Policies, practices, and consequences (pp. 19–72). University of Chicago Press.
   Google Scholar
• Ali, F., Bouri, E., Naifar, N., Shahzad, S. J., & AlAhmad, M. (2022). An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. Research in International Business and Finance, 63, 101768. https://doi.org/10.1016/j.ribaf.2022.101768
   Web of Science ®Google Scholar
• Amador-Torres, J. S., Gaitán-Maldonado, C., Gómez-González, J. E., Villamizar-Villegas, M., & Zárate-Solano, H. M. (2014). Credit and business cycles: An empirical analysis in the frequency domain. Borradores de Economía. No. 843.
   Google Scholar
• Angelini, P., Neri, S., & Panetta, F. (2014). The interaction between capital requirements and monetary policy. Journal of Money, Credit and Banking, 46(6), 1073–1112. https://doi.org/10.1111/jmcb.12134
   Web of Science ®Google Scholar
• Awokuse, T. O. (2003). Is the export-led growth hypothesis valid for Canada? Canadian Journal of Economics/Revue Canadienne D'économique, 36(1), 126–136. https://doi.org/10.1111/1540-5982.00006
   Web of Science ®Google Scholar
• Bakang, M. (2015). Effects of financial deepening on economic growth in Kenya. International Journal of Business and Commerce, 4(7), 1–50.
   Google Scholar
• Beck, T. (2008). The econometrics of finance and growth. The World Bank.
   Google Scholar
• Beck, T., & Levine, R. (2004). Stock markets, banks, and growth: Panel evidence. Journal of Banking & Finance, 28(3), 423–442. https://doi.org/10.1016/S0378-4266(02)00408-9
   Web of Science ®Google Scholar
• Beirne, J. (2020). Financial cycles in asset markets and regions. Economic Modelling, 92, 358–374. https://doi.org/10.1016/j.econmod.2020.01.015
   Web of Science ®Google Scholar
• Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2011). What segments equity markets? Review of Financial Studies, 24(12), 3841–3890. https://doi.org/10.1093/rfs/hhr082
   Web of Science ®Google Scholar
• Belke, A., Domnick, C., & Gros, D. (2017). Business cycle synchronization in the EMU: Core vs. periphery. Open Economies Review, 28(5), 863–892. https://doi.org/10.1007/s11079-017-9465-9
   Web of Science ®Google Scholar
• Bemanke, B., & Gertler, M. (1989). Agency costs, net worth, and business fluctuations. American Economic Review, 79, 14–31.
   Web of Science ®Google Scholar
• Bernanke, B., Gertler, M., & Gilchrist, S. (1994). The financial accelerator and the flight to quality. Tech. rep., National Bureau of Economic Research.
   Google Scholar
• Billio, M., Caporin, M., & Gobbo, M. (2006). Flexible dynamic conditional correlation multivariate Garch models for asset allocation. Applied Financial Economics Letters, 2(2), 123–130. https://doi.org/10.1080/17446540500428843
   Google Scholar
• Boar, C., Gambacorta, L., Lombardo, G., & Pereira da Silva, L. A. (2017). What are the effects of macroprudential policies on macroeconomic performance? BIS Quarterly Review. https://www.bis.org/publ/qtrpdf/r_qt1709g.pdf
   Google Scholar
• Bordo, M. D. (2009). The crisis of 2007: The same old story, only the players have changed. In Globalization and systemic risk (pp. 39–50). World Scientific.
   Google Scholar
• Borio, C. (2014). The financial cycle and macroeconomics: What have we learnt?. Journal of Banking & Finance, 45, 182–198. 10.1016/j.jbankfin.2013.07.031
   Web of Science ®Google Scholar
• Borio, C. E., Drehmann, M., & Xia, F. D. (2018). The financial cycle and recession risk. BIS Quarterly Review. https://www.bis.org/publ/qtrpdf/r_qt1812g.pdf
   Google Scholar
• Borio, C. E., Lombardi, M. J., & Zampolli, F. (2016). Fiscal sustainability and the financial cycle. https://www.bis.org/publ/work552.pdf
   Google Scholar
• Borio, C., & Lowe, P. (2002). Assessing the risk of banking crises. BIS Quarterly Review, 7, 43–54.
   Google Scholar
• Borio, C., Furfine, C., & Lowe, P. (2001). Procyclicality of the financial system and financial stability: Issues and policy options. BIS Papers, 1, 1–57.
   Google Scholar
• Bosch, A., &Koch, S. F. (2020). The South African financial cycle and its relation to household deleveraging. South African Journal of Economics, 88, 145–173. 210.1111/saje.12245
   Web of Science ®Google Scholar
• Brave, S. A., & Butters, R. (2011). Monitoring financial stability: A financial conditions index approach. Economic Perspectives, 35, 22.
   Google Scholar
• Brunnermeier, M. K., &Sannikov, Y. (2014). A macroeconomic model with a financial sector. American Economic Review, 104, 379–421. 210.1257/aer.104.2.379
   Web of Science ®Google Scholar
• Bry, G., &Boschan, C. (1971). Standard business cycle analysis of economic time series. In Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBEr,
   Google Scholar
• Bry, G., &Boschan, C. Standard business cycle analysis of economic time series. In Cyclical Analysis of Time Series: Selected Procedures and Computer Programs
   Google Scholar
• Caballero, R. J., &Krishnamurthy, A. (2009). Global imbalances and financial fragility. American Economic Review, 99, 584–588. 210.1257/aer.99.2.584
   Web of Science ®Google Scholar
• Cagliarini, A., & Price, F. (2017). Exploring the link between the macroeconomic and financial cycles [Paper presentation]. RBA Annual Conference Volume (Discontinued).
   Google Scholar
• Cerqueira, P. A., & Martins, R. (2009). Measuring the determinants of business cycle synchronization using a panel approach. Economics Letters, 102(2), 106–108. https://doi.org/10.1016/j.econlet.2008.11.016
   Web of Science ®Google Scholar
• Cerutti, E., Claessens, S., & Rose, A. K. (2017). How important is the global financial cycle. Evidence from Capital Flows. CEPR Discussion Papers, 12075.
   Google Scholar
• Cerutti, M. E., Correa, M. R., Fiorentino, E., & Segalla, E. (2016). Changes in prudential policy instruments—A new cross-country database. International Monetary Fund. https://doi.org/10.5089/9781475574517.001
   Google Scholar
• Christoffersen, P., & Errunza, V. (2000). Towards a global financial architecture: Capital mobility and risk management issues. Emerging Markets Review, 1(1), 3–20. https://doi.org/10.1016/S1566-0141(00)00002-9
   Google Scholar
• Cipamba, P. W. (2015). The export-output relationship in South Africa: An empirical investigation. Studies in Economics and Econometrics, 39, 25–46.
   Google Scholar
• Claessens, S.,Kose, M. A., &Terrones, M. E. (2011). Financial Cycles: What? How? When?. NBER International Seminar on Macroeconomics, 7(1), 303–344. 10.1086/658308
   Google Scholar
• Claessens, S., & Kose, M. A. (2018). Frontiers of macrofinancial linkages. BIS Paper.
   Google Scholar
• Claessens, S., Kose, M. A., & Terrones, M. E. (2011a). Recessions and financial disruptions in emerging markets: A bird’s eye view. Series on Central Banking Analysis and Economic Policies No. 16.
   Google Scholar
• Claessens, S., Kose, M. A., & Terrones, M. E. (2011b). Financial cycles: What? How? When? NBER International Seminar on Macroeconomics, 7(1), 303–344. https://doi.org/10.1086/658308
   Google Scholar
• Cochrane, J. H. (2005). The risk and return of venture capital. Journal of Financial Economics, 75(1), 3–52. 10.1016/j.jfineco.2004.03.006
   Web of Science ®Google Scholar
• De Backer, B. R., Dewachter, H. A., Guarda, P. A., Haavio, M. A., Hindrayanto, I. R., & Iskrev, N. I. (2018). Real and financial cycles in EU countries: Stylised facts and modelling implications. https://www.ecb.europa.eu/pub/pdf/scpops/ecb.op205.en.pdf
   Google Scholar
• De Wet, M. C., & Botha, I. (2022). Constructing and characterising the aggregate South African financial cycle: A Markov regime-switching approach. Journal of Business Cycle Research, 18(1), 37–67. https://doi.org/10.1007/s41549-022-00064-y
   Google Scholar
• Dlamini, L., &Ngalawa, H. (2022). Macroprudential policy and house prices in an estimated Dynamic Stochastic General Equilibrium model for South Africa. Australian Economic Papers, 61, 304–336. 210.1111/1467-8454.12249
   Web of Science ®Google Scholar
• Drehmann, M., & Yetman, J. (2018). Why you should use the Hodrick-Prescott filter–At least to generate credit gaps. https://www.bis.org/publ/work744.pdf
   Google Scholar
• Drehmann, M., Borio, C. E., & Tsatsaronis, K. (2012). Characterising the financial cycle: don’t lose sight of the medium term! https://www.bis.org/publ/work380.pdf
   Google Scholar
• Eickmeier, S., Gambacorta, L., & Hofmann, B. (2014). Understanding global liquidity. European Economic Review, 68, 1–18. https://doi.org/10.1016/j.euroecorev.2014.01.015
   Web of Science ®Google Scholar
• Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487
   Web of Science ®Google Scholar
• English, W., Tsatsaronis, K., & Zoli, E., (2005). Assessing the predictive power of measures of financial conditions for macroeconomic variables. BIS Papers, 22, 228–252.
   Google Scholar
• Farrell, G., & Kemp, E. (2020). Measuring the financial cycle in South Africa. SAJE, 88(2), 123–144.
   Google Scholar
• Fisher, I. (1933). The debt-deflation theory of great depressions. Econometrica, 1(4), 337–357. https://doi.org/10.2307/1907327
   Google Scholar
• Fostel, A., & Geanakoplos, J. (2008). Leverage cycles and the anxious economy. American Economic Review, 98(4), 1211–1244. https://doi.org/10.1257/aer.98.4.1211
   Web of Science ®Google Scholar
• Frieden, J. A. (1991). Invested interests: the politics of national economic policies in a world of global finance. International Organization, 45(4), 425–451. 10.1017/S0020818300033178
   Web of Science ®Google Scholar
• Gelain, P., & Ilbas, P. (2017). Monetary and macroprudential policies in an estimated model with financial intermediation. Journal of Economic Dynamics and Control, 78, 164–189. https://doi.org/10.1016/j.jedc.2017.01.010
   Web of Science ®Google Scholar
• Gertler, M., & Karadi, P. (2011). A model of unconventional monetary policy. Journal of Monetary Economics, 58(1), 17–34. https://doi.org/10.1016/j.jmoneco.2010.10.004
   Web of Science ®Google Scholar
• Gertler, M., & Kiyotaki, N. (2015). Banking, liquidity, and bank runs in an infinite horizon economy. American Economic Review, 105(7), 2011–2043. https://doi.org/10.1257/aer.20130665
   Web of Science ®Google Scholar
• Goldsmith, R. W. (1969). Financial structure and development. Yale University Press.
   Google Scholar
• Gomez-Gonzalez, J. E., Villamizar-Villegas, M., Zarate, H. M., Amador, J. S., & Gaitan-Maldonado, C. (2015). Credit and business cycles: Causal effects in the frequency domain. Ensayos Sobre Política Económica, 33(78), 176–189. https://doi.org/10.1016/j.espe.2015.05.002
   Google Scholar
• Gorton, G., & Ordonez, G. (2020). Good booms, bad booms. Journal of the European Economic Association, 18(2), 618–665. https://doi.org/10.1093/jeea/jvy058
   Web of Science ®Google Scholar
• Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American Economic Review, 70, 393–408.
   Web of Science ®Google Scholar
• Gurley, J. G., & Shaw, E. S. (1955). Financial aspects of economic development. The American Economic Review, 45, 515–538.
   Web of Science ®Google Scholar
• Hafner, C. M., &Reznikova, O. (2012). On the estimation of dynamic conditional correlation models. Computational Statistics & Data Analysis, 56(11), 3533–3545. 201210.1016/j.csda.2010.09.022
   Web of Science ®Google Scholar
• Harding, D., & Pagan, A. (2006). Synchronization of cycles. Journal of Econometrics, 132(1), 59–79. https://doi.org/10.1016/j.jeconom.2005.01.023
   Web of Science ®Google Scholar
• Harun, C. A., Taruna, A. A., Nattan, R. R., & Surjaningsih, N. (2014). Financial cycle of Indonesia–Potential forward looking analysis. https://publication-bi.org/repec/idn/wpaper/WP092014.pdf
   Google Scholar
• Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., & Watson, M. W. (2010). Financial conditions indexes: A fresh look after the financial crisis. Tech. rep. National Bureau of Economic Research.
   Google Scholar
• Hiebert, P.,Jaccard, I., &Schüler, Y. (2018). Contrasting financial and business cycles: Stylized facts and candidate explanations. Journal of Financial Stability, 38, 72–80. 10.1016/j.jfs.2018.06.002
   Web of Science ®Google Scholar
• Ho, S.-Y. (2019). Macroeconomic determinants of stock market development in South Africa. International Journal of Emerging Markets, 14(2), 322–342. https://doi.org/10.1108/IJoEM-09-2017-0341
   Web of Science ®Google Scholar
• Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1–16. https://doi.org/10.2307/2953682
   Web of Science ®Google Scholar
• Hollander, H., & Havemann, R. (2021). South Africa’s 2003–2013 credit boom and bust: Lessons for macroprudential policy. Economic History of Developing Regions, 36(2), 339–365. https://doi.org/10.1080/20780389.2021.1938532
   Web of Science ®Google Scholar
• Hubrich, K., d‘Agostino, A., Cervena, M., Ciccarelli, M., Guarda, P., & Haavio, M.. (2013). Financial shocks and the macroeconomy: Heterogeneity and non-linearities. ECB Occasional Paper.
   Google Scholar
• Isaacs, G., & Kaltenbrunner, A. (2018). Financialization and liberalization: South Africa’s new forms of external vulnerability. Competition & Change, 22(4), 437–463. https://doi.org/10.1177/1024529418788375
   Web of Science ®Google Scholar
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231–254. 10.1016/0165-1889(88)90041-3
   Web of Science ®Google Scholar
• Juselius, M., Borio, C. E., Disyatat, P., & Drehmann, M. (2016). Monetary policy, the financial cycle and ultralow interest rates. Bank of Finland Research Discussion Paper.
   Google Scholar
• Kabundi, A., & Rapapali, M. (2019). The transmission of monetary policy in South Africa before and after the global financial crisis. South African Journal of Economics, 87(4), 464–489. https://doi.org/10.1111/saje.12238
   Web of Science ®Google Scholar
• Keynes, J. M. (1964). The general theory of employment, interest and money (1936). The Collected Writings of John Maynard Keynes, 7, 1971–1979.
   Google Scholar
• Kim, S., & Mehrotra, A. N. (2017). Effects of monetary and macro-prudential policies–Evidence from inflation targeting economies in the Asia-Pacific region and potential implications for China. BOFIT Discussion Paper No. 4/2017
   Google Scholar
• Kiyotaki, N., & Moore, J. (1997). Credit chains. Edinburgh School of Economics. Discussion Papers, 118.
   Google Scholar
• Kovacic, Z., Vilotic, M., Scholes, V., Peiris, I., Lee, L., & Huang, G. (2017). Assessing European business cycles synchronization. https://ideas.repec.org/p/pra/mprapa/79990.html
   Google Scholar
• Kunovac, D., Mandler, M., & Scharnagl, M. (2018). Financial cycles in euro area economies: A cross-country perspective. https://www.econstor.eu/bitstream/10419/264534/1/OBES_OBES12481.pdf
   Google Scholar
• Kuper, G. H. & Lestano (2007). Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia. Journal of Asian Economics, 18(4), 670–684. https://doi.org/10.1016/j.asieco.2007.03.007
   Google Scholar
• Liu, G. D., & Seeiso, N. E. (2012). Basel II procyclicality: The case of South Africa. Economic Modelling, 29(3), 848–857. https://doi.org/10.1016/j.econmod.2011.10.015
   Web of Science ®Google Scholar
• Lucas, R. E. (1976). Econometric policy evaluation: A critique. Carnegie-Rochester Conference Series on Public Policy, 1, 19–46. https://doi.org/10.1016/S0167-2231(76)80003-6
   Google Scholar
• Ma, Y., & Zhang, J. (2016). Financial cycle, business cycle and monetary policy: Evidence from four major economies. International Journal of Finance & Economics, 21(4), 502–527. https://doi.org/10.1002/ijfe.1566
   Web of Science ®Google Scholar
• Makau, M. U. (2021). Macro risk factors, investor sentiments and performance of equity market at Nairobi securities exchange, Kenya [Ph.D. dissertation]. KENYATTA UNIVERSITY.
   Google Scholar
• Makrelov, K., Davies, R., & Harris, L. (2022). The impact of capital flow reversal shocks in South Africa: a stock-and-flow-consistent analysis. In Capitalism: An unsustainable future? (pp. 145–171). Routledge.
   Google Scholar
• Mandler, M., & Scharnagl, M. (2019). Financial cycles across G7 economies: A view from wavelet analysis. The Journal of Economic Asymmetries, 26, e00277.
   Google Scholar
• Merler, S. (2015). Squaring the cycle: Financial cycles, capital flows and macroprudential policy in the euro area. Tech. rep., Bruegel Working Paper.
   Google Scholar
• Milan, C., & Botha, I. (2019). Characterising cycles exhibited by important financial sections in the South African economy. Journal of Economic and Financial Sciences, 12(1), 1–18. https://doi.org/10.4102/jef.v12i1.433
   Google Scholar
• Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559–568. https://doi.org/10.1016/j.eneco.2009.01.009
   Web of Science ®Google Scholar
• Minsky, H. P. (1977). The financial instability hypothesis: An interpretation of Keynes and an alternative to “standard” theory. Challenge, 20(1), 20–27. https://doi.org/10.1080/05775132.1977.11470296
   Google Scholar
• Minsky, H. P. (1982). The financial-instability hypothesis: Capitalist processes and the behavior of the economy. https://www.levyinstitute.org/pubs/wp74.pdf
   Google Scholar
• Mishkin, F. S., & Bank, R. (2011). How should central banks respond to asset-price bubbles? The ‘lean’ versus ‘clean’ debate after the GFC. https://www.rba.gov.au/publications/bulletin/2011/jun/pdf/bu-0611-8.pdf
   Google Scholar
• Mothibi, L., &Mncayi, P. (2019). Investigating the key drivers of government debt in South Africa: A post-apartheid analysis. International Journal of Ebusiness and Egovernment Studies, 11(1), 16–33.
   Google Scholar
• Ncube, M., Ndou, E., & Gumata, N. (2016). Global growth and financial spillovers and the South African macro-economy. Springer.
   Google Scholar
• Nkou Mananga, P., Lin, S., & Zhang, H. (2023). A network approach to interbank contagion risk in South Africa. https://www.resbank.co.za/content/dam/sarb/publications/working-papers/2023/WP%202309.pdf
   Google Scholar
• Nyati, M. C., Tipoy, C. K., & Muzindutsi, P.-F. (2021). Measuring and testing a modified version of the South African financial cycle. Tech. rep., Economic Research Southern Africa.
   Google Scholar
• Nzimande, N. P., & Ngalawa, H. (2016). Is there a SADC business cycle? Evidence from a dynamic factor model. Tech. rep. https://saef.ukzn.ac.za/wp-content/uploads/2018/05/SAEF-Is-there-a-SADC-Business-Cycle-Evidence-from-a-Dynamic-Factor-Model.pdf
   Google Scholar
• Oman, W. (2019). The synchronization of business cycles and financial cycles in the euro area. International Journal of Central Banking, 15, 327–362.
   Web of Science ®Google Scholar
• Pahla, Z. M. (2019). The determinants of the South African financial cycle. University of Johannesburg (South Africa.
   Google Scholar
• Paoli, B. D., & Paustian, M. (2017). Coordinating monetary and macroprudential policies. Journal of Money, Credit and Banking, 49(2–3), 319–349. https://doi.org/10.1111/jmcb.12381
   Web of Science ®Google Scholar
• Parusel, M., & Viegi, N. (2009). Economic policy in turbulent times. http://www.nviegi.net/research/crises.pdf
   Google Scholar
• Pechenizkiy, M., Tsymbal, A., & Puuronen, S. (2004). PCA-based feature transformation for classification: issues in medical diagnostics [Paper presentation]. Proceedings. 17th IEEE Symposium on Computer-Based Medical Systems (pp. 535–540). https://doi.org/10.1109/CBMS.2004.1311770
   Google Scholar
• Peltonen, T. (2017). Coherent financial cycles for G-7 countries: Why extending credit can be an asset. https://www.esrb.europa.eu/pub/pdf/wp/esrbwp43.en.pdf
   Google Scholar
• Poggio, T., Lo, A. W., LeBaron, B., & Chan, N. T. (2001). Agent-based models of financial markets: A comparison with experimental markets. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=290140.
   Google Scholar
• Reinhart, C. M., & Rogoff, K. S. (2009). The aftermath of financial crises. American Economic Review, 99(2), 466–472. https://doi.org/10.1257/aer.99.2.466
   Web of Science ®Google Scholar
• Richter, B., Schularick, M., & Shim, I. (2018). The macroeconomic effects of macroprudential policy. https://www.bis.org/publ/work740.pdf
   Google Scholar
• Rünstler, G., & Vlekke, M. (2018). Business, housing, and credit cycles. Journal of Applied Econometrics, 33(2), 212–226. https://doi.org/10.1002/jae.2604
   Web of Science ®Google Scholar
• Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008. American Economic Review, 102(2), 1029–1061. https://doi.org/10.1257/aer.102.2.1029
   Web of Science ®Google Scholar
• Schumpeter, J. The theory of economic development. Routledge (1911).
   Google Scholar
• Shiller, R. J. (2000). Measuring bubble expectations and investor confidence. Journal of Psychology and Financial Markets, 1(1), 49–60. https://doi.org/10.1207/S15327760JPFM0101_05
   Google Scholar
• Stock, J. H., & Watson, M. (2011). Dynamic factor models. Oxford Handbooks Online.
   Google Scholar
• Stremmel, H. (2015). Capturing the financial cycle in Europe. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1811.en.pdf
   Google Scholar
• Stremmel, H., & Zsámboki, B. (2015). The relationship between structural and cyclical features of the EU financial sector. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1812.en.pdf
   Google Scholar
• Sukati, M. (2013). Cointegration analysis of oil prices and consumer price index in South Africa using STATA software. https://ideas.repec.org/p/pra/mprapa/49797.html
   Google Scholar
• Temouri, Y., Driffield, N., & Bhaumik, S. K. (2016). A strategic perspective of cross-listing by emerging market firms: evidence from Indonesia, Mexico, Poland and South Africa. Journal of International Management, 22(3), 265–279.
   Web of Science ®Google Scholar