South African Rand Research Articles

Statistical Analysis of the BitCoin and South African Rand Exchange Rates Risks when the Tails are Somewhat Heavy

Statistical Analysis of the BitCoin and South African Rand Exchange Rates Risks when the Tails are Somewhat Heavy

Feasibility of financing nature-based solutions for water security through water tariffs: Evidence from South Africa

Abstract In many countries, catchment restoration is underfunded. This study aims to address whether household water pricing could be used as a mechanism for securing funds for catchment restoration. The objectives were to determine households' willingness to pay (WTP) for their existing water use, investigate whether institutional trust and municipal satisfaction influenced WTP, and establish whether aggregate consumer surplus at the municipal scale could cover the costs needed to finance catchment restoration. Surveys were conducted on 502 households in three metropolitan municipalities in the City of Cape Town, eThekwini, and Nelson Mandela Bay. Contingent valuation revealed that average WTP for water was between 12 and 137% more and 32 and 73% more than what households currently pay for water per month in the City of Cape Town and eThekwini, respectively. Satisfaction with municipal service delivery positively influenced WTP, while institutional trust did not. The City of Cape Town, based on the aggregate WTP from the higher income categories, consumer surplus was 779 million South African Rand (ZAR)/year, more than double the estimated cost required to restore the catchment areas supplying water to the city over 30 years. In eThekwini, consumer surplus was equal to the amount needed over 30 years (250 million ZAR/year). These results demonstrate the significant potential to raise water tariffs for higher income households in metropolitan municipalities.

Comparing cardiovascular outcomes and costs of perindopril-, enalapril- or losartan-based antihypertensive regimens in South Africa: real-world medical claims database analysis

Abstract Background Effective strategies for hypertension management are essential to reduce associated morbidity and mortality in sub-Saharan Africa, where blood pressure control rates are alarmingly low. Renin-angiotensin-aldosterone system (RAAS) inhibitors are recommended as first-line treatment; however, differences in class or molecule-specific effects have not been conclusively demonstrated. Purpose This real-world study analysed medical insurance claims data to assess clinical and cost outcomes of antihypertensive therapy based on the three most commonly prescribed RAAS inhibitors in South Africa: perindopril, losartan and enalapril. Methods Patients on standard doses of perindopril, enalapril or losartan (alone or in combination with other agents) for ≥12 months prior to January 2015 were identified from a large, South African private health insurance database. Anonymised patient-level claims over the next 5 years (January 2015 to December 2019) were analysed in patients with ≥80% adherence. The primary outcome was the risk-adjusted rate of the composite of myocardial infarction (MI), ischaemic heart disease (IHD), heart failure (HF) or stroke. The key secondary clinical outcome was the risk-adjusted all-cause mortality rate; risk-adjusted costs per life per month (PLPM) in South African Rands (ZAR) were also assessed. Results In total, 63,489 patients who received perindopril (n=32,857), losartan (n=16,693) or enalapril (n=13,939) were included. Within the 5-year study period, the risk-adjusted rate of ≥1 claim for MI, IHD, HF or stroke (primary outcome) was significantly lower with perindopril than losartan (205 vs 221 per 1000 patients; P<0.0001) or enalapril (205 vs 223 per 1000 patients; P<0.0001). The risk-adjusted all-cause mortality rate was also significantly lower with perindopril than enalapril (100 vs 139 deaths per 1000 patients; P=0.007), but similar to that with losartan (100 vs 94 deaths per 1000 patients; P=0.650). Perindopril was also associated with significantly lower overall risk-adjusted costs than the other agents, with mean (95% confidence interval) costs PLPM of ZAR 1342 (87–8973) for perindopril, ZAR 1466 (104–9365) for losartan (P=0.0044) and ZAR 1540 (77–10,546) for enalapril (P=0.0003). Conclusion In this real-world analysis of South African individuals with hypertension, perindopril-based regimens were associated with a lower rate of cardiovascular events (MI, IHD, HF and stroke) over 5 years than enalapril- or losartan-based regimens. Perindopril also provided considerably greater cost-saving benefits, both statistically and socioeconomically, compared with the other RAAS inhibitor agents. Although these observations need to be confirmed in a broader South African population, including those treated in the public health sector, they may have significant implications for the choice of antihypertensive therapy.Time to outcome event over 5 yearsRisk-adjusted cost in South African Rand

THE DIRECT COSTS OF HIP FRACTURE CARE IN SOUTH AFRICA: A PUBLIC HEALTHCARE SYSTEM PERSPECTIVE

Fragility fractures are an emerging healthcare problem in Sub-Saharan Africa and hip fractures (HFs) are associated with high levels of morbidity, prolonged hospital stays, increased healthcare resources utilization, and mortality. The worldwide average healthcare cost in the first-year post HF was US$43,669 per patient in a 2017 systematic review, however there are no studies quantifying fracture-associated costs within SSA. We estimated direct healthcare costs of HF management in the South African public healthcare system.We conducted a prospective ingredients-based costing study in 200 consecutive consenting HF patients to estimate costs per patient across five regional public sector hospitals in KwaZulu-Natal (KZN). Resource use including staff time, consumables, laboratory investigations, radiographs, operating theatre time, surgical implants, medicines, and inpatient days were collected from presentation to discharge. Counts of resources used were multiplied by relevant unit costs, estimated from KZN Department of Health hospital fees manual 2019/20, in local currency (South African Rand, ZAR). Generalised linear models were used to estimate total covariate adjusted costs and cost predictors.The mean unadjusted cost for HF management was ZAR114,179 (95% CI; ZAR105,468–125,335). The major cost driver was orthopaedics/surgical ward costs ZAR 106.68, contributing to 85% of total cost. The covariate adjusted cost for HF management was ZAR114,696 (95% CI; ZAR111,745–117,931). After covariate adjustment, total costs were higher in patients operated under general anaesthesia compared to surgery under spinal anaesthesia and no surgery.Direct healthcare costs following a HF are substantial: 58% of the gross domestic per capita (US$12,096 in 2020), and six-times greater than per capita spending on health (US$1,187 in 2019) in SA. As the population ages, this significant economic burden to the health system will increase. Further research is required to evaluate direct non-medical, and the indirect costs incurred post HF.

Extreme Value Theory Modelling of the Behaviour of Johannesburg Stock Exchange Financial Market Data

Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the daily United States dollar (USD) against the South African rand (ZAR) exchange rate of the Johannesburg stock exchange (JSE). The study compares the block maxima approach and the peaks-over-threshold (POT) approach in terms of their ability to model financial market data. The 100-year return levels for the block maxima approach were found to be almost equal to the maximum observations of the financial markets of 10,860 and R18.99 for the ALSTRI and the USD–ZAR, respectively. For the peaks-over-threshold (POT) approach, the results show that the ALSTRI and the USD–ZAR exchange rate will surpass 17,501.63 and R23.72, respectively, at least once in 100 years. The findings in this study reveal a clear distinction between block maxima and POT return level estimates. The POT approach return level estimates were comparably higher than the block maxima estimates. The study further revealed that the blended generalised extreme value (bGEVD) is more suitable for relatively short-term forecasting, since it cuts off at the 50-year return level. Therefore, this study will add value to the literature and knowledge of statistics and econometrics. In the future, more studies on bGEVD, vine copulas, and the r-largest-order bGEVD can be conducted in the financial markets.

Wavelet-Based Analysis of the Comovement Between Exchange Rate and Stock Returns in Sacu Countries

ABSTRACT: The Southern African Customs Union is the oldest customs union in the world and the member states form a currency union with the South African Rand being the regional currency anchor. Therefore, currency movements amongst SACU member are dependent on the developments on the Rand which, in turn, can affect stock market development in the region. We examine the time-frequency relationship between exchange rates and stock market returns in SACU countries using continuous wavelet transforms. Our empirical analysis is two-staged. Firstly, we employ wavelet power spectrum to examine the time-frequency properties of the individual series. Secondly, we use wavelet coherence analysis and phase dynamics to examine the synchronization between the variables in a time-frequency space. Our findings show stronger (weaker) exchange rate-stock returns relations are found during periods of higher (lower) inflation whereas we observe a stronger (weaker) relationship during periods of lower interest rate environment. Moreover, we find more significant long-run relationships for countries with more independent monetary policy (South Africa and Botswana) whereas these relations are more prominent over the short-run for countries with pegged exchange rates (Eswatini and Namibia). We also observe that periods of oil and currency shocks impact the exchange rate-stock returns relationship in SACU countries with pegged exchange rates (Eswatini and Namibia). Our findings bear important implications for different stakeholders. For instance, this study has implications for exchange rate policy as it addresses the issue of whether the exchange rate can be used to improve market performance or exchange rate developments spillover into the stock market. Furthermore, corporate managers and stock market participants would be interested in our findings as it identifies periods of market inefficiency when exchange rates can be used to beat the stock market.

Construction SMEs labour productivity: causal layered analysis

Purpose Small and medium-sized contractors are critical to micro and macroeconomic performance. These contractors in South Africa have long been confronted with the problem of business failure because of a plethora of factors, including poor productivity. The purpose of this study is to investigate salient issues undermining the productivity of small and medium-sized contractors in South Africa. This study proposes alternative possibilities to engender productivity improvement. Design/methodology/approach Qualitative data were collected using semi-structured interviews with 15 contractors in Gauteng Province, South Africa. The research data were analysed using content and causal layered analyses. Findings Challenges to contractors’ productivity were associated with inadequately skilled workers, management competence and political factors. Skills development, construction business and political factors were dominant stakeholders’ perceptions. Metaphors for construction labour productivity are presented and reconstructed as alternative directions for productivity improvement. Practical implications Contractors lose a substantial amount of South African Rand to poor productivity. Alternative directions provided in this study can be leveraged to increase profitability in construction organizations, enhance the social well-being of South Africans and ultimately improve the contribution of contractors to the South African economy. Originality/value The causal layered analysis (CLA) applied in this study is novel to construction labour productivity research. The four connected layers of CLA, which make a greater depth of inquiry possible, were explored to investigate labour productivity in construction organizations.

A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates

In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South African Rand (ZAR/USD). The aim is to measure and compare the riskiness of the two currencies. New and improved estimation techniques for VaR have been suggested in the last decade in the aftermath of the global financial crisis of 2008. This paper aims to provide an improved alternative to the already existing statistical tools in estimating a currency VaR empirically. Maximal Overlap Discrete Wavelet Transform (MODWT) and two mother wavelet filters on the returns series are considered in this paper, viz., the Haar and Daubechies (d4). The findings show that BitCoin/USD is riskier than ZAR/USD since it has a higher VaR per unit invested in each currency. At the 99% significance level, BitCoin/USD has average values of VaR of 2.71% and 4.98% for the WD-ARMA-GARCH-GPD and WD-ARMA-GARCH-GEVD models, respectively; and this is slightly higher than the respective 2.69% and 3.59% for the ZAR/USD. The average BitCoin/USD returns of 0.001990 are higher than ZAR/USD returns of −0.000125. These findings are consistent with the mean-variance portfolio theory, which suggests a higher yield for riskier assets. Based on the p-values of the Kupiec likelihood ratio test, the hybrid model adequacy is largely accepted, as p-values are greater than 0.05, except for the WD-ARMA-GARCH-GEVD models at a 99% significance level for both currencies. The findings are helpful to financial risk practitioners and forex traders in formulating their diversification and hedging strategies and ascertaining the risk-adjusted capital requirement to be set aside as a cushion in the event of the occurrence of an actual loss.

The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns

Cryptocurrencies are said to be very risky, and so are the currencies of emerging economies, including the South African rand. The steady rise in the movement of South Africans’ investments between the rand and BitCoin warrants an investigation as to which of the two currencies is riskier. In this paper, the Generalised Pareto Distribution (GPD) model is employed to estimate the Value at Risk (VaR) and the Expected Shortfall (ES) for the two exchange rates, BitCoin/US dollar (BitCoin) and the South African rand/US dollar (ZAR/USD). The estimated risk measures are used to compare the riskiness of the two exchange rates. The Maximum Likelihood Estimation (MLE) method is used to find the optimal parameters of the GPD model. The higher extreme value index estimate associated with the BTC/USD when compared with the ZAR/USD estimate, suggests that the BTC/USD is riskier than the ZAR/USD. The computed VaR estimates for losses of $0.07, $0.09, and $0.16 per dollar invested in the BTC/USD at 90%, 95%, and 99% compared to the ZAR/USD’s $0.02, $0.02, and $0.03 at the respective levels of significance, confirm that BitCoin is riskier than the rand. The ES (average losses) of $0.11, $0.13, and $0.21 per dollar invested in the BTC/USD at 90%, 95%, and 99% compared to the ZAR/USD’s $0.02, $0.02, and $0.03 at the respective levels of significance further confirm the higher risk associated with BitCoin. Model adequacy is confirmed using the Kupiec test procedure. These findings are helpful to risk managers when making adequate risk-based capital requirements more rational between the two currencies. The argument is for more capital requirements for BitCoin than for the South African rand.

Cost-Effectiveness Analysis of the South African Infant National Immunization Program for the Prevention of Pneumococcal Disease.

Pneumococcal disease, which presents a substantial health and economic burden, is prevented through pneumococcal vaccination programs. We assessed the impact of switching from a 13-valent-based (PCV13) to lower 10-valent-based (PCV10-GlaxoSmithKline [GSK] or PCV10-Serum Institute of India [SII]) or higher-valent (PCV15 or PCV20) vaccination programs in South Africa. A previously published decision-analytic model was adapted to a South African setting. Historical invasive pneumococcal disease (IPD) incidence data were used to project IPD incidence over time for each vaccination program on the basis of serotype coverage. Historical incidence (IPD, pneumonia, otitis media), mortality, costs, and utilities were obtained from the published literature. Cases of disease, direct medical costs (i.e., vaccination, IPD, pneumonia, and otitis media costs) (in 2022 South African rands), life-years, quality-adjusted life-years (QALY), and incremental cost per QALY were estimated over a 5- and 10-year horizon for PCV13 and the PCV10 vaccines. Additionally, a public health impact analysis was conducted comparing PCV13, PCV15, and PCV20. Continuing use of PCV13 would substantially reduce disease incidence over time compared with switching to either of the PCV10 lower-valent vaccines. Cases of IPD were reduced by 4.22% and 34.70% when PCV13 was compared to PCV10-GSK and PCV10-SII, respectively. PCV13 was also found to be cost saving over 5- and 10-year time horizons compared with PCV10-SII and to be cost-effective over a 5-year time horizon and cost-saving over a 10-year time horizon compared with PCV10-GSK. PCV20 was consistently estimated to prevent more cases than the PCV10 vaccines, PCV13, or PCV15. Switching from a higher-valent to a lower-valent vaccine may lead to disease incidence re-emergence caused by previously covered serotypes. Maintaining PCV13 was estimated to improve public health further by averting additional pneumococcal disease cases and saving more lives and also to reduce total costs in most scenarios. Higher-valent PCVs can achieve the greatest public health impact in the pediatric vaccination program in South Africa.

The healthcare system costs of hip fracture care in South Africa.

We estimated direct healthcare costs of hip fracture (HF) management in the South African (SA) public healthcare system. We conducted a micro-costing study to estimate costs per patient treated for HF in five regional public sector hospitals in KwaZulu-Natal (KZN), SA. Two hundred consecutive, consenting patients presenting with a fragility HF were prospectively enrolled. Resources used including staff time, consumables, laboratory investigations, radiographs, operating theatre time, surgical implants, medicines, and inpatient days were collected from presentation to discharge. Counts of resources used were multiplied by unit costs, estimated from the KZN Department of Health hospital fees manual 2019/2020, in local currency (South African Rand, ZAR), and converted to 2020 US$ prices. Generalized linear models estimated total covariate-adjusted costs and cost predictors. The mean unadjusted cost for HF management was US$6935 (95% CI; US$6401-7620) [ZAR114,179 (95% CI; ZAR105,468-125,335)]. The major cost driver was orthopaedics/surgical ward costs US$5904 (95% CI; 5408-6535), contributing to 85% of total cost. The covariate-adjusted cost for HF management was US$6922 (95% CI; US$6743-7118) [ZAR113,976 (95% CI; ZAR111,031-117,197)]. After covariate adjustment, total costs were higher in patients operated under general anaesthesia [US$7251 (95% CI; US$6506-7901)] compared to surgery under spinal anaesthesia US$6880 (95% CI; US$6685-7092) and no surgery US$7032 (95% CI; US$6454-7651). Healthcare costs following a HF are high relative to the gross domestic product per capita and per capita spending on health in SA. As the population ages, this significant economic burden to the health system will increase.

Foreign exchange market return spillovers and connectedness among African countries

This paper examines the foreign exchange return shock spillovers and network connectedness among African countries during crisis periods using (Diebold & Yilmaz, 2012; 2014; 2016) which is based on generalized VAR and network theory between June 2004 and June 2021. Overall, the study found a low system-wide spillover connectedness among African foreign exchange markets. However, the total systemic spillover index increased during the eurozone sovereign debt crisis followed by global financial crisis, indicating evidence of contagion effects. This offers good diversification opportunities in the African currency market during crisis periods. The study also found no significant evidence of spillover effects among African currencies. Nonetheless, the network connectedness analysis found a positive significant pairwise return spillovers from the South African rand, Moroccan dirham and the CFA francs to Botswana pula, and from Moroccan dirham to CFA francs and South African rand. Furthermore, the study found South African rand, Moroccan dirham and CFA francs as the most significant net-transmitter of return shocks to other currencies whiles the Kenyan shilling and Botswana pula are the net-receivers of return shocks from other currencies. These results have implications for African central banks interventions in stabilizing their exchange rates to facilitate intra and inter-African trade and for international portfolio investors in managing their foreign exchange risk exposures.

Translation of transfer pricing adjustments in South Africa: A seemingly insignificant detail

The South African rand is one of the most volatile currencies in the world — at times the most volatile. To this is added a further area of uncertainty, namely the tax implications relating to transfer pricing. Section 31 of the South African Income Tax Act does not have any specific foreign currency translation rules. The general rule in s 25D of the Income Tax Act is therefore applicable, which provides for the translation of foreign currency to rand using the spot rate. However, given the nature of transfer pricing transactions, it raises the question whether the spot rate is indeed appropriate. The purpose of the study was to investigate South Africa’s translation rules and to seek guidance from an international perspective. The research design was non-empirical, adopting an interpretative paradigm, together with a doctrinal research methodology. The conclusion of this study is that the translation rules concerning transfer pricing adjustments have seemingly been overlooked. The study recommends a legislative amendment of s 31 and proposes that transfer pricing adjustments are converted using the average rate of exchange for the year of assessment to which the adjustments relate, as such an amendment will lead to certainty, equity and convenience.

EXAMINING MEAN AND VOLATILITY SPILLOVER IN FOREIGN EXCHANGE MARKETS: THE TURKISH CASE

Bu çalışmada Euro, İngiliz sterlini, Japon yeni, Brezilya reali, G.Afrika randı, Meksika pesosu ve G.Kore wonu ile Türk lirası arasındaki getiri ve volatilite yayılımı Cheung-Ng (1996) testi ile incelenmiştir. Analizlerde volatilite serilerindeki yapısal kırılmalar da dikkate alınmıştır. Volatilitenin modellenmesinde FIGARCH modelinden, volatilite serilerindeki yapısal kırılmaların belirlenmesinde ise Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Getiri yayılımına ilişkin bulgular; Japon yeni, İngiliz sterlini, Meksika pesosu ile G.Afrika randından Türk Lirasına doğru tek yönlü bir getiri yayılımının söz konusu olduğunu; Türk lirası ile Brezilya reali, Euro ve G.Kore wonu arasında ise çift yönlü bir getiri yayılımının bulunduğunu göstermektedir. Volatilite yayılımına ilişkin bulgular ise inceleme kapsamındaki tüm para birimlerinin volatilitesinin Türk lirası volatilitesi üzerinde etkili olduğunu, fakat Türk lirası volatilitesinin daha çok kendi iç dinamiklerinden kaynaklandığını göstermektedir. Çalışma bulguları hem uluslararası yatırımcılar hem de politika yapıcılar için önemli sonuçlar içermektedir.

Obesity in pregnancy in a resource-constrained setting: Complications and cost implications - a retrospective cross-sectional study.

To investigate the complications and costs associated with managing obese pregnant women in a resource-constrained environment. The files were randomly sampled for women that delivered at the tertiary level public sector Greys Hospital in Pietermaritzburg, South Africa; of the retrieved files, 206 met the inclusion criteria (January-June 2020). Patients were stratified by body mass index (normal, overweight, obese). The main outcomes being the prevalence of obesity, we conducted a logistic regression to compare the incidence of associated obstetric complications, and a direct costs comparison. Of the 206 patients, 117 (57%) were obese and at higher risk for fetal and maternal adverse outcomes. The obese/overweight group had higher incidence of pre-pregnancy complications; history of macrosomia and obstetric complications; and increased risk of failed induction, fetal anomalies, unscheduled prenatal care visits, and postpartum hemorrhage. Neonates born to obese/overweight women were at increased need for neonatal unit admission. The mean cost estimates were 49575.3 South African Rand (ZAR) for normal weight, 49310.5 ZAR for overweight, and 54444.2 ZAR for obese women. The high levels of obesity were associated with feto-maternal complications; the association increased healthcare use, resulting in a substantial increase in direct cost to the healthcare system.

Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies

Orientation: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS).Research purpose: This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies.Motivation for the study: The literature mainly focused on volatility transmission from developed countries.Research approach: This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.Main findings: Shocks from the equity markets dominate the foreign exchange markets, while foreign exchange markets dominate their equity markets at an individual level. There are interdependencies between BRICS equity markets and foreign exchange markets, except for China, whose markets are relatively isolated from other BRICS markets. Brazil is the largest contributor of volatility spillovers to other BRICS markets. The South African rand is the most integrated within BRICS.Practical implications: Foreign exchange markets provided better diversification opportunities. Significant increases in volatility spillovers associated with turmoil periods in domestic and global markets provide evidence for contagion effects in BRICS markets.Contribution: The current account (flow-oriented model) is crucial in exchange rate determination at the individual country level. In contrast, the capital account (stock-oriented model) is a significant factor in exchange rate determinations at an aggregate level.

A comparative cost analysis of two screening strategies for colorectal cancer in Lynch Syndrome in a South African tertiary hospital.

Lynch Syndrome (LS) individuals have a 25-75% lifetime risk of developing colorectal cancer. Colonoscopy screening decreases this risk. This study compared the cost of Strategy 1: screening colonoscopy for 1st degree relatives of patients that met the Revised Bethesda Criteria (i.e., probands) to Strategy 2: screening colonoscopy for 1st degree relatives of probands with genetic mutations for Lynch Syndrome based in a resource-constrained health care system. A comparative, health care provider perspective, cost analysis was conducted at a tertiary hospital, using a micro-costing, ingredient approach. Forty probands that underwent genetic testing between November 01, 2014 and October 30, 2015 and their first-degree relatives were costed according to Strategy 1 and Strategy 2. Unit costs of colonoscopy and genetic testing were estimated and used to calculate and compare the total costs per strategy in South African rand (R) converted to UK pounds (£). Sensitivity analyses were performed on colonoscopy adherence, relatives' positivity, and variable discount rates. The cost for Strategy 1 amounted to £653 344/R6 161 035 compared to £49 327/R 465155 for Strategy 2 (Discount rate 3%; Adherence 75%; and Positivity rate of relatives 45%). Base case analysis indicated a difference of 92% less in the total cost for Strategy 2 compared to Strategy 1. Sensitivity analyses showed that the difference in cost between the two strategies was not sensitive to variations in adherence, positivity or discount rates. Colonoscopy screening for LS and at-risk family members was tenfold less costly when combined with genetic analysis. The logistics of rolling out this strategy nationally should be investigated.

Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises significant power over most currencies, with the South African rand and Brazilian real holding both the highest downside and upside risk before and during the COVID-19 pandemic period, respectively. When considering risk spillovers from currencies towards Bitcoin, the Japanese yen exhibits the highest downside spillovers. Importantly, we find asymmetric spillovers between extreme upward and downward movements.

How do variations in dollar exchange rate impact food commodity prices in Africa?

Aim: Commodity exporting nations have significant terms of trade swings, making their actual exchange rate unstable. This study looked at how variations in dollar exchange rate affected food commodity prices in Africa between 1990 and 2021.
 Design/Research methods: The study conducted GARCH analysis for ascertaining prevalence of volatilities of exchange rates and interest rates respectively in selected African countries. Also, we estimated both static and dynamic analysis driven by panel least squares and generalized method of moments (GMM) estimators on panel data from some commodity-exporting African, namely, Ghana, Gabon, Tunisia, Nigeria, and South Africa.
 Findings: The dynamic GMM results reveal exchange rate and interest rate variations taken together had positive effects on commodity prices. GARCH estimates demonstrate significant volatility growth using both normal and t multivariate distributions. However, based on empirical findings, t-distribution had largest maximized log-likelihood of -8920.1 and also had a satisfactory df of 26.82 (<30). The results demonstrate that the Nigerian Naira had highest coefficient of volatility of approximately 71.2%. This was followed by the Ghanaian Cedi with a negative volatility rate of 71% and the South African rand with a coefficient of 65%. However, while all countries had negative volatility with respect to interest rate, all countries except Ghana had positive volatility in exchange rate of their currency. Ghana, Gabon, Tunisia, and Nigeria showed negative exchange rate volatility. A possible explanation for this high volatilities in the aforementioned countries is persistent domestic inflation.
 Originality: The originality is rooted on establishment of food prices having some positive relation with pervasive exchange rate shocks. This is an indication of adverse effects of downward adjustment of exchange rate of local African currencies vis-à-vis the US dollar on food prices in the African countries covered in the study.
 Contributions: The contribution of the study lies on its explanation of the increase of food commodity prices due to variability calculated in terms of depreciation in dollar exchange rate. Empirically, it is a confirmation of a significant structural problem, exchange rate variation as a cause of domestic inflation in selected African countries.
 Limitations: Results have to be interpreted with care due to the small sample size. The results are rather a working hypothesis for future research.
 JEL: A20, F46, G20

Comparing riskiness of exchange rate volatility using the Value at Risk and Expected Shortfall methods

This paper uses theValue at Risk (VaR) and the Expected Shortfall (ES) to compare the riskiness of the two currency exchange rate volatility, namely BitCoin against the US dollar (BTC/USD) and the South African Rand against the US dollar (ZAR/USD). The risks calculated are tail-related measures, so the Extreme Value Theory is used to capture extreme risk more accurately. The Generalized Pareto distribution (GPD) is assumed under Extreme Value Theory (EVT). The family of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models was used to model the volatility-clustering feature. The Maximum Likelihood Estimation (MLE) method was used in parameter estimation. Results obtained from the GPD are compared using two underlying distributions for the errors, namely: the Normal and the Student-t distributions. The findings show that the tail VaR on the BitCoin averaging 1.6 and 2.8 is riskier than on South Africa’s Rand that averages 1.5 and 2.3 at 95% and 99%, respectively. The same conclusion is made about tail ES, the BitCoin average of 2.3 and 3.6 is higher (riskier) than the South African Rand averages at 2.1 and 2.9 at 95% and 99%, respectively. The backtesting results confirm the model adequacy of the GARCH-GPD in the estimation of VaR and ES, since all p-values are above 0.05.