Monetary Transmission and Policy Rules in South Africa

Janine Aron ()

No 1627, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: South African monetary policy in the last 30 years has experienced major regime shifts. This paper finds that Taylor rules, augmented for foreign interest rate influences, and based either on forecast, or actual, inflation and output gap measures, poorly describe the behaviour of the discount rate in the relevant sub-periods. Alternative descriptions of central bank behaviour are modelled. Forecasting output, however, we find strong real and nominal interest rate effects over 30 years, though subject to a regime shift. Forecasting inflation one year ahead, it appears that monetary policy has its effect mainly via the exchange rate and the output gap, with little evidence for an influence of money supply variations. In the short-run, higher interest rates raise inflation.

Date: 2000-08-01
View list of references

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/1627.pdf main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecm:wc2000:1627

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().