EconPapers    
Economics at your fingertips  
 

Is the South African Reserve Bank Influenced by Exchange Rates when Setting Interest Rates?

Charl Jooste () and Rangan Gupta ()

No 201420, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyses the extent to which the South African Reserve Bank (SARB) uses the repo rate in response to exchange rate depreciations. We use a Vector Autoregression to model the simultaneous linkage between the real effective exchange rate and the policy rate. A combination of short-run and sign restrictions are used to identify the model. Our results show that currency depreciation is important in monetary policy interest rate setting. The exchange rate also reacts significantly to changes in the repo rate.

Keywords: Exchange rate; monetary policy; sign restricted VAR (search for similar items in EconPapers)
JEL-codes: E4 E58 C3 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2014-05
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:pre:wpaper:201420

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2021-01-18
Handle: RePEc:pre:wpaper:201420