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
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
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.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
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 ().