Economics at your fingertips  

Commodity Prices and Policy Stabilisation in South Africa

Byron Botha and Eric Schaling

No 10225, Working Papers from South African Reserve Bank

Abstract: In order to account for the effects of commodity exports on the South African business cycle we use a multivariate extension of the Hodrick Prescott (HP) filter that incorporates commodity prices. We find that ignoring commodity prices results in a monetary policy stance that is more dovish than the one implied by our multivariate measure of the business cycle. This may partly explain why inflation breached the inflation target from 2007Q2 to 2009Q4, and overshot the upper bound of the target again by mid-2014. In addition we find that incorporating information about commodity prices implies smaller revisions of the estimated output gap. This in turn, enables a more consistent narrative around economic slack and monetary policy over time.

Date: 2020-09-04
New Economics Papers: this item is included in nep-afr, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) ... 20/10225/WP-2011.pdf Revision (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:

Access Statistics for this paper

More papers in Working Papers from South African Reserve Bank Contact information at EDIRC.
Bibliographic data for series maintained by Kym Naidoo ().

Page updated 2022-08-13
Handle: RePEc:rbz:wpaper:10225