Monetary policy and inflation in South Africa : a VECM augmented with foreign variables

De Waal, Annari; Van Eyden, Renee

dc.contributor.author	De Waal, Annari
dc.contributor.author	Van Eyden, Renee
dc.date.accessioned	2014-07-04T09:36:45Z
dc.date.issued	2014-03
dc.description.abstract	We develop a structural cointegrated vector autoregressive (VAR) model with weakly exogenous foreign variables, known as an augmented VECM or VECX, suitable for a small open economy like South Africa. This model is novel for South Africa in two ways: it is the first VECX developed to analyse monetary policy and the first model that uses time-varying trade weights to create the foreign series.We impose three significant long-run relations (augmented purchasing power parity, uncovered interest parity and Fisher parity) to investigate the effect of a monetary policy shock on inflation. The results suggest the effective transmission of monetary policy.	en_US
dc.description.librarian	hb2014	en_US
dc.description.uri	http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1813-6982	en_US
dc.identifier.citation	De Waal, A & Van Eyden, R 2014, 'Monetary policy and inflation in South Africa : a VECM augmented with foreign variables', South African Journal of Economics, vol. 82, no. 1, pp. 117-140.	en_US
dc.identifier.issn	0038-2280 (print)
dc.identifier.issn	1813-6982 (online)
dc.identifier.other	10.1111/saje.12027
dc.identifier.uri	http://hdl.handle.net/2263/40547
dc.language.iso	en	en_US
dc.publisher	Wiley-Blackwell	en_US
dc.rights	© 2013 Economic Society of South Africa.. The definite version is available at : http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1813-6982.	en_US
dc.subject	Monetary policy	en_US
dc.subject	Structural cointegrated vector autoregressive model	en_US
dc.subject	Augmented VECM	en_US
dc.subject	VECX*	en_US
dc.subject	South Africa (SA)	en_US
dc.title	Monetary policy and inflation in South Africa : a VECM augmented with foreign variables	en_US
dc.type	Preprint Article	en_US