dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Kabundi, Alain
|
|
dc.contributor.author |
Modise, Mampho P.
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dc.date.accessioned |
2010-05-28T06:19:20Z |
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dc.date.available |
2010-05-28T06:19:20Z |
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dc.date.issued |
2010-01 |
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dc.description.abstract |
This paper assesses the impact of a monetary policy shock on 15 key macroeconomic variables of South Africa, in the pre- and post-inflation targeting periods. For this purpose, we use a Factor-Augmented Vector Autoregressive (FAVAR) model comprising of 107 monthly time series over two equal sub-samples of 1989:01–1997:12 and 2000:01–2008:12. The results, based on impulse response functions, are in line with economic theory and indicate no puzzling effects often
observed with small-scale monetary Vector Autoregressive (VAR) models. More importantly, we find that the ability of monetary policy in affecting key macroeconomic variables, including inflation, has increased in the post-targeting period. But, majority of the effects are insignificant, which could, however, also be due to the shorter-lengths of the sub-samples relative to the number of variables used in this study, rather than depicting the inability of monetary policy to significantly affect the South African economy. |
en |
dc.identifier.citation |
Gupta, R, Kabundi, A & Modise, MP 2010, 'Has the SARB become more effective post inflation targeting?', Physical Chemistry Chemical Physics, doi: 10.1007/s10644-009-9083-7. [http://www.rsc.org/publishing/journals/cp/Index.asp] |
en |
dc.identifier.issn |
1359-7345 |
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dc.identifier.other |
10.1007/s10644-009-9083-7 |
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dc.identifier.uri |
http://hdl.handle.net/2263/14140 |
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dc.language.iso |
en |
en_US |
dc.publisher |
Royal Society of Chemistry |
en_US |
dc.rights |
Springer. The original publication is available at www.springerlink.com |
en_US |
dc.subject |
Monetary policy shock |
en |
dc.subject |
Inflation targeting |
en |
dc.subject |
Impulse response |
en |
dc.subject |
Factor augmented vector autoregression (FAVAR) |
en |
dc.subject.lcsh |
Monetary policy -- South Africa -- Mathematical models |
en |
dc.subject.lcsh |
Inflation (Finance) -- South Africa -- Mathematical models |
en |
dc.subject.lcsh |
Macroeconomics -- Econometric models |
en |
dc.title |
Has the SARB become more effective post inflation targeting? |
en |
dc.type |
Postprint Article |
en |