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dc.contributor.author | De Waal, Annari![]() |
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dc.contributor.author | Van Eyden, Renee![]() |
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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 |