Real interest rate persistence in South Africa : evidence and implications

Show simple item record Das, Sonali Gupta, Rangan Kanda, Patrick T. Reid, Monique Tipoy, Christian Kakese Zerihun, Mulatu F. 2015-06-19T09:50:53Z 2015-06-19T09:50:53Z 2014-01
dc.description.abstract The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties, surprisingly, there does not exist any study that delves into this issue for South Africa. Given this, using quarterly data (1960:Q2-2010:Q4) for South Africa, our paper endeavors to analyze the long-run properties of the ex post real rate (EPRR) by using tests of unit root, cointegration, fractional integration and structural breaks. In addition, we also analyze whether monetary shocks contribute to fluctuations in the real interest rate based on test of structural breaks of the rate of inflation as well as Bayesian change point analysis. Based on the tests conducted, we conclude that the South African EPPR can be best viewed as a very persistent but ultimately mean-reverting process. Also, the persistence in the real interest rate can be tentatively considered as a monetary phenomenon. en_ZA
dc.description.librarian hb2015 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Das, S, Gupta, R, Kanda, PT, Reid, M, Tipoy, CK & Zerihun, MF 2014, 'Real interest rate persistence in South Africa : evidence and implications', Economic Change and Restructuring, vol. 47, no. 1, pp. 41-62. en_ZA
dc.identifier.issn 1573-9414 (print)
dc.identifier.issn 1574-0277 (online)
dc.identifier.other 10.1007/s10644-012-9132-5
dc.language.iso en en_ZA
dc.publisher Springer en_ZA
dc.rights © Springer Science+Business Media New York 2012. The original publication is available at http://link.springer.comjournal/10644 en_ZA
dc.subject Real interest rate en_ZA
dc.subject Monetary policy en_ZA
dc.subject Persistence en_ZA
dc.subject Mean reversion en_ZA
dc.title Real interest rate persistence in South Africa : evidence and implications en_ZA
dc.type Postprint Article en_ZA

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