Real interest rate persistence in South Africa : evidence and implications

dc.contributor.authorDas, Sonali
dc.contributor.authorGupta, Rangan
dc.contributor.authorKanda, Patrick T.
dc.contributor.authorReid, Monique
dc.contributor.authorTipoy, Christian Kakese
dc.contributor.authorZerihun, Mulatu F.
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2015-06-19T09:50:53Z
dc.date.available2015-06-19T09:50:53Z
dc.date.issued2014-01
dc.description.abstractThe 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.librarianhb2015en_ZA
dc.description.urihttp://link.springer.com/journal/10644en_ZA
dc.identifier.citationDas, 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.issn1573-9414 (print)
dc.identifier.issn1574-0277 (online)
dc.identifier.other10.1007/s10644-012-9132-5
dc.identifier.urihttp://hdl.handle.net/2263/45620
dc.language.isoenen_ZA
dc.publisherSpringeren_ZA
dc.rights© Springer Science+Business Media New York 2012. The original publication is available at http://link.springer.comjournal/10644en_ZA
dc.subjectReal interest rateen_ZA
dc.subjectMonetary policyen_ZA
dc.subjectPersistenceen_ZA
dc.subjectMean reversionen_ZA
dc.titleReal interest rate persistence in South Africa : evidence and implicationsen_ZA
dc.typePostprint Articleen_ZA

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