Has the SARB become more effective post inflation targeting?

被引：6

作者：

Gupta R. ^{[1
]}

Kabundi A. ^{[2
]}

Modise M.P. ^{[1
]}

机构：

[1] Department of Economics, University of Pretoria

[2] Department of Economics, University of Johannesburg

来源：

Economic Change and Restructuring | 2010年 / 43卷 / 3期

关键词：

FAVAR; Impulse response functions; Inflation targeting; Monetary policy shock;

D O I：

10.1007/s10644-009-9083-7

中图分类号：

学科分类号：

摘要：

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. © 2010 Springer Science+Business Media, LLC.

引用

页码：187 / 204

页数：17

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