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E43

Interest Rates: Determination, Term Structure, and Effects

The monetary policy of the South African Reserve Bank: stance, communication and credibility

Alberto Coco, Nicola Viegi
This paper analyses the evolution of the monetary policy stance, communication and credibility of the South African Reserve Bank (SARB) since 2000, when it adopted a flexible Inflation Targeting (IT) regime to facilitate the achievement of its price stability mandate. Empirical results indicate...
Jul 2019
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Effects of South African Monetary Policy Implementation on the CMA: A Panel Vector Autoregression Approach

Monaheng Seleteng (PhD)
The paper investigates the effects of South African monetary policy implementation on selected macroeconomic variables in the rest of the Common Monetary Area (CMA) looking specifically at the response of a shock to South African key interest rate (repo rate) on macroeconomic variables such as the...
Oct 2016
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Credit market heterogeneity, balance sheet (in) dependence, financial shocks

Chris Garbers and Guangling Liu
This paper presents a real business cycle model with financial frictions and two credit markets to investigate the qualitative and quantitative relevance of credit market heterogeneity. To address this line of inquiry we contrast the transmission of financial shocks in an economy where loans are...
Sep 2016
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Qualitative Guidance and Predictability of Monetary Policy in South Africa

Alain Kabundi and NtuthukoTsokodibane
With the adoption of the in‡ation targeting (IT) regime in 2000, the South African Reserve Bank (SARB) became independent. With the independence of monetary policy comes accountability to the public at large, which in turn leads to transparency in the conduct of monetary policy. The SARB has come a...
Aug 2016
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On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment

Bernard Njindan Iyke
This paper explores the correlations of the short- and long-term interest rate series through time in South Africa. Two time series techniques are utilized: the Kapetanios et al. (2003) nonlinear STAR unit root test and the asymmetric cointegration with threshold adjustment test of Enders and...
Nov 2015
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Credit spread variability in U.S. business cycles: The Great Moderation versus the Great Recession

Hylton Hollander and Guangling Liu
This paper establishes the prevailing financial factors that influence credit spread variability, and its impact on the U.S. business cycle over the Great Moderation and Great Recession periods. To do so, we develop a dynamic general equilibrium framework with a central role of financial...
Aug 2014
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A Note on the (continued) Ability of the Yield Curve to Forecast Economic Downturns in South Africa

Ferdi Botha & Gavin Keeton
In 2002/03 the yield spread falsely signalled a downswing that never materialised. This paper provides two reasons for this false signal. Firstly, while the Reserve Bank never actually officially declared the start of a downswing, by other important measures a downswing did actually occur. It is to...
Aug 2014
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A Portrait of Informal Sector Credit and Interest Rates in Malawi: Interpolated Monthly Time Series

Harold Ngalawa
Although informal finance forms a large part of their financial sector, nearly all low income countries exclude informal transactions in official monetary data. Usually, informal finance data are nonexistent and occasionally, they are available only from surveys that often occur at irregular...
Jul 2014
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