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E32

Business Fluctuations; Cycles

publication

The transmission of monetary policy via the banks’ balance sheet - does bank size matter?

Tumisang Loate and Nicola Viegi
We study the credit channel of monetary policy in South Africa between 2002 and 2019 using banks’ balance sheets. We show that there is a significant heterogeneity within the banking sector in both the loan and deposit sides of the banks’ balance sheets. In response to a contractionary monetary...
Jan 2021
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publication

The optimal monetary and macroprudential policies for the South African economy

Guangling Liu and Thabang Molisey
We investigate the optimal design and e ectiveness of monetary and macroprudential policies in promoting macroeconomic (price) and financial stability for the South African economy. We develop a New Keynesian dynamic stochastic general equilibrium model featuring a housing market, a banking sector...
Feb 2020
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publication

A New Keynesian DSGE model for Low Income Economies with Foreign Exchange Constraints

Bertha C. Bangara
The existing literature is clear that low income economies tend to suffer from foreign exchange shortages exacerbated by their exports. Most importantly, the concentration of their exports renders these countries susceptible to international price fluctuations. This frequently affects the level of...
Sep 2019
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publication

The effectiveness of counter-cyclical loan-to-value regulations: generic versus sector-specific rules

Guangling Liu and Thabang Molise
This paper considers the implications of the counter-cyclical loan-to-value (CcLTV) regulation in a setting where different types of borrowers from distinct sectors of the credit market co-exist. To identify the optimal policy design, we consider two macro-prudential policy regimes, nanely generic...
Aug 2019
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publication

Monetary policy in a model with commodity and financial market

Vo Phuong Mai Le and Ruthira Naraidoo
This paper builds a small open economy model for a net commodity exporter to consider financial frictions and monetary policies in order to investigate the main determinants of business cycles. Since we make a distinction to the access of financial markets between the commodity and non-commodity...
May 2019
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publication

Fiscal Policy and Adjustment in a Foreign Exchange Constrained Economy: Evidence from Malawi

Bertha C. Bangara and Amos C. Peters
Most of the recent literature analysing the adjustments of macroeconomic variables to fiscal policy shocks rely on the inclusion of non-Ricardian households to generate a positive response of consumption to an increase in government spending. This paper examines the dynamic effects of government...
Apr 2019
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publication

Optimal Monetary Policy with Output and Asset Price Volatility in an Open Economy: Evidence from Kenya

Peter Wamalwa
This paper attempts to establish optimal response of monetary policy to output, inflation and asset price volatility in a small open economy, taking into account optimisation behaviour of households and firms. The empirical analysis suggest that monetary policy responds to deviation of interest...
Feb 2018
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publication

Macroprudential policy and foreign interest rate shocks: A comparison of different instruments and regulatory regimes

Chris Garbers and Guangling Liu
This paper presents a generic small open economy real business cycle model with banking and foreign borrowing. We incorporate capital requirements, reserve requirements, and loan-to-value (LTV) regulation into this framework, and subject the model to a positive foreign interest rate shock that...
Oct 2017
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publication

The welfare cost of macro-prudential policy in a two-country DSGE model

Hilary Patroba
This paper builds a two-country DSGE model with financial frictions and investigates the welfare cost of macro-prudential policy and its impact on financial stability. The two countries in question are the U.S. and South Africa. The results show that macro-prudential policy results in a welfare...
May 2017
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