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Dissertations / Theses on the topic 'Monetary policy – South Africa'

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Published: 4 June 2021

Last updated: 14 February 2022

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1

Kasai, Ndahiriwe. "Analysis of monetary policy rules for South Africa." Thesis, University of Pretoria, 2011. http://hdl.handle.net/2263/28695.

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Besides the introduction and conclusion, this thesis is comprised of six independent chapters. In this thesis we provide an in-sample and out-of-sample assessment of how the South African Reserve Bank (SARB) sets its policy rate, post 2000 inflation targeting regime, in the context of both linear and nonlinear Taylor-type rule models of monetary policy.<p. Chapter 2 provides the theoretical foundations and the case study discussion. The literature has shown that the Taylor (1993) rule has gone through many modifications since the last decade of the 20th century. The modifications of the Taylor

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2

Nell, Kevin S. "Money, inflation and growth in South Africa." Thesis, University of Kent, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322826.

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3

Ballim, Goolam Hoosen. "Interest rate behaviour in a more transparent South African monetary policy environment." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1004462.

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South Africa introduced inflation targeting as a monetary policy framework in 2000. This marked a sizable shift in monetary policy management from the previous "eclectic" approach and the explicit focus on M3 money supply before that. The study appraises the effectiveness of monetary policy under this new dispensation. However, the analysis does not centre on inflation outcomes, which can be a measure of effectiveness because they are the overriding objective of the South African Reserve Bank in effect, it is possible to have a target-friendly inflation rate for a length of time despite moneta

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4

Lehobo, Limakatso. "Monetary policy transmission in South Africa: the prime rate-demand for credit phase." Thesis, Rhodes University, 2006. http://hdl.handle.net/10962/d1020850.

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A voluminous literature attempts to explain the various channels of the monetary policy transmission mechanism through which central banks ultimately achieve price stability. However, most research focuses on interest rate pass-through and the demand for money phase, while there is limited research on the demand for credit. This study endeavours to contribute to the understanding of this neglected phase of monetary policy transmission by exploring the response of the real demand for bank credit by the private sector to changes in the real prime rate from 1990:1 to 2004:4 in South Africa. First

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5

De, Angelis Catherine. "The functioning of the interbank market and its significance in the transmission of monetary policy." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1008054.

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Monetary policy in South African is the primary means by which the authorities can influence activity in the overall economy. The South African Reserve Bank accommodates banks through repo transactions for which they charge the repo rate. The most important market in the transmission of the repo rate to the rest of the economy is the interbank market. As such, a detailed discussion of this market is given. In September 200 I the monetary authorities made certain adjustments to the repo system of accommodation, which included changing the repo rate from a floating rate to a fixed rate that woul

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6

Oldfield, Michael John. "Monetary policy and disintermediation in South Africa : 1970–2010 / Michael Oldfield." Thesis, North-West University, 2011. http://hdl.handle.net/10394/4468.

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This study examines the development of monetary theory and various policy frameworks as implemented at the time of writing. The aim of the study was to determine the effect of monetary policy on disintermediation and re–intermediation throughout the periods of the various monetary policy frameworks in South Africa, specifically between 1970 and 2010. In order to achieve the research objective given above, a review was firstly conducted of the literature on monetary theory and policy. This literature review gave attention to the various methods of evaluating the extent of disintermediation, ela

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7

Macalagh, Constance. "Effect of Monetary Policy Announcements on Stock Prices in South Africa." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30467.

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The purpose of the monetary policy is to attain and sustain price stability in order to achieve balanced and sustainable economic development and growth. The stock market contributes to the growth of vital sectors of the economy and thus ultimately has an impact on the economy of a country. Prior to making investment decisions, investors consider the required rate of return, making stock prices largely sensitive to macroeconomic announcements. The purpose of the study is to define the extent to which the monetary policy rate announcements influence the behaviour of stock prices for firms that

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8

Bordiss, Bradley John. "Ideas and power: shaping monetary policy in South Africa 1919-1936." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1011605.

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In the concluding paragraphs of Keynes’ General Theory, Keynes suggests that vested interests (power) may dominate in the short term, but that “sooner or later, it is ideas, not vested interests, which are dangerous for good or evil” (Keynes; 1936:384). This dissertation seeks to establish whether this is so, and to what extent, in the period 1919 to 1936, insofar as the shaping of monetary policy was concerned. The context that South Africa found itself in at the time was one in which Britain, the colonising power, was in economic decline. Britain’s real economy had lost its lead in the world

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9

Chicheke, Aaron. "Monetary policy, inflation, unemployment and the Phillips curve in South Africa." Thesis, University of Fort Hare, 2009. http://hdl.handle.net/10353/d1001202.

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Inflation and unemployment are perhaps the two most important challenges that face the South African economy of today. Firstly, the study examines the relationship between monetary policy and the two economic fundamentals (inflation and unemployment), using the VEC modeling technique. The model regresses the monetary policy variable against inflation and unemployment growth over the period 1980-2008. The results suggest that (1) there is a long run relationship between inflation and unemployment (2) monetary policy reacts more to variations in inflation compared to variations in unemployment.

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10

Muroyiwa, Brian. "Identifying the interdependence between South Africa's monetary policy and the stock market." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002716.

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This study estimates the interdependence between South Africa‟s monetary policy and stock market performance, utilising structural vector autoregression (SVAR) methodology. The study finds that a stock price shock which decrease stock prices by 100 basis points leads to 5 basis points decrease in interbank rate. A monetary policy shock that increases the interbank rate by l percent leads to decrease in real stock prices by 1 percent. This result for South Africa is similar to the result by Bjornland and Leteimo (2009) which earlier concluded that there was a high interdependence between intere

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11

Du, Plessis Stan 1972. "An institutional assessment of inflation targeting as a framework for monetary policy." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53268.

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Dissertation (PhD)--Stellenbosch University, 2003.<br>ENGLISH ABSTRACT: A number of themes run through this dissertation, the first of which is the importance of money in facilitating decentralised decision making by lowering transaction costs and by contributing to the definition and maintenance of property rights. A second (and more melancholy) theme is that government control of money has often been poor, and systematically so since the War. This leads to a third theme, the combined force of economic theory and central bank practice of the last quarter of a century or so has led to cl

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12

Sebitso, Nathaniel Maemu. "Monetary policy transmission in South Africa: a comparative analysis of credit and exchange rate channels." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1020851.

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This thesis focuses on monetary policy transmission and particularly seeks to examine the impact of credit and exchange rate channels of monetary policy transmission in the South African economy. South Africa's monetary policy has gone through several changes over the past thirty years. In this respect, there is a need for robust empirical evidence on the effects of these channels on inflation and output. The thesis employs a structural vector autoregressive (SVAR) model to identify monetary transmission in South Africa for the period 1994:q4 - 2008:q2. The form of the SVAR used in this thesis

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13

Hurn, A. S. "Private behaviour, economic activity and stabilisation in South Africa." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.333288.

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14

Cosser, Leigh Emma. "Asset prices and inflation-targeting : implications for South Africa." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1020849.

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An analysis of the current monetary policy framework in South Africa, which followed the exampie of a number of developed countries by implementing an inflation-targeting regime in 2000, is presented. The primary goal of the framework is to establish price stability, with financial stability a secondary objective. However, as has been evident in other countries, price stability does not guarantee financial stability. Movements in asset prices and the development of asset price bubbles have resulted in a number of episodes of financial instability, which negatively impacted on the growth and de

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15

Mabitle, Mope. "Dynamic linkages between monetary policy and the stock market: the case of South Africa." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1015290.

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This study analyses the linkage between monetary policy and the stock market in South Africa using monthly data for the period from 2000 to 2010. It provides an overview of the Johannesburg Stock Exchange and the monetary regimes adopted by the South African Reserve Bank since the 1960s and the interrelation between the monetary variables and the stock market. It also provides a review of literature, both theoretical and empirical on the linkages between the two variables. Based on the review of literature, a Vector Autoregression [VAR] model was chosen as a method of analyzing the relationshi

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16

Springfield, Samantha Claire. "Aspects of the new repurchase system of monetary control in South Africa." Thesis, Rhodes University, 2001. http://hdl.handle.net/10962/d1002673.

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The main objective of monetary policy is to protect the value of the currency, and in so doing, achieve the objectives of maximum economic growth, development, and the creation of employment opportunities. As from 1985, under the advice of the De Kock Commission, the South African Reserve Bank (SARB), implemented the classical cash reserve system of monetary control. Under this system, the SARB was willing to refinance the money market shortage fully, automatically, and on certain predetermined terms, conditions and costs. However, since the new political dispensation in 1994, South Africa’s f

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17

Patel, Aadil Suleman. "Development of the South African monetary banking sector and money market." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002732.

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This thesis presents a theoretical analysis of developments in the South African monetary banking sector and money market. In the first section, evolution of the political, social and economic environments over the past few decades are discussed to provide the reader with an idea of some factors responsible for the underdeveloped nature of this market. It has been argued that the domestic political and economic landscape is relatively stable. Nevertheless, factors such as Zimbabwe’s political and ensuing economic turmoil, coupled with numerous financial crises in other developing nations have

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18

Reid, Monique Brigitte. "Communication as a strategic monetary policy tool : an evaluation of the effectiveness of the South African Reserve Bank's communication." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17787.

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Thesis (PhD)--Stellenbosch University, 2011.<br>ENGLISH ABSTRACT: The effectiveness of monetary policy depends importantly on the expectations of the private sector, as it is largely through this channel of the transmission mechanism that policy changes are transmitted to long-term interest rates. This has increased the emphasis on the role of central bank communication as a monetary policy tool. Successful communication is essential both to enhance the effectiveness of monetary policy and to build support for the institutional framework within which monetary policy is implemented. While the l

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19

Berolsky, Nuno Goncalo. "An evaluation of IMF structural adjustment programmes : lessons for South Africa." Thesis, Rhodes University, 2000. http://hdl.handle.net/10962/d1002668.

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The mixed results of International Monetary Fund structural adjustment programmes in less developed countries are a major motivation for this research. Explanations must be advanced as to what may inhibit the success of such programmes. South Africa has often found itself in a precarious position- with a deteriorating balance of payments, a position similar to other countries that have accepted IMF loans. Furthermore, South Africa undertook an IMF loan in 1993. Financial support from the IMF incorporates structural adjustment programmes. These may include measures such as tighter monetary poli

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20

Murwirapachena, Genius. "Fiscal policy and unemployment in South Africa 1980 to 2010." Thesis, University of Fort Hare, 2011. http://hdl.handle.net/10353/544.

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Unemployment is one of the greatest and most complex challenges facing South Africa. Just like most developing countries, South Africa has been using the fiscal policy framework as a tool to alleviate the high rates of unemployment. This study examined the impact of fiscal policy on unemployment in South Africa. The study used annual time series data for the period 1980 to 2010. A vector error correction model was used to determine the effects of fiscal policy aggregates on unemployment in South Africa. The fiscal policy aggregates considered in this study were government investment expenditur

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21

Samkange, Edgar. "An investigation of the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy (2000-2009)." Thesis, University of Fort Hare, 2010. http://hdl.handle.net/10353/324.

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This study aims to investigate the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy. Multivariate co-integration, Granger causality, vector error correction model, impulse response function analysis and variance decomposition analysis are employed to determine the semi-strong form efficiency in South African equity market. Monthly data of Johannesburg Stock Exchange index, money supply (M1 & M2), short term interest rate, inflation, rand/dollar exchange rate, London Stock Exchange index (FSTE100) and GDP from 2000-2009 are the variables of interest.We

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22

Dadam, Vincent. "Structural unemployment, labour market dynamics and the transmission of monetary policy in South Africa." Thesis, University of Pretoria, 2017. http://hdl.handle.net/2263/65517.

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This thesis begins by raising the following question: what is the relationship between the labour market structure in South Africa and the ability of the monetary authority to keep control of macroeconomic dynamics? The answer to this question is threefold. First of all, we investigate the empirical evidence of the existence of wage rigidities in the South African labour market. Second, we assess the impact such frictions may have on the conduct of monetary policy. Finally, we introduce public employment to analyze the e¤ects it may have on labour market dynamics in the peculiar case of South

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23

Doig, Gregory Graham. "The interest rate elasticity of credit demand and the balance sheet channel of monetary policy transmission in South Africa." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006482.

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It has long been accepted that changes in monetary policy have real economic effects; however, the mechanism by which these policy changes are transmitted to the real economy has been the subject of much debate. Traditionally the transmission mechanism of monetary policy has consisted of various channels which include the money channel, the asset price channel and the exchange rate channel. Recent developments in economic theory have led to a relatively new channel of policy transmission, termed the credit channel. The credit channel consists of the bank lending channel as well as the balance

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24

Van, der Waal Cornelis. "The potential liberalization of the Chinese monetary system and the impact on South Africa." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50510.

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Thesis (MBA)--Stellenbosch University, 2005.<br>ENGLISH ABSTRACT: China has experienced phenomenal economic growth over the past 20 years and has developed from a pure socialist economy into a market driven economy_ However the transfonnation process is not yet complete. China has a pegged currency system (this was the case up until 2110712005) that is coupled to the US dollar. The result of this was that their currency fluctuated much less than other developing country currencies and hence became a very attractive investment destination. In addition to this labour in China is very cheap

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25

Moyo, Solomon Simbarashe. "A comparative analysis of the divisia index and the simple sum monetary aggregates for South Africa." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002679.

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The effectiveness of monetary policy in achieving its macroeconomic objectives such as price stability and economic growth depend on the monetary policy tools that are implemented by the Central Bank. Monetary aggregates are one of the tools that have been used as indicators of economic activity and as intermediate targets to achieve these economic objectives. Until recently, monetary aggregates have been questioned and criticised on their usefulness in monetary policy. This has been attributed to the economic, financial and technological developments that have distorted the relationship betwe

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26

Ramatlo, Tshegofatso. "Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?" Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30975.

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This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monet

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27

Koekemoer, Jonathan. "Government debt levels and the systemic risks associated with post-crisis fiscal policies." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1004168.

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The study analyses the concepts of intergenerational equity and fiscal sustainability in South Africa. The question raised is whether or not South Africa can adopt stimulatory fiscal measures, with a simultaneous increase in debt, so as to improve long-term growth potential in a sustainable manner without creating an excessive burden on future generations. The debate surrounding the use of stimulatory fiscal policy has come to the fore once again as monetary policy has become a restricted and ineffective macroeconomic policy tool in certain countries after the world-wide financial crisis and t

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28

Bauknecht, Klaus Dieter. "A macroeconometric policy model of the South African economy based on weak rational expectations with an application to monetary policy." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51575.

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Dissertation (PhD) -- University of Stellenbosch, 2000.<br>ENGLISH ABSTRACT: The Lucas critique states that if expectations are not explicitly dealt with, conventional econometric models are inappropriate for policy analyses, as their coefficients are not policy invariant. The inclusion of rational expectations in ·conventional model building has been the most common response to this critique. The concept of rational expectations has received several interpretations. In numerous studies, these expectations are associated with model consistent expectations in the sense that expectations

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29

Milisi, Busisiwe. "The exchange rate volatility and inflation rate in South Africa." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/9151.

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The study examines exchange rate volatility and inflation in South Africa over the period of 1987- 2012 using annual data. With the use of VAR, ADF unit root testing and Johansen for cointegration the study examines the relationship between exchange rate volatility and inflation in South Africa. The study also examines other variables, which are Money Supply, Trade Openness, Real Interest Rate and Real Gross Domestic Product (RGDP), if they had an impact on inflation and had contributed significantly to inflation during the period under review. All macroeconomic variables were identified to ha

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Chamunorwa, Wilson. "The effect of real exchange rate volatility on export performance: evidence from South Africa (2000-2011)." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/d1018600.

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The effect of real exchange rate volatility on export performance: evidence from South Africa (2000-2011) This study sought to investigate the relationship between exchange rate volatility and export performance in South Africa. The main objective of the study was to examine the impact of exchange rate volatility on export performance in South Africa. This relationship was examined using GARCH methods. Exports were regressed against real effective exchange rate, trade openness and capacity utilisation. The research aimed to establish whether exchange rate volatility impacts negatively on expor

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31

Chiparawasha, Francis. "Exchange rate pass-through to domestic prices in South Africa." University of the Western Cape, 2015. http://hdl.handle.net/11394/5017.

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Magister Commercii - MCom<br>This mini-thesis examines the speed and magnitude of exchange rate pass-through to domestic prices in South Africa. The shift from fixed exchange rate regimes to a system of floating exchange rates by many countries after the collapse of the Bretton Woods system increased the role of the exchange rate in the determination of inflation. In theory, exchange rate depreciation causes inflation via a process called exchange rate pass-through (ERPT). The effect of exchange rate variations on inflation is of special interest to policy makers especially for countries unde

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Sedick, Afiefa. "An analysis of the impact of crude oil price shocks on the exchange rate in South Africa." Thesis, University of the Western Cape, 2016. http://hdl.handle.net/11394/4980.

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Magister Economicae - MEcon<br>Numerous studies have investigated the impact of oil price shocks on the exchange rates in developed economies. However, fewer studies have examined the effect of oil price shocks in developing economies. One study by Turhan, Hacihasanoglu and Soytas in 2012 examines the dynamic effect of oil price movements in thirteen developing markets, including South Africa. Another study by Kin and Courage (2014) investigate the effect of crude oil prices on the South African exchange rate, but their modelling, time period and variables differs. The intention of the current

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Karoro, Tapiwa Daniel. "An analysis of exchange rate pass-through to prices in South Africa." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002687.

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The fact that South Africa has a floating exchange rate policy as well as an open trade policy leaves the country’s import, producer and consumer prices susceptible to the effects of exchange rate movements. Given the central role that inflation targeting occupies in South Africa’s monetary policy, it becomes necessary to determine the nature of influence of exchange rate changes on domestic prices. To this end, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to import, producer and consumer prices in South Africa. Furthermore, it explores whether the directio

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Gill, Madeline. "The viability of implementing inflation targeting as a policy solution to combat inflation in South Africa." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53187.

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Thesis (MBA)--Stellenbosch University, 2002.<br>ENGLISH ABSTRACT: Inflation has many negative effects and for this reason the South African Reserve Bank, like central banks in most countries, is strongly opposed to inflation and uses its monetary policy to combat it. This action is necessary for continued economic growth, prosperity and a fair distribution of income and wealth. Low inflation and a stable financial environment are important prerequisites for the achievement of these objectives on a long-term basis. In order to combat inflation in South Africa it was announced in the Budge

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35

Pasi, Tapiwa. "The effects of real exchange rate misalignment on exports in South Africa." University of Western Cape, 2020. http://hdl.handle.net/11394/7347.

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Masters of Commerce<br>The purpose of this study was to evaluate econometrically the effects of real exchange rate misalignment on South African exports between the period 1994 and 2015 using quarterly time-series data. Cointegration tests were done using the Johansen and Juselius approach. The study examined the effects of real exchange rate misalignment of the rand on South Africa’s exports, namely manufactured goods exports, automotive and chemical exports, mining exports, machinery and transport equipment exports and agricultural exports, on both an aggregate and a sectoral level.

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Sibanda, Hlanganani Siqondile. "Financial liberalisation and economic growth in South Africa." Thesis, University of Fort Hare, 2012. http://hdl.handle.net/10353/d1007131.

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This study examined the impact of financial liberalisation on economic growth in South Africa. The study used quarterly time series data for the period 1980 to 2010. A vector error correction model was used to determine the short run and long run effects of financial liberalisation on economic growth in South Africa. The other explanatory variables considered in this study were government expenditure, investment ratio, public expenditure on education and trade openness. Results from this study revealed that financial liberalisation, government expenditure and public expenditure on education ha

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Mzekwa-Khiva, Nomonde Lindelani. "Evaluation of debt management policy implementation towards revenue management in government leased properties." Thesis, Nelson Mandela Metropolitan University, 2013. http://hdl.handle.net/10948/d1020633.

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The study sought to evaluate debt management policy implementation towards revenue management in government leased properties of the Eastern Cape Provincial Treasury at the Transkei Development and Reserve Fund. Secondly, the study aimed at developing a tool for assisting policy-makers and officials involved in debt management and revenue collection. In order to address the research problem, a case study involving randomly selected 27 employees from the Eastern Cape Provincial Treasury and housing ward committee members was adopted. Self-administered questionnaires and interviews were the two

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Gonzo, Prosper. "Central Bank policy and the exchange rate under an inflation targeting regime: a case dtudy of South Africa." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1015043.

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This work examined the optimality of the inclusion of the exchange rate in the reaction function of the Central Bank in an inflation targeting framework. The study attempts to answer the question whether the exchange rate should have an independent role in an open economy Taylor-type rule. To this end, a Taylor-type rule is incorporating the exchange rate is estimated by the cointegration and vector error correction modeling (VECM) using quarterly data for the period of 1995 to 2009. The empirical studies point out the importance of the exchange rates in explaining and forecasting the behaviou

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Murozvi, Simbarashe. "Taylor rule influence on the setting of the repurchase rate by the South African Reserve Bank (1989-2009)." University of the Western Cape, 2016. http://hdl.handle.net/11394/5583.

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Magister Commercii - MCom<br>Monetary policy rules are guidelines applied by policy makers when adjusting monetary instruments towards reaching policy objectives like price stability. The South African Reserve Bank (SARB) uses the repurchase (repo) rate at which it lends to commercial banks as its monetary instrument. This study examines whether the SARB considers the output gap when deciding on changes to the repo rate. In order to test the above hypothesis the study applied a simple multiple linear regression model (quantitative methods). The hypothesis was tested based on the following inde

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Shelile, Teboho. "The term structure of interest rates and economic activity in South Africa." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1002729.

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Many research papers have documented the positive relationship between the slope of the yield curve and future real economic activity in different countries and different time periods. One explanation of this link is based on monetary policy. The forecasting ability of the term spread on economic growth is based on the fact that interest rates reflect the expectations of investors about the future economic situation when deciding about their plans for consumption and investment. This thesis examined the predictive ability of the term structure of interest rates on economic activity, and the ef

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Fadiran, Gideon Oluwatobi. "South African money market volatility, asymmetry and retail interest pass-through." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002728.

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The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the enti

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Morar, Derwina. "Inflation threshold and nonlinearity: implications for inflation targeting in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002718.

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Following many other central banks around the world, the South African Reserve Bank has adopted inflation targeting as its monetary policy framework. The aim of this is to achieve low levels of inflation in order to attain price stability thereby promoting growth. In South Africa, the chosen band to target is 3%–6%. This has been criticised by many trade unions who are calling for the abandonment of inflation targeting. Despite targeting 3%–6%, it is not known whether this is the optimal inflation range for South Africa. Therefore, the aim of this study is to determine the inflation threshold

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43

Arnpoful, Johnson. "'How Successful was the South African Reserve Bank in Making Monetary Policy Predictable and Transparent?'." University of Western Cape, 2004. http://hdl.handle.net/11394/7461.

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Masters of Commerce<br>This paper uses 3 - month and 12 - month market Negotiable Certificates of ( I . Deposit (NCO) rates to test whether greater transparency by the South African Reserve Bank has reduced expectational errors in the money markets. It does so by comparing the relative differences (between the implied forward rates-as indicators of expected future spot rates-and the actual 'future'spot rates) between the period before greater transparency and the period after greater transparency. Empirical evidence for the sample period indicates that greater ransparency by the South African

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Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.

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The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. Th

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Phelps, Barry Keith. "Financial contagion and the transmission of the 2007 US financial crisis to South Africa." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1019714.

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The topic of financial contagion has attracted increased attention in economic literature over the past three decades; in particular after the Asian crisis of 1997. This dissertation investigates financial contagion and its effects on South Africa after the 2007 global financial crisis. In particular, it examines whether South Africa experienced contagion from the United States stock market to its own over the period 1 July 2007 to 1 April 2009 within the strict definition of contagion or otherwise: the fraction of exceedance events in the stock market that is left unexplained by its own covar

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Jaramba, Toddy. "Volatility transmission across South African financial markets: does the bull – bear distinction matter?" Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1013396.

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The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in th

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Khomo, Melvin Muzi. "The yield curve as a forecasting tool : does the yield spread predict recessions in South Africa?" Thesis, Rhodes University, 2006. http://hdl.handle.net/10962/d1004722.

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This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread's predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is us

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Mitchell-Innes, Henry Alexander. "The relationship between interest rates and inflation in South Africa : revisiting Fisher's hypothesis." Thesis, Rhodes University, 2006. http://eprints.ru.ac.za/920/.

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Barnor, Joel A. "An analysis of the money market linkages between South Africa and selected major world economies." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002690.

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Globalisation and financial liberalisation has increased the linkages across countries in recent times. The existence of money market links has important implications for both domestic monetary policy and for investment decisions. This study examines the linkages between South Africa’s money market and selected major international money markets. The objectives of the study are firstly to examine the links between the repo rate of South Africa and the central bank rates of the EU, Japan, UK and US. Secondly, is to compare the influence of domestic and foreign monetary policy decisions on South

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Schady, Stuart William. "Money supply endogeneity : an empirical investigation of South African data (2000Q1-2011Q4)." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1001454.

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This study is about whether the money supply in South Africa under a monetary policy regime of inflation‐targeting is exogenously or endogenously determined. The proposition of an exogenous money supply has been offered by monetarists, where the Central Bank determines the quantity of money supplied to the economy and this has a causal influence on income and credit extension. The endogenous money theory is a post‐Keynesian proposition whereby the money creation is determined by banks adjusting their responses to demands for credit‐money from economic agents. The data analysis is from 2000Q1 t

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