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Financial Stress Indicator Variables and Monetary Policy in South Africa

Author

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  • Leroi RAPUTSOANE

    (Department of Economics, Tshwane University of Technology, South Africa.)

Abstract

This paper analyses the relationship between financial stress indicator variables and monetary policy in South Africa with emphasis on how robust these variables are related to the monetary policy interest rate. The financial stress indicator variables comprise a set of variables from the main segments of the South African financial market that include the bond and equity securities markets, the commodity market and the exchange rate market.The empirical results show that the set of financial stress indicator variables from the bond and equity securities markets as well as those from credit markets and property markets are robustly associated with the monetary policy interest rate, while the set of financial stress indicator variables from commodity markets and the exchange rate market are weakly associated with the monetary policy interest rate.

Suggested Citation

  • Leroi RAPUTSOANE, 2016. "Financial Stress Indicator Variables and Monetary Policy in South Africa," Journal of Economics Bibliography, KSP Journals, vol. 3(2), pages 203-214, June.
    • Handle: RePEc:ksp:journ6:v:3:y:2016:i:2:p:203-214
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    References listed on IDEAS

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    Cited by:

    1. Raputsoane, Leroi, 2018. "Targeting financial stress as opposed to the exchange rate," MPRA Paper 84865, University Library of Munich, Germany.
    2. Li, Sile & Lucey, Brian M., 2017. "Reassessing the role of precious metals as safe havens–What colour is your haven and why?," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 1-14.
    3. Raputsoane, Leroi, 2018. "Temporal homogeneity between financial stress and the economic cycle," MPRA Paper 91119, University Library of Munich, Germany.
    4. Raputsoane, Leroi, 2018. "Monetary policy reaction function pre and post the global financial crisis," MPRA Paper 84866, University Library of Munich, Germany.

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    More about this item

    Keywords

    Financial stressindicator variables; Monetary policy.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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