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Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application Of Saphe Cracking

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Author Info
Rangan Gupta () (Department of Economics, University of Pretoria)
Josine Uwilingiye () (Department of Economics, University of Pretoria)

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Abstract

Recent empirical evidence on the direct link of inflation targeting and inflation volatility is at best mixed. However, comparing inflation volatility across alternative monetary policy regimes within a country based on conventional ways, used in previous studies, begs the question. The question is not whether the volatility of inflation has changed, but rather whether the volatility is different than it otherwise would have been. In such a backdrop, this paper uses the cosine-squared cepstrum to provide evidence that CPI inflation in South Africa has become more volatile since the first quarter of 2000, when the country moved into an inflation targeting regime, than it would have been had the South African Reserve Bank (SARB) continued with the more eclectic monetary policy approach pursued in the pre-targeting era.

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Publisher Info
Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number 200906.

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Length: 10 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:pre:wpaper:200906

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Related research
Keywords: Cosine-Squared Cepstrum; Inflation Targeting; Inflation Volatility; Saphe Cracking;

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Find related papers by JEL classification:
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E64 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Incomes Policy; Price Policy

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Robert J. Barro & David B. Gordon, 1983. "A Positive Theory of Monetary Policy in a Natural-Rate Model," NBER Working Papers 0807, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Maria Demertzis & Nicola Viegi, 2006. "Aiming for the Bull's Eye: Uncertainty and Inertia in Monetary Policy," Computing in Economics and Finance 2006 150, Society for Computational Economics.
  3. Arminio Fraga & Ilan Goldfajn & André Minella, 2003. "Inflation Targeting in Emerging Market Economies," Working Papers Series 76, Central Bank of Brazil, Research Department. [Downloadable!]
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  4. Maria Demertzis & Nicola Viegi, 2007. "Inflation Targeting - a Framework for Communication," DNB Working Papers 149, Netherlands Central Bank, Research Department. [Downloadable!]
  5. Frederic S. Mishkin & Klaus Schmidt-Hebbel, 2007. "Does Inflation Targeting Make a Difference?," NBER Working Papers 12876, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Maria Demertzis & Nicola Viegi, 2008. "Inflation Targets as Focal Points," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 55-87, March. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-13.

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