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Financial Stress Indicator Variables and Monetary Policy in South Africa

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  • Leroi Raputsoane

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 […]

Suggested Citation

  • Leroi Raputsoane, 2014. "Financial Stress Indicator Variables and Monetary Policy in South Africa," Working Papers 443, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:443
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    1. Jan- Sturm & Jakob de Haan, 2005. "Determinants of long-term growth: New results applying robust estimation and extreme bounds analysis," Empirical Economics, Springer, vol. 30(3), pages 597-617, October.
    2. Ndahiriwe Kasaï & Ruthira Naraidoo, 2012. "Financial assets, linear and nonlinear policy rules," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 39(2), pages 161-177, May.
    3. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
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    5. Alain Kabundi & Nonhlanhla Ngwenya, 2011. "Assessing Monetary Policy In South Africa In A Data‐Rich Environment," South African Journal of Economics, Economic Society of South Africa, vol. 79(1), pages 91-107, March.
    6. Ruthira Naraidoo & Ivan Paya, 2010. "Forecasting Monetary Rules in South Africa," Working Papers 201007, University of Pretoria, Department of Economics.
    7. Jakob de Haan & Jan-Egbert Sturm, 2005. "Determinants of Long-term Growth: New Results Applying Roboust Estimation and Extreme Bounds," TWI Research Paper Series 12, Thurgauer Wirtschaftsinstitut, Universität Konstanz.
    8. Mr. Jan Vlcek & Mr. Scott Roger, 2012. "Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions," IMF Working Papers 2012/021, International Monetary Fund.
    9. Sala-i-Martin, Xavier, 1997. "I Just Ran Two Million Regressions," American Economic Review, American Economic Association, vol. 87(2), pages 178-183, May.
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    17. Leamer, Edward E, 1985. "Sensitivity Analyses Would Help," American Economic Review, American Economic Association, vol. 75(3), pages 308-313, June.
    18. Michael Woodford, 2012. "Inflation Targeting and Financial Stability," NBER Working Papers 17967, National Bureau of Economic Research, Inc.
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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 Markets; 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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