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The Role Of Commodity Prices In Macroeconomic Policy In South Africa

  • Matthew kofi Ocran
  • Nicholas Biekpe

This paper examines whether commodity prices can be used as signal for informing macroeconomic policy in South Africa using the new approach for testing Granger causality developed by Toda and Yamamoto (1995 ). Evidence of causality from average gold price to interest rate, money, exchange rate and the consumer price index was observed. Again, evidence of causality was observed from metals price index to interest rate, money and exchange rate. The results suggest there is merit in using South Africa's average gold price and the metals price index of the International Monetary Fund as informational variables in setting monetary policy. Copyright (c) 2007 The Authors; Journal compilation (c) Economic Society of South Africa 2007.

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Article provided by Economic Society of South Africa in its journal South African Journal of Economics.

Volume (Year): 75 (2007)
Issue (Month): 2 (06)
Pages: 213-220

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Handle: RePEc:bla:sajeco:v:75:y:2007:i:2:p:213-220
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  1. Deaton, Angus & Laroque, Guy, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Wiley Blackwell, vol. 59(1), pages 1-23, January.
  2. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
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  7. John T. Cuddington & Hong Liang, 1998. "Commodity Price Volatility Across Exchange Rate Regimes," International Finance 9802003, EconWPA, revised 11 May 1998.
  8. Mark W. Watson, 1992. "Business cycle durations and postwar stabilization of the U.S. economy," Working Paper Series, Macroeconomic Issues 92-6, Federal Reserve Bank of Chicago.
  9. Marina Marinkov & Philippe Burger, 2005. "The Various Dimensions Of Commodity Dependence In Africa," South African Journal of Economics, Economic Society of South Africa, vol. 73(2), pages 269-291, 06.
  10. C. John McDermott & Eswar Prasad & Pierre-Richard Agénor, 1999. "Macroeconomic Fluctuations in Developing Countries; Some Stylized Facts," IMF Working Papers 99/35, International Monetary Fund.
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