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The Role Of Commodity Prices In Macroeconomic Policy In South Africa

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Listed author(s):
  • Matthew kofi Ocran
  • Nicholas Biekpe

Abstract

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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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1813-6982.2007.00120.x
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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. Angus Deaton & Guy Laroque, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Oxford University Press, vol. 59(1), pages 1-23.
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  8. Jan Gunning & Paul Collier, 1996. "Policy towards Commodity Shocks in Developing Countries," IMF Working Papers 96/84, International Monetary Fund.
  9. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
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  12. Agenor, Pierre-Richard & McDermott, C John & Prasad, Eswar S, 2000. "Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts," World Bank Economic Review, World Bank Group, vol. 14(2), pages 251-285, May.
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Cited by:

  1. Hegerty, Scott W., 2016. "Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 23-37.

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