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The Long-Run Impact of Inflation in South Africa

  • Kafayat Amusa

    ()

    (Department of Economics, University of Pretoria and South African Treasury, Pretoria, South Africa)

  • Rangan Gupta

    ()

    (Department of Economics, University of Pretoria)

  • Shaakira Karolia

    ()

    (Department of Economics, University of Pretoria and South African Treasury, Pretoria, South Africa)

  • Beatrice D. Simo Kengne

    ()

    (Department of Economics, University of Pretoria and South African Treasury, Pretoria, South Africa)

This paper evaluates the hypothesis of long-run super-neutrality of money (LRSN) within the context of the South African economy. The long-run impact of inflation on the interest rate and subsequently, output is estimated by employing a trivariate structural vector autoregression model. The estimation results suggest that the hypothesis of LRSN cannot be rejected, thereby potentially supporting the arguments asserted by Sidrauski (1967).

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Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number 201029.

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Length: 19 pages
Date of creation: Dec 2010
Date of revision:
Handle: RePEc:pre:wpaper:201029
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Web page: http://www.up.ac.za/economics

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  9. Rangan Gupta & Josine Uwilingiye, 2009. "Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application Of Saphe Cracking," Working Papers 200906, University of Pretoria, Department of Economics.
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  15. Singh, Kanhaiya & Kalirajan, Kaliappa, 2003. "The inflation-growth nexus in India: an empirical analysis," Journal of Policy Modeling, Elsevier, vol. 25(4), pages 377-396, June.
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  17. Frederick H.Wallace & Gary L. Shelley, 2007. "Long Run Neutrality of Money in Mexico," Economía Mexicana NUEVA ÉPOCA, , vol. 0(2), pages 219-238, July-Dece.
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  25. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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  30. Kirsten L. Ludi & Marc Ground, 2006. "Investigating the Bank-Lending Channel in South Africa: A VAR Approach," Working Papers 200604, University of Pretoria, Department of Economics.
  31. Logan Rangasamy, 2009. "How persistent is South Africa's inflation," Working Papers 115, Economic Research Southern Africa.
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