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Identifying monetary policy rules in South Africa with inflation expectations and unemployment

Author

Listed:
  • Shannon Bold
  • Laurence Harris

Abstract

This paper investigates whether a Taylor rule accurately describes the South African Reserve Bank's reaction function in setting interest rates using quarterly data, covering the period since inflation targeting was formally adopted in 2000. The classic Taylor rule is modified to determine whether the South African Reserve Bank takes into account inflation expectations and labour market conditions. Our findings indicate that a modified Taylor rule does describe the South African Reserve Bank's policy rate adjustments.

Suggested Citation

  • Shannon Bold & Laurence Harris, 2018. "Identifying monetary policy rules in South Africa with inflation expectations and unemployment," WIDER Working Paper Series wp-2018-43, World Institute for Development Economic Research (UNU-WIDER).
    • Handle: RePEc:unu:wpaper:wp-2018-43
    as

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    References listed on IDEAS

    as
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    Cited by:

    1. Luchelle Soobyah & Mulalo Mamburu & Nicola Viegi, 2023. "IsSouthAfricafallingintoafiscaldominantregime," Working Papers 11041, South African Reserve Bank.
    2. Havemann, Roy & Hollander, Hylton, 2024. "Fiscal policy in times of fiscal stress (or what to do when r > g)," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 1020-1054.
    3. Haryo Kuncoro, 2021. "Central Bank Communication and Policy Interest Rate," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 76-91, January.
    4. Eugene E. Van Dyk & Justin Beukes & Mario du Preez, 2013. "A Cost-Benefit Analysis of Concentrator Photovoltaic Technology Use in South Africa: A Case Study," ERSA Working Paper Series 343, Economic Research Southern Africa.
    5. Mmakganya Mashoene & Mishelle Doorasamy & Rajendra Rajaram, 2021. "The application of different term-structure models to estimate South African real spot rate curve," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(3), pages 21-36, July.

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