共查询到20条相似文献,搜索用时 0 毫秒
1.
Zelda Blignaut Greg Farrell Victor Munyama Logan Rangasamy 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2009,77(4):538-552
This paper constructs and analyses the properties of a trimmed mean inflation rate for South Africa. Based on an analysis of the distributions of the consumer price index component price changes, a measure is constructed that provides an estimator of core inflation, which may be particularly useful to policymakers in an inflation‐targeting environment. The trimmed mean estimator focuses on the price movements of individual components that have a strong bearing on the current and future trend of the headline inflation rate, allowing monetary policy to be directed at the persistent or underlying sources of inflationary pressures. 相似文献
2.
Gerd Hansen 《Review of World Economics》1996,132(4):675-689
The Domestic Term Structure and International Interest Rate Linkages. A Cointegration Analysis. -This paper analyzes cointegration relations between domestic interest rates with different maturities and between the US and German interest rates of the same maturity by means of the Johansen procedure and single-equation error correction models. It analyzes also the implied common stochastic trends. The author concludes that in the long run, interest spreads within both countries strongly dominate and linkages between the interest rates of both countries are only important in the short run. 相似文献
3.
janine aron john n. j. muellbauer coen pretorius 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2009,77(2):282-313
Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub-components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four-quarters-ahead, for the 10 sub-components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation. 相似文献
4.
This paper evaluates whether globalization has increased the role of global factors in driving inflation in China. Unlike other published studies on the relationship between globalization and inflation, which mostly use Phillips curve models, this paper uses multivariate dynamic models to examine the dynamic interactions between globalization and inflation in China. Empirical results with quarterly data spanning from 1995 to 2012 show that the global output gap significantly affects the dynamics of inflation in China. In particular, the global output gap is superior to the domestic output gap in predicting domestic inflation. Impulse response and variance decomposition analyses reinforce this finding. Our results indicate that the central bank of China should take developments in global output into account in its monetary policy‐making process. 相似文献
5.
Alain Kabundi Eric Schaling 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2013,81(3):346-355
This paper examines the relationship between inflation and inflation expectations in South Africa. We use inflation expectations derived from the quarterly surveys conducted by the Bureau of Economic Research from 2001Q1 to 2011Q4 . Using these data, we estimate the model assuming that private sector expectations are a linear function of the inflation target and lagged inflation. The results indicate that economic agents' expectations largely depend on lagged inflation. This suggests that the South African Reserve Bank (SARB) has not been successful in anchoring expectations of the private sector since the adoption of the inflation targeting (IT) regime in 2000. We also find evidence indicating that the SARB's implicit inflation target lies above the upper bound of the official IT band. Finally, it appears that the SARB has been more concerned about output stabilisation than inflation stabilisation. 相似文献
6.
We explain Canadian target rate decisions using macroeconomic variables as well as Bank of Canada and Federal Reserve communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to explain and predict 60 target rate decisions between 1998 and 2006. We find that communications, especially speeches and testimony by Canadian Governing Council members, provide a significant and robust explanation of Canadian target rate decisions. However, prior to the introduction of fixed announcement dates, Canadian communications contained more information on upcoming policy moves. Finally, communications by the U.S. Federal Reserve Bank—which are much more frequent—outperform our Canadian communication indicators in explaining Canadian interest rate decisions. 相似文献
7.
This study decomposes relative price variability into a component due to inflation and a component due to real factors. The empirical results for India suggest that real factors account for 55% and inflation accounts for 45% of the variability in relative price changes. The proportion of inflation induced relative price variability increases with the rise in inflation, implying that inflation has distortionary effects on the structure of relative prices. Further, larger part of variability in the relative price changes seems to have been generated by fluctuations in the relative prices of a few commodities. The sector wise analysis shows that the major share of total relative price variability is contributed by fluctuations in the prices of manufactured products. The more crucial inference that emerges from the empirical analysis is that the inflation rate at which variability of relative price changes is minimum is found to be 4.5%, which is consistent with the official threshold rate often claimed by the Reserve Bank of India. 相似文献
8.
Financial Repression, Money Growth and Seignorage: The Polish Experience. — A small analytical framework is developed to analyze the relation between reserve requirements, base money growth and seignorage revenues. From the analysis, the authors can derive of steady-state seignorage revenues as a function of the rate of money growth and the intensity of financial repression. The framework is applied to the case of Poland that has undertaken a rapid transition to a market economy and implemented a substantial financial sector reform. The process of financial sector reform in Poland is discussed and estimates of the currency demand and deposit demand functions are undertaken to derive the seignorage Laffer curve. 相似文献
9.
monique reid 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2009,77(3):414-429
Price stability is widely recognised as the primary goal of modern monetary policy, and the management of private sector inflation expectations has become an essential channel through which this goal is achieved. This evaluation aims to improve the understanding of how the sensitivity of private sector inflation expectations to macroeconomic surprises in South Africa compares internationally, as this provides an indication of the contribution of monetary policy in South Africa to anchoring inflation expectations. If a central bank is credible, the financial markets should react less sensitively to macroeconomics surprises, because they trust the central bank to manage these incidents and achieve the objectives they communicated over the medium to long term. In this paper, the methodology of Gurkaynack et al. is adopted in order to measure the sensitivity of South African inflation expectations to surprises. A comparison of South Africa's results with those of countries in the original studies supports the contention that the SARB (South African Reserve Bank) has encouraged inflation expectations to be relatively insensitive to macroeconomic surprises, and offers support for the inflation-targeting framework as a means to help anchor inflation expectations. 相似文献
10.
This article studies the effects of inflation targeting (IT) on relative price variability (RPV) using a data set of twenty countries comprising both targeters and nontargeters. We find that a decline in mean inflation after IT adoption is not necessarily associated with a similar fall in RPV and that what matters most for the structural changes in RPV is the initial inflation regime prior to the adoption of IT rather than IT adoption itself. IT adoption impacts the shape of the underlying relationship between inflation and RPV in countries with initially high inflation rates, moving it from monotonic to the U‐shaped profile observed consistently for countries with low‐inflation regimes. The minimum point of this U‐shaped curve is indicative of the public's expectations of inflation and is very close to the announced target for inflation in most of the countries we study. 相似文献
11.
jannie rossouw vishnu padayachee 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2009,77(2):314-331
This study reports the measurement of inflation credibility of a representative sample of the South African population in terms of an inflation credibility barometer. The barometer is an instrument measuring the degree of acceptance of the accuracy of historic inflation figures. These research results serve as a benchmark for South Africa, as similar measurement of a representative sample has not been undertaken before. The sampling results show little public understanding of the rate of inflation and its measurement of average price increases experienced by an average household. As generally accepted international benchmarks for successful central-bank communication strategies do not exist, the application of the methodology reported in this paper can improve the effectiveness of central bank communication aimed at improving the general knowledge about inflation. 相似文献
12.
philiph mohr 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2008,76(1):1-15
There is currently much more common sense in the South African inflation debate than a few decades ago. In particular, the South African Reserve Bank exhibits a pragmatic, eclectic approach to inflation (as reflected in its bi‐annual Monetary Policy Reports). This is in stark contrast to the narrow, monetarist‐type thinking that tended to dominate during the 1980s. This paper is an attempt to contribute to the debate by highlighting a few issues, including the widespread substitution of the CPI by the CPIX, the fact that inflation is a process, the need to combat inflation, the causes of the decline in inflation in South Africa and the essential features of an inflation‐targeting framework for monetary policy. 相似文献
13.
rangan gupta josine uwilingiye 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2008,76(1):16-25
In this paper, we estimate the long‐run equilibrium relationship between money balance as a ratio of income and the Treasury bill rate for the period of 1965:02 to 2007:01, and in turn use the relationship to obtain welfare cost estimates of inflation. Using the Johansen technique, we estimate a log‐log specification and a semi‐log model of the above relationship. Based on the fits of the specifications, we decided to rely more on the welfare cost measure obtained under the log‐log money demand model. Our estimates suggest that the welfare cost of inflation for South Africa ranges between 0.34% and 0.67% of GDP, for a band of 3‐6% of inflation. Thus, it seems that the South African Reserve Bank's current inflation target band of 3‐6% is not too poorly designed in terms of welfare. 相似文献
14.
P-Star as a Link between Money and Prices in Germany. — The equilibrium price levelP-Star is defined as money per unit of potential output at equilibrium velocity. Deviations betweenP-Star and the actual price level (price gap) serve as an indicator of future price movements. To measure equilibrium velocity and to take into account its downward trend in Germany, a long-run money demand function is integrated into theP-Star approach. According to the empirical results, the constructed measure ofP-Star provides a stable link between M3 and the price level. However, comparable evidence could not be established for Ml and M2. 相似文献
15.
rangan gupta josine uwilingiye 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2010,78(1):76-88
This paper derives the econometric restrictions imposed by the Barro and Gordon model of dynamic time inconsistency on a bivariate time-series model of consumer price index (CPI) inflation and real gross domestic product (GDP), and tests these restrictions based on quarterly data for South Africa covering the period of January 1960-April 1999, i.e. for the pre-inflation targeting period. The results show that the data are consistent with the short- and long-run implications of the theory of time-consistent monetary policy. Moreover, when the model is used to forecast one-step-ahead inflation over the period of January 2001-February 2008, i.e. the period covering the starting point of the inflation-targeting regime until date, we, on average, obtain lower rates of inflation. The result tends to suggest that the South African Reserve Bank perhaps needs to manage the inflation-targeting framework better than it has done so far. 相似文献
16.
This paper investigates aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of UK financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of shocks on the index. We find evidence that price level shocks contributed significantly to financial instability during 1820-1931 and that inflation rate shocks contributed to instability during 1931-1999. While affecting the stability of the financial system, both the nature of aggregate price shocks and their impact depend on the existing monetary and financial regime. 相似文献
17.
Franz Ruch Dirk Bester 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2013,81(3):307-329
This paper constructs a number of possible core measures of inflation using singular spectrum analysis (SSA). Annual changes in monthly inflation are decomposed into its trend, oscillatory and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation. Three cyclical components with differing amplitude and frequency are identified. The trend and cyclical components of inflation are found to be a good approximation of core inflation, the inertial part of inflation. These core measures are compared with other candidate core measures based on the properties of a good core inflation measure. Generally, the SSA measures outperform commonly used measures of core inflation based on both in‐ and out‐of‐sample performance. 相似文献
18.
José Manuel Belbute Leonardo Dia Massala Júlio António Delgado 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2016,84(4):594-606
The purpose of this paper is to examine the degree of persistence in five inflation indicators for Angola, and to identify the implications for decision making. Our results suggest that when structural breaks are accounted for, all five inflation indicators are stationary. Second, our findings suggest that persistence is not too high. Moreover, the degree of persistence is similar among the five inflation indicators and throughout the sample period. Finally, our results also show that extracting the most volatile components of the headline inflation indicator does not generate a new inflation indicator that is less volatile and more persistent than the original. These results have important policy implications as the National Bank of Angola is preparing to change its monetary policy focus to a more inflation‐targeting regime. 相似文献
19.
tobias knedlik 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2006,74(4):629-641
The paper combines the estimation of the Monetary Conditions Index (MCI) with the theoretic modelling of optimal monetary policy in South Africa. The idea that monetary policy is not only interested in optimal monetary conditions but also in external stability, provides the basis for the analysis. The paper introduces the concept of the MCI and estimates the relative influence of interest rates and exchange rates on the output gap. The estimated weights are 1.9:1. This estimation results is used to specify operating target rules for South African monetary policy. 相似文献
20.
Learning about Fundamentals: The Widening of the French ERM Bands in 1993. — The authors incorporate a Bayesian learning model into a fairly general model of exchange rate determination in discrete time. The model is applied to the period following the widening of the French-German ERM bands in August 1993, in which a systematic underprediction of the franc can be observed until February 1994. A (substantial) part of these forecast errors can be mimicked by a Bayesian learning process. Simulations with our model show that, after the widening of the bands, agents, contrary to their initial expectations, gradually learned that the true process driving monetary conditions in France had not changed notably. 相似文献