Investigating the first level of pass -through effects of the SACU region monetary transmission mechanism
- Authors: Mkhombo, Thando
- Date: 2022-04
- Subjects: Monetary unions -- Africa, Southern , Foreign exchange market
- Language: English
- Type: Doctoral theses , text
- Identifier: http://hdl.handle.net/10948/55998 , vital:54562
- Description: The purpose of this thesis is to investigate the first-level pass-through effects of monetary policy transmission in SACU using the wavelet analysis methodology. The thesis comprises four empirical themes. 1. Investigating the time-frequency relationship in the Fisher’s effect for SACU countries. 2. Investigating the time-frequency relationship in the Purchasing Power Parity (PPP) for SACU countries. 3. Investigating the time-frequency relationship between the exchange rate and the stock returns for SACU countries. 4. Investigating the time-frequency relationship between interest rates, exchange rates, and stock returns for SACU countries. Whilst there exists a considerable amount of empirical works which have studied the four themes in SACU countries that are covered in this study, there is a need for more empirical investigation for several reasons. Firstly, a majority of the studies have focused on South Africa with very little empirical literature existing for Botswana and Lesotho. Secondly, the previous SACU based studies present contradicting findings. Thirdly, Most of these studies did not cover the themes comprehensively, as is the case in this study. Finally, to the best of my knowledge, this methodology has not been employed in any SACU related literature until now. Altogether, the thesis bridges the inconsistencies found in previous SACU-related literature and offers fresh implications for policymakers and market participants. From an empirical perspective, the wavelet coherence analysis proves to be a powerful tool in reconciling previous contradicting empirical evidence on the existence of the Fisher effect in SACU countries. From a policy perspective, more fined tuned implications are derived from the findings of the study as wavelets are able to depict a more accurate description of the different first-level monetary transmission relationships. , Thesis (PhD) -- Faculty of Business and Economic Sciences, School for Economics, Development and Tourism, 2022
- Full Text:
- Date Issued: 2022-04
- Authors: Mkhombo, Thando
- Date: 2022-04
- Subjects: Monetary unions -- Africa, Southern , Foreign exchange market
- Language: English
- Type: Doctoral theses , text
- Identifier: http://hdl.handle.net/10948/55998 , vital:54562
- Description: The purpose of this thesis is to investigate the first-level pass-through effects of monetary policy transmission in SACU using the wavelet analysis methodology. The thesis comprises four empirical themes. 1. Investigating the time-frequency relationship in the Fisher’s effect for SACU countries. 2. Investigating the time-frequency relationship in the Purchasing Power Parity (PPP) for SACU countries. 3. Investigating the time-frequency relationship between the exchange rate and the stock returns for SACU countries. 4. Investigating the time-frequency relationship between interest rates, exchange rates, and stock returns for SACU countries. Whilst there exists a considerable amount of empirical works which have studied the four themes in SACU countries that are covered in this study, there is a need for more empirical investigation for several reasons. Firstly, a majority of the studies have focused on South Africa with very little empirical literature existing for Botswana and Lesotho. Secondly, the previous SACU based studies present contradicting findings. Thirdly, Most of these studies did not cover the themes comprehensively, as is the case in this study. Finally, to the best of my knowledge, this methodology has not been employed in any SACU related literature until now. Altogether, the thesis bridges the inconsistencies found in previous SACU-related literature and offers fresh implications for policymakers and market participants. From an empirical perspective, the wavelet coherence analysis proves to be a powerful tool in reconciling previous contradicting empirical evidence on the existence of the Fisher effect in SACU countries. From a policy perspective, more fined tuned implications are derived from the findings of the study as wavelets are able to depict a more accurate description of the different first-level monetary transmission relationships. , Thesis (PhD) -- Faculty of Business and Economic Sciences, School for Economics, Development and Tourism, 2022
- Full Text:
- Date Issued: 2022-04
The impact of South African monetary policy on output and price stability in Namibia
- William, Anna Martha Tandakos
- Authors: William, Anna Martha Tandakos
- Date: 2020
- Subjects: Common Monetary Area (Organization) , Monetary unions -- Africa, Southern , Monetary policy -- South Africa , Monetary policy -- Namibia , Repurchase agreements -- South Africa , Repurchase agreements -- Namibia , Inflation (Finance) -- South Africa , Inflation (Finance) -- Namibia , Namibia -- Economic conditions , Transmission mechanism (Monetary policy)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10962/167709 , vital:41505
- Description: Namibia is a member country of the Common Monetary Area (CMA) with Lesotho, Swaziland and South Africa. South Africa is the anchor country to which the smaller member states have surrendered monetary policy authority. This thesis therefore examines the empirical relationship between the South Africa repo rate (SArepo) on the one hand and Namibia’s repo rate (Namrepo), Prime Lending Rate (PLR), Private Sector Credit Extension (PSCE), Consumer Price Index (CPI) and Gross Domestic Product (GDP) on the other hand. The credit channel of the monetary policy transmission mechanism informs the theoretical foundation of the thesis. Vector Autoregression modelling, variance decomposition and impulse response functions were used to explore the nature and strength of the relationship between the SArepo and said variables in Namibia. This thesis used quarterly data for the period 2003 to 2017. The variation in the Namrepo was predominantly explained by the SArepo, which confirmed that the Namrepo strongly followed the SArepo. The impulse response function results found that the impact of a contractionary monetary policy shock (an increase in the SArepo) lasted for up to six quarters before the effect started to fade. The Namrepo exhibited a positive response to an increase in the SArepo, although the magnitude of the response started to fade after the third quarter. The PLR, as a representative of market rates in Namibia, also exhibited a positive response to an increase in the SArepo. The results were similar for the Namrepo and the PLR because changes to the NamRepo are passed through immediately to the market interest rates. On the real variables, the study found that a contractionary monetary policy shock initiated in South Africa resulted in an increase in inflation in Namibia of less than 0.4 percent, whereas output declined by less than 1.0 percent. Interestingly, a Namibia (domestic) contractionary monetary policy shock resulted in a decline in prices of less than 0.4 percent. GDP, on the other hand, exhibited a positive response to a contractionary monetary shock, with an increase of less than 2.0 percent in the first four quarters of the period observed. The results reflected that a contractionary monetary policy shock from South Africa was more effective with regard to its impact on GDP; however, a domestic monetary policy shock was more effective at impacting on domestic inflation compared to the impact from South Africa.
- Full Text:
- Date Issued: 2020
- Authors: William, Anna Martha Tandakos
- Date: 2020
- Subjects: Common Monetary Area (Organization) , Monetary unions -- Africa, Southern , Monetary policy -- South Africa , Monetary policy -- Namibia , Repurchase agreements -- South Africa , Repurchase agreements -- Namibia , Inflation (Finance) -- South Africa , Inflation (Finance) -- Namibia , Namibia -- Economic conditions , Transmission mechanism (Monetary policy)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10962/167709 , vital:41505
- Description: Namibia is a member country of the Common Monetary Area (CMA) with Lesotho, Swaziland and South Africa. South Africa is the anchor country to which the smaller member states have surrendered monetary policy authority. This thesis therefore examines the empirical relationship between the South Africa repo rate (SArepo) on the one hand and Namibia’s repo rate (Namrepo), Prime Lending Rate (PLR), Private Sector Credit Extension (PSCE), Consumer Price Index (CPI) and Gross Domestic Product (GDP) on the other hand. The credit channel of the monetary policy transmission mechanism informs the theoretical foundation of the thesis. Vector Autoregression modelling, variance decomposition and impulse response functions were used to explore the nature and strength of the relationship between the SArepo and said variables in Namibia. This thesis used quarterly data for the period 2003 to 2017. The variation in the Namrepo was predominantly explained by the SArepo, which confirmed that the Namrepo strongly followed the SArepo. The impulse response function results found that the impact of a contractionary monetary policy shock (an increase in the SArepo) lasted for up to six quarters before the effect started to fade. The Namrepo exhibited a positive response to an increase in the SArepo, although the magnitude of the response started to fade after the third quarter. The PLR, as a representative of market rates in Namibia, also exhibited a positive response to an increase in the SArepo. The results were similar for the Namrepo and the PLR because changes to the NamRepo are passed through immediately to the market interest rates. On the real variables, the study found that a contractionary monetary policy shock initiated in South Africa resulted in an increase in inflation in Namibia of less than 0.4 percent, whereas output declined by less than 1.0 percent. Interestingly, a Namibia (domestic) contractionary monetary policy shock resulted in a decline in prices of less than 0.4 percent. GDP, on the other hand, exhibited a positive response to a contractionary monetary shock, with an increase of less than 2.0 percent in the first four quarters of the period observed. The results reflected that a contractionary monetary policy shock from South Africa was more effective with regard to its impact on GDP; however, a domestic monetary policy shock was more effective at impacting on domestic inflation compared to the impact from South Africa.
- Full Text:
- Date Issued: 2020
- «
- ‹
- 1
- ›
- »