The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...

The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...

We study international inter-bank spreads within a no‐arbitrage dynamic term structure model and attempt to disentangle time‐varying risk premia in the inter-bank market for major currencies. Our results suggest that, at the peak of financial crisis, the inter-bank spread was clearly driven...

This paper analyses the leader followership in monetary policy coordination in South Africa, together with the Advanced, Developed and Emerging counties. The coordination of monetary policy in Advanced counties is examined in individual countries while such coordination in Developed and Emerging...

This paper analyses the leader followership phenomenon in monetary policy coordination in South Africa, the Advanced counties, Developed counties and Emerging counties. The coordination of monetary policy in Advanced counties is examined in individual countries while such coordination in...

This paper analyses the role of monetary policy in targeting financial stress as opposed to the exchange rate in South Africa. This is achieved by augmenting the central bank's monetary policy reaction function with the composite indicator of financial stress and the nominal bilateral exchange...

This paper analyses the monetary policy reaction function pre and post the recent global financial crisis in South Africa. This is achieved by comparing the reaction of monetary policy to changes in the target variables that comprise the inflation rate, output gap and financial stress index pre...

This paper analyses the role of monetary policy in targeting financial stress as opposed to the exchange rate in South Africa. This is achieved by augmenting the central bank's monetary policy reaction function with the composite indicator of financial stress and the nominal bilateral exchange...

This paper analyses the monetary policy reaction function pre and post the recent global financial crisis in South Africa. This is achieved by comparing the reaction of monetary policy to changes in the target variables that comprise the inflation rate, output gap and financial stress index pre...

Through an estimated and calibrated DSGE model with imperfect competition and nominal rigidities, this work aims to assess the dynamic effects of exogenous perturbations in a small open economy to provide a prescription of a simple monetary policy rule associated with the minimal welfare losses...