This paper examines the impact of the monetary policy instrument, the repo rate, mainly on output gap and inflation rate in South Africa, over the period 1998– 2008. Use is made of a simple structural vector autoregressive (SVAR) framework in assessing the impulse response functions (IRFs) of...

This paper examines the level of integration of the South African stock index in the global equity market. The method used is the Dynamic Factor Model (DFM) proposed by Forni et al. (2005a). The DFM uses a large panel of stock returns to extract the world component, common to all series. We use...