This paper analyses the extent to which the South African Reserve Bank (SARB) uses the repo rate in response to exchange rate depreciations. We use a Vector Autoregression to model the simultaneous linkage between the real effective exchange rate and the policy rate. A combination of short-run...

This paper investigates whether changes in monetary transmission mechanism respond to variations in asset prices. We distinguish between bull and bear markets and employ a TVP-VAR approach with stochastic volatility to assess the evolution of the monetary policy in relation to housing and stock...

Our paper considers the channel whereby monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector. The analysis uses impulse response functions obtained from a large-scale Bayesian Vector Autoregression (LBVAR) model that incorporates 143 monthly macroeconomic...

This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated based on a large data set comprising of 246 quarterly series over the period 1980:01 to 2006:04. The results based on the impulse...

The paper develops a monetary endogenous growth model of a financially repressed small open economy, characterized by curb markets, capital mobility, transaction costs in domestic and for- eign capital markets, and a flexible exchange rate system, to analyze the impact of financial...

This paper assesses the impact of monetary policy on house price inflation for the nine census divisions of the US economy using a factor-augmented VAR (FAVAR), estimated a large data set comprising of 126 quarterly series over the period 1976:01 to 2005:02. The results based on the impulse...

A simple empirical nonlinear framework is used to analyse monetary policy between 1983 and 2007 in South Africa, focusing on the policy of in?ation targeting introduced in Feb 2000, more precisely when the South African Reserve Bank (SARB) announced that an inflation zone targeting regime of...

This paper develops a monetary endogenous growth model of a financially repressed economy, characterized by an Unofficial Financial Market and productive public expenditure, and, in turn, analyzes the effects of financial liberalization on the rate of growth and inflation. Following the current...

The negative relationship between growth and inflation is well-documented in the literature. However, recent evidences tend to indicate of a possible growth-inflation trade-off. This paper provides a theoretical explanation to the above mentioned empirical contradiction. To validate our point,...

This paper considers how monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector and whether the financial market liberalization of the early 1980’s influenced those dynamics. The analysis uses impulse response functions obtained from a large-scale Bayesian...