Similar Search Results

Evolution of Monetary Policy in the US: The Role of Asset Prices

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

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...

Persistent link: https://www.econbiz.de/10010944774

How Independent are the South African Reserve Bank’s Monetary Policy Decisions? Evidence from a Global New-Keynesian DSGE Model

Waal, Annari De; Gupta, Rangan; Jooste, Charl - Department of Economics, Faculty of Economic and … - 2015

We study the response of South African monetary policy decisions to foreign monetary policy shocks. We estimate the extent of foreign monetary policy pass-through by augmenting standard Taylor rules and comparing the results within the context of a Global New-Keynesian Dynamic Stochastic General...

Persistent link: https://www.econbiz.de/10011272167

Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure

André, Christophe; Gupta, Rangan; Kanda, Patrick T. - Economics Department, Organisation de Coopération et … - 2012

Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price … shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and … significativement à un choc de prix des logements au Canada, en France, au Japon et au Royaume-Uni. D'autre part, une réponse positive …

Persistent link: https://www.econbiz.de/10011277019

Financial Liberalization and a Possible Growth-Inflation Trade-Off

Gupta, Rangan - In: Indian Economic Review 44 (2009) July, pp. 1-19

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,...

Persistent link: https://www.econbiz.de/10005078583

The Effects of Monetary Policy On Real Farm Prices in South Africa

Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011

This study provides empirical evidence of aggregate, anticipated and unanticipated and asymmetric (positive and negative) effects of monetary policy on real agricultural prices in South Africa over the monthly period of 1970:01-2010:12. For this purpose, we use the Vector Autoregressive (VAR)...

Persistent link: https://www.econbiz.de/10009322875

Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach

Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012

This paper uses Indian quarterly data for the period of 1960:Q2-2011:Q2 to test for nonlinearity in a standard monetary vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with wide range of structural models. We find that...

Persistent link: https://www.econbiz.de/10009397137

Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - Department of Economics, Faculty of Economic and … - 2012

This paper investigates the existence of spillovers from the housing sector onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

Persistent link: https://www.econbiz.de/10010552942

Real Interest Rate Persistence in South Africa: Evidence and Implications

Das, Sonali; Gupta, Rangan; Kanda, Patrick T.; Reid, Monique - Department of Economics, Fakulteit Ekonomiese en … - 2012

The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties,...

Persistent link: https://www.econbiz.de/10010834038

IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL

Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) models in which parameters change according to the phase of the housing cycle. The results...

Persistent link: https://www.econbiz.de/10010603882

Real interest rate persistence in South Africa: evidence and implications

Das, Sonali; Gupta, Rangan; Kanda, Patrick; Reid, Monique; … - In: Economic Change and Restructuring 47 (2014) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10010865872