This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected...

The proposition that inflation expectations can be extracted as inflation predictions from the government bond yield curve has been tested, with partially positive results, using data from the United States and European countries. Despite the abundance of empirical studies of the proposition,...

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...

Post-apartheid poverty and inequality trends have been the subject of intensive analysis, yet relatively little attention has been devoted to the impact of differential price movements on the measurement of poverty and inequality. This paper aims to tell the story of the evolution of both...

On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium “New Paradigms in Money and Finance?” All the papers in the present SUERF Study are based on...

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...

This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in...

The main purpose of this paper is to determine whether inflation in South Africa has been caused by excessive monetary expansion over the period 1966-1997, or whether the money supply has merely been passive in the inflationary process. The analysis first draws on Friedman and Schwartz's (1982)...

The main objective of this paper is to analyse the inflationary impact of exchange rate depreciation in South Africa over the period 1984-1998 when the monetary authorities adopted a more market-oriented exchange rate system. Although the empirical part of the paper extensively focuses on this...

Post-apartheid poverty and inequality trends have been the subject of intensive analysis, yet relatively little attention has been devoted to the impact of differential price movements on the measurement of poverty and inequality. This paper aims to tell the story of the evolution of both...