Forecasting inflation is particularly challenging in emerging markets, where trade and monetary policy regimes have shifted and the exchange rate and food prices are highly volatile. This study shows that the information in long-run co-integrated relationships for relative prices in South Africa...

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...

A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...

There is widespread disagreement about the role of housing wealth in explaining consumption. This paper exploits liquid and illiquid wealth time series from household balance sheet data for South Africa, previously constructed by the authors, to explain fluctuations in the ratios of consumption...

Financial globalization has made monetary policy formulation in emerging market economies increasingly complicated. This timely set of studies looks at the turmoil in global financial markets, which coupled with volatile inflation poses serious challenges for central banks in these countries....

South Africa’s recent adoption of inflation targeting increases the need for good forecasting models of inflation and models for understanding the monetary transmission mechanism. This paper presents multi-step models for inflation and output, four-quarters ahead. The inflation model has...

South Africa experienced substantial rises in the ratios of consumption and household debt to income from 1983, for which conventional explanations in terms of income, income expectations, interest rates and wealth prove inadequate. This paper emphasizes the role of substantial financial...

This paper reviews the design and performance of monetary policy in South Africa (SA) during 1994-2004. Quantitative indexes of transparency reveal a strong rise in the transparency and accountability of monetary policy between 1994 and 2004. Inflation and interest rate expectations data and...

Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast,...

There is widespread disagreement about the role of housing wealth in explaining consumption. Much of the empirical literature is marred by poor controls for the common drivers both of house prices and consumption, including income, income growth expectations, interest rates, credit supply...