A VAR analysis of South Africa’s monetary policy with particular reference to inflation targeting policy

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dc.contributor.advisorKaaseram, I.
dc.contributor.advisorContogiannis, E.
dc.contributor.authorOni, Comfort
dc.date.accessioned2013-09-09T12:12:38Z
dc.date.available2013-09-09T12:12:38Z
dc.date.issued2013
dc.descriptionDissertation submitted to the Faculty of Commerce, Administration and Law in fulfilment of the requirements for the degree of masters of Commerce in the Department of Economics at the University of Zululand, South Africa, 2013.en_US
dc.description.abstractThe aim of this study is to analyze the response of South Africa‘s key macroeconomic variables to the monetary policy shocks from 1987 to 2009 through the use of variance autoregressive (VAR) technique developed by Sims (1986). The data is analyzed for pre-and post inflation targeting period as the research aims to establish how these macroeconomic variables have responded to the monetary shock under each of the periods. The literature is mixed in regard to the benefits of IT on the South African economy; this study attempted to shed further light on this matter and also explore whether the monetary policy currently used in South Africa is actually the most appropriate policy. Impulse reaction functions (IRF) and variance decomposition in the context of VAR are used to estimate the monetary shocks on the South African economy for the two periods. In addition, cointegration analysis and the vector error correction model (VECM) method was employed in the second phase of the study. The empirical findings from the IRF, variance decomposition as well as cointegration analysis however confirms that the monetary shock has more impact on the nominal variables more than on the real variables.en_US
dc.identifier.urihttps://hdl.handle.net/10530/1228
dc.language.isoenen_US
dc.publisherUniversity of Zululanden_US
dc.subjectMonetary policy -- South Africaen_US
dc.subjectVAR Analysis -- South Africaen_US
dc.subjectInflation Targeting Policyen_US
dc.titleA VAR analysis of South Africa’s monetary policy with particular reference to inflation targeting policyen_US
dc.typeThesisen_US
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