- Title
- Inflation targeting and the Fisher effect in South Africa: An empirical investigation
- Creator
- Mitchell-Innes, Henry A, Aziakpono, Meshach J, Faure, Alexander P
- Subject
- To be catalogued
- Date
- 2007
- Type
- text
- Type
- article
- Identifier
- http://hdl.handle.net/10962/469786
- Identifier
- vital:77294
- Identifier
- https://doi.org/10.1111/j.1813-6982.2007.00143.x
- Description
- The paper analyses the relationship between expected inflation and nominal interest rates during a period of inflation targeting in South Africa, i.e. from 2000 to 2005. Specifically, it investigates the Fisher hypothesis that nominal interest rates move one‐to‐one with expected inflation, leaving the real interest rate unaffected. The analysis distinguishes between a short‐run Fisher effect and a long‐run Fisher effect. Using cointegration and error correction models (for monthly data for the period April 2000 to July 2005), it was found that the short‐run Fisher hypothesis did not hold during the relevant period under the inflation targeting monetary policy framework in South Africa. This is attributed to a combination of the South African Reserve Bank's (SARB) control over short‐term interest rates and the effects of the monetary transmission mechanism. The long‐run Fisher hypothesis could not be confirmed in its strictest form: while changes in inflation expectations move in the same direction as the nominal long‐term interest rate. This suggests that monetary policy has an influence on the real long-term interest rate, which has positive implications for general economic activity, thus confirming the credibility of the inflation targeting framework.
- Format
- 15 pages, pdf
- Language
- English
- Relation
- South African Journal of Economics, Mitchell‐Innes, H., Aziakpono, M.J. and Faure, A.P., 2007. Inflation targeting and the Fisher effect in South Africa: An empirical investigation. South African Journal of Economics, 75(4), pp.693-707, South African Journal of Economics volume 75 number 4 693 707 2007 1813-6982
- Rights
- Publisher
- Rights
- Use of this resource is governed by the terms and conditions of the Wiley Library Online Terms of Use Statement (https://onlinelibrary.wiley.com/terms-and-conditions)
- Hits: 5
- Visitors: 5
- Downloads: 1
Collections
Aziakpono, Meshach Jesse (Prof)
SDG 08. Decent Work and Economic Growth
RU Department of Economics and Economic History
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details | SOURCE1 | Inflation targeting and the Fisher effect in South Africa.pdf | 653 KB | Adobe Acrobat PDF | View Details |