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Title
Comparing South African inflation volatility across monetary policy regimes: an application of saphe cracking |
Full text
http://hdl.handle.net/2263/9113 |
Date
2009 |
Author(s)
Gupta, Rangan; Uwilingiye, Josine |
Contributor(s)
rangan.gupta@up.ac.za |
Abstract
Recent empirical evidence on the direct link of inflation targeting and inflation volatility is at best mixed. However, comparing inflation volatility across alternative monetary policy regimes within a country based on conventional ways, used in previous studies, begs the question. The question is not whether the volatility of inflation has changed, but rather whether the volatility is different than it otherwise would have been. In such a backdrop, this paper uses the cosine-squared cepstrum to provide evidence that CPI inflation in South Africa has become more volatile since the first quarter of 2000, when the country moved into an inflation targeting regime, than it would have been had the South African Reserve Bank (SARB) continued with the more eclectic monetary policy approach pursued in the pre-targeting era. |
Subject(s)
Cosine-squared cepstrum; Inflation targeting; Inflation volatility; Saphe cracking; Monetary policy -- South Africa; Inflation (Finance) -- South Africa |
Language
en |
Publisher
University of Pretoria, Department of Economics |
Relation
Working Paper (University of Pretoria, Department of Economics); 2009-06 |
Type of publication
Working Paper |
Rights
University of Pretoria, Department of Economics |
Identifier
Gupta, R & Uwilingiye, J 2009, 'Comparing South African inflation volatility across monetary policy regimes: an application of saphe cracking', University of Pretoria, Department of Economics, Working paper series, no. 2009-06. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3] |
Repository
Pretoria - University of Pretoria, UPSpace
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Added to C-A: 2009-06-22;10:14:17 |
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