- Title
- Fisher’s hypothesis from a disaggregated perspective for South Africa: an asymmetric approach
- Creator
- Mbekeni, Lutho
- Subject
- Gqeberha (South Africa)
- Subject
- Eastern Cape (South Africa)
- Subject
- South Africa
- Date Issued
- 2021-04
- Date
- 2021-04
- Type
- Master's theses
- Type
- text
- Identifier
- http://hdl.handle.net/10948/52978
- Identifier
- vital:44863
- Description
- In this study, we re-examine Fisher’s hypothesis for the South African economy during the post-inflation targeting era of 2002:Q1 to 2019:Q4, and in doing so, we present four noteworthy empirical contributions. Firstly, we employ two nonlinear frameworks to carry out our empirical analysis, i.e. i) Flexible Fourier Function (FFF) unit root tests, and ii) Nonlinear Autoregressive Distributed Lag model (NARDL). Secondly, we take the disaggregated approach in examining Fisher’s hypothesis by making use of survey-based inflation expectations data for financial analysts, the business sector, trade unions representatives, and household participants. Thirdly, we capture our inflation expectations using three different forecast horizons (i.e. current, 12-month ahead, and 24-month ahead). Lastly, we conduct a sensitivity analysis. After employing our FFF based tests, the empirical results highlighted the Reserve Bank’s success of stabilizing real interest rates for periods subsequent to the 2008 Subprime crisis, as compared to periods before the crisis. Furthermore, after employing the NARDL model, we observed that nominal interest rates are more responsive to the falling inflation expectations across all economic agents except for trade unions during the pre-crisis period. On the other hand, nominal interest rates were found to be more responsive to rising expectations of all economic agents in the post-crisis period. Essentially, our findings have important policy implications for monetary policy.
- Description
- Thesis (MA) -- Faculty of Business and Economic Sciences, School of Economics, Development and Tourism, 2021
- Format
- computer
- Format
- online resource
- Format
- application/pdf
- Format
- 1 online resource (xii, 98 pages)
- Format
- Publisher
- Nelson Mandela University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela University
- Rights
- All Rights Reserved
- Rights
- Open Access
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