- Title
- An analysis of the link between monetary policy, exchange rate pass-through effect and domestic prices in South Africa.
- Creator
- Ndamase, Asisipho Zingisa
- Subject
- Monetary policy.
- Subject
- South Africa--Economic policy.
- Date Issued
- 2022-02
- Date
- 2022-02
- Type
- Master's theses
- Type
- text
- Identifier
- http://hdl.handle.net/10353/22165
- Identifier
- vital:51992
- Description
- The study seeks to analyse the link between monetary policy, domestic prices and exchange rate pass-through effect in South Africa. South Africa’s imports are more than its exports. Therefore, given a higher PTE associated with the importation of necessities, the poor are always left worse off since they are faced with imported inflation that is depreciating exchange rate driven. The Johansen co integration for the long run and the Vector Error Correctional Model for the short run were used to analyse monthly data obtained from the South African Reserve Bank (SARB) and the World Bank from 1990 to 2019. The study consisted of five separate but closely linked models, which are the price equation, excess demand equation, the monetary policy equation, pass through equation and the money demand equation. The results revealed that all models are cointegrated meaning that a long run relationship exist in these equations. However, the VECM short-run results show that two of the models have an ECM term which is negative and significant. The results indicated that there is evidence of the passthrough effect. In this case, a positive pass-through effect of 222 per cent was established between domestic prices and import prices. A pass-through effect of 39 per cent was also identified between imports and exchange rate and lastly a pass-through effect (PTE) of 30 percent was established between oil prices and import prices.
- Description
- Thesis (MCom) (Economics) -- University of Fort Hare, 2022
- Format
- computer
- Format
- online resource
- Format
- application/pdf
- Format
- 1 online resource (83 pages)
- Format
- Publisher
- University of Fort Hare
- Publisher
- Faculty of Management and Commerce
- Language
- English
- Rights
- University of Fort Hare
- Rights
- All Rights Reserved
- Rights
- Open Access
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UFH Department of Economics
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | Ndamase _201510821_Economics.pdf | 688 KB | Adobe Acrobat PDF | View Details Download |