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A Bayesian-Estimated Model of Inflation Targeting in South Africa, Thomas Harjes, Luca Ricci

Contributor
Abstract
This paper estimates a small dynamic macroeconomic model for the South African economy with Bayesian methods. The model is tailored to assessing the impact of domestic as well as external shocks on inflation within an inflation targeting framework, by incorporating forward-looking behavior of private agents and of the monetary authority. The model is able to display important empirical features of the monetary transmission mechanism that have been found in other studies. It helps to integrate the short-term inflation outlook into a consistent medium-term framework and to design the policy response for various shocks that affect inflation
Table Of Contents
Contents; I. Introduction; II. A Small Open Economy Model; III. Bayesian Estimation of the Model; IV. Shock Scenarios; A. The Monetary Transmission Mechanism; B. Exchange Rate, Price, and Demand Shocks; V. Conclusions; Tables; 1. Priors; 2. Estimates: Posterior Distribution; 3. Comparing Second Moments; Figures; 1. Prior and Posterior Distributions: Selected Parameters; 2. Interest Rate Shock; 3. Exchange Rate Shock; 4. Price Shock; 5. Demand Shock; Appendix; References
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (26 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462332601

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