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E-book
Author Arora, Vivek B., author.

Title Monetary policy transparency and financial market forecasts in South Africa / prepared by Vivek Arora
Published [Washington, D.C.] : International Monetary Fund, African Dept., ©2007

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Description 1 online resource (25 pages) : illustrations
Series IMF working paper, 2227-8885 ; WP/07/123
IMF working paper ; WP/07/123.
Contents I. Introduction; II. Increases in Monetary Policy Transparency; III. Accuracy of Financial Market Forecasts; IV. Conclusions; Tables; 1. Selected Changes in SARB Transparency, 1994-2006; 2. Time Series for Absolute Forecast Error in JIBAR; Figures; 1. JIBAR 3-Month-Ahead Forecast Errors, absolute value, in basis points, 1997-2006; 2. JIBAR 6-Month-Ahead Forecast Errors, absolute value, in basis points, 1997-2006; 3. 12-Month-Ahead Forecast Errors, absolute value, in basis points, 1997-2005; 3. JIBAR Forward Market Forecast Errors, 1997:1-2006:12
4. Fluctuations in the JIBAR Rate Around MPC Announcement Dates, 1999-20064. Surprise Component of MPC Announcements, 2003-06; 5a. Cross-Sectional Dispersion in Interest Rate Forecasts (1-quarter-ahead forecasts); 5b. Cross-Sectional Dispersion in Interest Rate Forecasts (4-quarters-ahead forecasts); 5. Forecast Dispersion, March 2000-December 2006; 6. Inflation Trends (12-month change, in percent); 6. Inflation Trends, 2000-06; 7. Inflation (CPIX) Volatility, 1998-2006; 8a. CPIX Inflation: Forecast Errors, 2000-06; 8b. CPIX Inflation: Forecast Errors, 2003-06; 9. Exchange Rate Volatility
7. Inflation Forecast Errors and Exchange Rate Volatility, 2000-200610. Dispersion in Inflation Forecasts, 2000-06; 11. GDP Forecast Errors, 2000-06; 12. GDP Forecast Errors, 2003-06; 13. GDP Forecast Dispersion, 2000-06; References
Summary The transparency of monetary policy in South Africa has increased substantially since the end of the 1990s; but little empirical work has been done to examine the economic benefits of the increased transparency. This paper shows that, in recent years, South African private sector forecasters have become better able to forecast interest rates, are less surprised by reserve bank policy announcements, and are less diverse in the cross-sectional variety of their interest rate forecasts. In addition, there is some evidence that the accuracy of inflation forecasts has increased. The improvements in interest rate and inflation forecasts have exceeded those in real output forecasts, suggesting that increases in reserve bank transparency are likely to have played a role
Bibliography Includes bibliographical references (page 25)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
English
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Print version record
Subject Monetary policy -- South Africa
Interest rates -- South Africa
Economic forecasting -- South Africa
Economic forecasting
Economic history
Interest rates
Monetary policy
SUBJECT South Africa -- Economic conditions. http://id.loc.gov/authorities/subjects/sh85125465
Subject South Africa
Form Electronic book
Author International Monetary Fund. African Department
ISBN 1283518376
9781283518376
1451911408
9781451911404
1462326579
9781462326570
1452708754
9781452708751
9786613830821
6613830828