Studies in Economics and Econometrics, Apr 1, 2007
Abstract This paper represents an attempt to measure the extent to which monetary policy helped t... more Abstract This paper represents an attempt to measure the extent to which monetary policy helped to stabilise output in South Africa since the early 1980s. The paper offers two complementary measures of countercyclical monetary policy: an econometric evaluation and a narrative account of policy decisions. These two methods are used to gauge the extent to which the monetary authorities were inclined to and able to focus on the goal of output stabilisation. The analysis uncovers the extent to which policy constraints prevented monetary authorities from pursuing an anti-cyclical policy, and contributes to an explanation of often pro-cyclical monetary policy in South Africa since the late 1970s.
Studies in Economics and Econometrics, Aug 1, 2003
Abstract The macro-economic impact of HIV/AIDS in South Africa over the next 10 to 15 years is in... more Abstract The macro-economic impact of HIV/AIDS in South Africa over the next 10 to 15 years is investigated by means of a macro-econometric model of the South African economy. The analysis is based on a set of HIV/AIDS inclusive and exclusive demographic projections for South Africa for the period up to 2015. The paper provides a detailed description of the various macro-economic channels of impact, the assumptions required to generate the model simulations, the macro-economic results and a sensitivity analysis of the main assumptions. The results suggest that although HIV/AIDS is expected to have a marked impact on macro-economic conditions in South Africa, the impact is not likely to be devastating to longer-term growth and development.
... sector, were 'transport, storage and communication' and 'financial intermediat... more ... sector, were 'transport, storage and communication' and 'financial intermediation, insurance,real estate and business ... of sectoral uncertainty (measured as the standard deviation of real value added ... Fedderke (2004) does not show whether the impact of systemic uncertainty, as ...
In this paper an open economy New Keynesian model of the South African economy is presented. The ... more In this paper an open economy New Keynesian model of the South African economy is presented. The model is constructed to provide for incomplete pass-through of exchange rate changes, external habit formation, partial indexation of domestic prices and wages to past inflation, and staggered price and wage setting. Furthermore, the model is estimated using Bayesian techniques on South African domestic and trade partner data for the period 1990Q1 to 2007Q4. The estimated model is analysed by means of impulse response functions and its forecasting performance is compared with that of the Reuters consensus forecasts of the relevant South African variables.
Abstract This paper represents an attempt to measure the extent to which monetary policy helped t... more Abstract This paper represents an attempt to measure the extent to which monetary policy helped to stabilise output in South Africa since the early 1980s. The paper offers two complementary measures of countercyclical monetary policy: an econometric evaluation and a narrative account of policy decisions. These two methods are used to gauge the extent to which the monetary authorities were inclined to and able to focus on the goal of output stabilisation. The analysis uncovers the extent to which policy constraints prevented monetary authorities from pursuing an anti-cyclical policy, and contributes to an explanation of often pro-cyclical monetary policy in South Africa since the late 1970s.
This paper uses a structural VAR methodology to identify aggregate demand and supply shocks to re... more This paper uses a structural VAR methodology to identify aggregate demand and supply shocks to real output for the South African economy. Demand shocks, in turn, are separated in fiscal and monetary shocks. The model is estimated with quarterly data over two overlapping samples: 1960Q2-2006Q4 and 1983Q4-2006Q4. The identified (structural) shocks were used in a historical decomposition to split output into a measure of potential output (resulting from the evolution of supply shocks) and a measure of business cycles (the gap between actual and potential output). This measure of potential output suggests a significant decline relative to trend in the years prior to the political transition of 1994 and a swift reversal thereafter. The paper presents evidence from three sources in support of its identification of aggregate supply and demand shocks, they are: theory consistent impulse response functions, a close match between the implied measure of the business cycle and independent information about the South African business cycle and a demonstration of the close match between the identified series of aggregate supply shocks and important historical events in the decades prior to and following 1994 that
South African Economic Policy under Democracy, 2009
Please help us populate SUNScholar with the post print version of this article. It can be e-maile... more Please help us populate SUNScholar with the post print version of this article. It can be e-mailed to: scholar@sun.ac.zaEkonomiese En BestuurswetenskappeBuro Vir Ekonomiese Ondersoe
... sector, were 'transport, storage and communication' and 'financial intermediat... more ... sector, were 'transport, storage and communication' and 'financial intermediation, insurance,real estate and business ... of sectoral uncertainty (measured as the standard deviation of real value added ... Fedderke (2004) does not show whether the impact of systemic uncertainty, as ...
South Africa is one of the emerging market countries that have received a relatively large amount... more South Africa is one of the emerging market countries that have received a relatively large amount of foreign capital since the mid‐2000s. In South Africa's case, these inflows were partly used to build the country's foreign exchange reserves, but more particularly to finance continued large current account deficits. During the course of the past two years, however, adverse domestic political developments, combined with the potential negative impacts of the unwinding of quantitative easing policies and the normalising of monetary policy in the United States on emerging markets in general, has raised the spectre of a sharp slowdown in foreign capital flows to South Africa and an associated reversal of the current deficit. This paper explores the potential impact of such a development on macroeconomic conditions in South Africa. The analysis consists of macroeconometric model‐based alternative scenarios backed up by both the international evidence on the impact of such events a...
Studies in Economics and Econometrics, Apr 1, 2007
Abstract This paper represents an attempt to measure the extent to which monetary policy helped t... more Abstract This paper represents an attempt to measure the extent to which monetary policy helped to stabilise output in South Africa since the early 1980s. The paper offers two complementary measures of countercyclical monetary policy: an econometric evaluation and a narrative account of policy decisions. These two methods are used to gauge the extent to which the monetary authorities were inclined to and able to focus on the goal of output stabilisation. The analysis uncovers the extent to which policy constraints prevented monetary authorities from pursuing an anti-cyclical policy, and contributes to an explanation of often pro-cyclical monetary policy in South Africa since the late 1970s.
Studies in Economics and Econometrics, Aug 1, 2003
Abstract The macro-economic impact of HIV/AIDS in South Africa over the next 10 to 15 years is in... more Abstract The macro-economic impact of HIV/AIDS in South Africa over the next 10 to 15 years is investigated by means of a macro-econometric model of the South African economy. The analysis is based on a set of HIV/AIDS inclusive and exclusive demographic projections for South Africa for the period up to 2015. The paper provides a detailed description of the various macro-economic channels of impact, the assumptions required to generate the model simulations, the macro-economic results and a sensitivity analysis of the main assumptions. The results suggest that although HIV/AIDS is expected to have a marked impact on macro-economic conditions in South Africa, the impact is not likely to be devastating to longer-term growth and development.
... sector, were 'transport, storage and communication' and 'financial intermediat... more ... sector, were 'transport, storage and communication' and 'financial intermediation, insurance,real estate and business ... of sectoral uncertainty (measured as the standard deviation of real value added ... Fedderke (2004) does not show whether the impact of systemic uncertainty, as ...
In this paper an open economy New Keynesian model of the South African economy is presented. The ... more In this paper an open economy New Keynesian model of the South African economy is presented. The model is constructed to provide for incomplete pass-through of exchange rate changes, external habit formation, partial indexation of domestic prices and wages to past inflation, and staggered price and wage setting. Furthermore, the model is estimated using Bayesian techniques on South African domestic and trade partner data for the period 1990Q1 to 2007Q4. The estimated model is analysed by means of impulse response functions and its forecasting performance is compared with that of the Reuters consensus forecasts of the relevant South African variables.
Abstract This paper represents an attempt to measure the extent to which monetary policy helped t... more Abstract This paper represents an attempt to measure the extent to which monetary policy helped to stabilise output in South Africa since the early 1980s. The paper offers two complementary measures of countercyclical monetary policy: an econometric evaluation and a narrative account of policy decisions. These two methods are used to gauge the extent to which the monetary authorities were inclined to and able to focus on the goal of output stabilisation. The analysis uncovers the extent to which policy constraints prevented monetary authorities from pursuing an anti-cyclical policy, and contributes to an explanation of often pro-cyclical monetary policy in South Africa since the late 1970s.
This paper uses a structural VAR methodology to identify aggregate demand and supply shocks to re... more This paper uses a structural VAR methodology to identify aggregate demand and supply shocks to real output for the South African economy. Demand shocks, in turn, are separated in fiscal and monetary shocks. The model is estimated with quarterly data over two overlapping samples: 1960Q2-2006Q4 and 1983Q4-2006Q4. The identified (structural) shocks were used in a historical decomposition to split output into a measure of potential output (resulting from the evolution of supply shocks) and a measure of business cycles (the gap between actual and potential output). This measure of potential output suggests a significant decline relative to trend in the years prior to the political transition of 1994 and a swift reversal thereafter. The paper presents evidence from three sources in support of its identification of aggregate supply and demand shocks, they are: theory consistent impulse response functions, a close match between the implied measure of the business cycle and independent information about the South African business cycle and a demonstration of the close match between the identified series of aggregate supply shocks and important historical events in the decades prior to and following 1994 that
South African Economic Policy under Democracy, 2009
Please help us populate SUNScholar with the post print version of this article. It can be e-maile... more Please help us populate SUNScholar with the post print version of this article. It can be e-mailed to: scholar@sun.ac.zaEkonomiese En BestuurswetenskappeBuro Vir Ekonomiese Ondersoe
... sector, were 'transport, storage and communication' and 'financial intermediat... more ... sector, were 'transport, storage and communication' and 'financial intermediation, insurance,real estate and business ... of sectoral uncertainty (measured as the standard deviation of real value added ... Fedderke (2004) does not show whether the impact of systemic uncertainty, as ...
South Africa is one of the emerging market countries that have received a relatively large amount... more South Africa is one of the emerging market countries that have received a relatively large amount of foreign capital since the mid‐2000s. In South Africa's case, these inflows were partly used to build the country's foreign exchange reserves, but more particularly to finance continued large current account deficits. During the course of the past two years, however, adverse domestic political developments, combined with the potential negative impacts of the unwinding of quantitative easing policies and the normalising of monetary policy in the United States on emerging markets in general, has raised the spectre of a sharp slowdown in foreign capital flows to South Africa and an associated reversal of the current deficit. This paper explores the potential impact of such a development on macroeconomic conditions in South Africa. The analysis consists of macroeconometric model‐based alternative scenarios backed up by both the international evidence on the impact of such events a...
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