货币联盟中货币政策的有效性?来自南部非洲共同货币区的证据

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2022-01-01 DOI:10.3934/qfe.2022002
Bonang N. Seoela
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引用次数: 1

摘要

共同货币区(CMA)协议有效地赋予了南非政府在该地区货币政策和实施方面的唯一自由裁量权。鉴于成员国的异质性,这一安排的有效性长期以来一直受到讨论。本文采用结构向量自回归(SVAR)来检验利率通道在CMA中的有效性。具体而言,我们的分析使用2000年1月至2018年12月的数据来研究每个成员国的经济产出、通货膨胀、货币供应、国内信贷和贷款利差如何应对南非回购利率的冲击。主要研究结果表明,对南非回购利率的积极冲击对经济产出有统计学上显著的负面影响,对CMA所有国家10%水平的通货膨胀有积极影响。结果还表明,货币供应量、国内信贷和贷款利差在各成员国之间的响应是不对称的。
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Efficacy of monetary policy in a currency union? Evidence from Southern Africa's Common Monetary Area
The Common Monetary Area (CMA) agreement has effectively granted the South African government sole discretion over monetary policy and implementation in the region. The effectiveness of this arrangement has long been under discussion given the heterogeneity of member countries. This paper uses a structural vector autoregressive (SVAR) to examine the efficacy of the interest rate channel in the CMA. Specifically, our analysis uses data from 2000M1-2018M12 to examine how economic output, inflation, money supply, domestic credit, and lending rate spread for each member country respond to shocks in the South African repo rate. The main findings indicate that a positive shock to the South African repo rate has a statistically significant negative impact on economic output and a positive effect on inflation at the 10 percent level for all countries in the CMA. The results also show that money supply, domestic credit, and lending rate spread respond asymmetrically across members countries.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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