FINANCIAL MARKETS SHOCKS AND MONETARY POLICY IN
SOUTH AFRICA: A BAYESIAN VAR APPROACH
FINANCIAL MARKETS SHOCKS AND MONETARY POLICY IN
SOUTH AFRICA: A BAYESIAN VAR APPROACH
Author(s): Tshembhani M HLONGWANE, Johannes P S SheefeniSubject(s): Economy, Business Economy / Management, Financial Markets
Published by: Editura Tehnopress
Keywords: Bayesian VAR; Monetary policy; Financial Markets;
Summary/Abstract: This paper evaluates the dynamic interaction between monetary policy and financial markets. A Bayesian VAR modelling technique was employed on quarterly time-series data for the period 2003:Q2 to 2020:Q4. The findings revealed that interest rates and the inflation rate have a positive effect on stock market capitalisation as a proxy for financial markets, while on the contrary, the real effective exchange rate was found to have a negative effect on stock market capitalisation.
Journal: Journal of Public Administration, Finance and Law
- Issue Year: 2022
- Issue No: 26
- Page Range: 152-166
- Page Count: 15
- Language: English
