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THE TRANSMISSION OF MONETARY POLICY UNDER THE REPO SYSTEM IN SOUTH AFRICA: AN EMPIRICAL ANALYSIS ♣
Author(s) -
ANGELIS C,
AZIAKPONO MJ,
FAURE A PIERRE
Publication year - 2005
Publication title -
south african journal of economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.502
H-Index - 31
eISSN - 1813-6982
pISSN - 0038-2280
DOI - 10.1111/j.1813-6982.2005.00045.x
Subject(s) - economics , transmission channel , transmission (telecommunications) , granger causality , monetary economics , interbank lending market , monetary policy , channel (broadcasting) , causality (physics) , econometrics , telecommunications , engineering , physics , quantum mechanics
The study examines the influence of the repo rate on the interbank rate and analyses whether the transmission channels of interest rates have changed since the adjustment to the repo system in September 2001. The paper employs the Granger causality test using the ECM framework. The results suggest that the influence of the repo rate on the interbank rate was stronger before the adjustments to the system were made. The interbank rate and the repo rate were found to “reverse” roles in the period after the adjustments to the system. Our results show that the changes to the repo system in 2001 did not lead to the achievement of the intended transmission channel; instead it was found that the system in place before the changes were made was in fact already achieving the transmission path that the authorities hoped to accomplish by changing the system.