The role of commodity prices in macroeconomic policy in South Africa

被引：5
|
作者：
Ocran, Matthew Kofi [1 ]
Biekpe, Nicholas [1 ]
机构：
[1] Univ Stellenbosch, Grad Sch Business, Bellville, South Africa
来源：
SOUTH AFRICAN JOURNAL OF ECONOMICS | 2007年 / 75卷 / 02期
关键词：
metals price index; gold price; macroeconomic variables; modified Wald test; Granger causality;
D O I：
10.1111/j.1813-6982.2007.00120.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines whether commodity prices can be used as signal for informing macroeconomic policy in South Africa using the new approach for testing Granger causality developed by Toda and Yamamoto (1995). Evidence of causality from average gold price to interest rate, money; exchange rate and the consumer price index was observed. Again, evidence of causality was observed from metals price index to interest rate, money and exchange rate. The results suggest there is merit in using South Africa's average gold price and the metals price index of the International Monetary Fund as informational variables in setting monetary policy.
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页码：213 / 220
页数：8
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