The transmission of monetary policy under the repo system in South Africa: an empirical analysis

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Periodical article

Title:	The transmission of monetary policy under the repo system in South Africa: an empirical analysis
Authors:	De Angelis, C. Aziakpono, M.J. Faure, A. Pierre
Year:	2005
Periodical:	South African Journal of Economics
Volume:	73
Issue:	4
Pages:	657-673
Language:	English
Geographic term:	South Africa
Subjects:	interest rates banking monetary policy
External link:	https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2005.00045.x/pdf
Abstract:	This 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 in South Africa. 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. The 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. Bibliogr., notes, ref., sum. [Journal abstract]