M. Comm. / Although there has been several work done on monetary policy and inflation in South Africa, this dissertation is intended to add and expand on the existing literature on the subject with data dating back to 1970. The dissertation was inspired by recent international research that has indentified that a large Bayesian VAR model normally performs better than the normal SVAR model. Given that there has already been differing conclusions in literature on whether interest rates are effective as a tool to control inflation, there is therefore an opportunity to assess monetary policy using a different and more robust modelling framework. The choice of a sample is informed by the fact that prior to inflation targeting and within the period under consideration; interest rates remained a core factor in monetary policy management. Some of the literature will be discussed in detail in chapter 2. This dissertation will introduce the large BVAR model with 14 variables in the South African economy. In comparison, the SVAR model suffers from the curse of dimensionality that is eliminated by using more variables with the Large Bayesian VAR with the response functions of all 14 variables. The objective is therefore to determine whether interest rate changes in South Africa have a meaningful and desired effect on inflation. A substantial amount of recent literature was done within the environment of inflation targeting; however, our study intends to measure more the responsiveness of interest rates and other macro variables to monetary policy. The period of inflation targeting in South Africa provides more useful data and evidence on the responsiveness of the macro variables given the direct policy approach it represents versus the previous regime and hence it is covered in more detail in the dissertation. We also assess, in the process, the main drivers behind inflation in South Africa, in an effort to establish whether the country suffers from cost- push or demandpush. The type of inflation should also assist in providing recommendations on the appropriate response to inflation.

Cette thèse étudie les fluctuations macroéconomiques égyptiennes et compare leurs sources avec celles de certains pays du Moyen-Orient et Afrique du Nord (MENA). Un large éventail de méthodes économétriques sont utilisées pour examiner la synchronisation entre les cycles classiques et de croissance égyptiens et ceux de la région MENA, et de quantifier leurs sources de fluctuations ainsi que leurs réponses à ces sources de chocs. Nous ne trouvons aucune preuve de la synchronisation entre les cycles égyptiens et ceux de la région MENA et des pays développés. Les sources des fluctuations égyptiennes sont presque également réparties entre les chocs internes et étrangers, et les chocs du prix du pétrole semblent être le principal moteur de fluctuations de la production. En outre, la capacité de l'économie à contenir l'impact domestique des chocs externes négatifs à travers les chocs domestiques de l'offre et la demande est positive. / This thesis studies Egyptian macroeconomic fluctuations and compares their sources to those of some Middle East and North African (MENA) countries. A wide range of econometric methods are used to investigate the synchronization among Egyptian and MENA classical and growth cycles, and to quantify their sources of fluctuations along with their responses to these sources of shocks. We find no evidence of synchronization between Egyptian cycles and those of MENA and of developed countries. The sources of Egyptian macroeconomic fluctuations are almost equally divided among domestic and foreign shocks, and oil prices shocks appear to be the main driver behind output fluctuations. Moreover, domestic supply and demand shocks play a positive role in moderating negative foreign shocks affecting the economy.