Thesis (M.Soc.Sc.)--University of Hong Kong, 1991. / Also available in print.

Thesis (M.Soc.Sc.)--University of Hong Kong, 1991. / Also available in print.

Thesis (M.Soc.Sc.)--University of Hong Kong, 1992. / Also available in print.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, March 2001. / Includes bibliographical references. Also available on the Internet.

Magister Commercii - MCom / Monetary policy rules are guidelines applied by policy makers when adjusting monetary instruments towards reaching policy objectives like price stability. The South African Reserve Bank (SARB) uses the repurchase (repo) rate at which it lends to commercial banks as its monetary instrument. This study examines whether the SARB considers the output gap when deciding on changes to the repo rate. In order to test the above hypothesis the study applied a simple multiple linear regression model (quantitative methods). The hypothesis was tested based on the following independent variables: consumer price index (headline), natural real interest rate, potential output and actual output using the Eviews and STAMP econometric software packages. The study focussed on the time period between 1989 and 2009 when the central bank governors were targeting the repo rate as an instrument towards achieving their monetary policy objectives. The results illustrate evidence of 82 % to 92 % correlation in the movements between the predicted Taylor rule with the univariate model and the actual repo rate. This means that the behaviour the SARB monetary policy conduct was sufficiently structured and influenced by the developments of both inflation and the output gap, even though the SARB have not consciously implemented a Taylor model. In short, the output gap and inflation rate gap pressures influenced strongly the monetary policy decisions of the SARB, even before the formal adoption of an inflation targeting framework.

This research attempts to empirically examine the bank-lending channel in monetary policy transmission in Rwanda, using quarterly data for the period 1996Q1 to 2011Q4. The responses of the loans supply, real output, prices, and deposits to monetary policy innovations were investigated in this research, using impulse response functions and variance decompositions obtained from a Vector Autoregressive model (VAR). Estimation results revealed that the bank lending channel in Rwanda is less effective. The findings suggest that although monetary policies working through interest rates have a significant effect on bank loans, loans appear to not influence the real output level. As in other developing economies, the financial sector in Rwanda is still weak. As a result of the absence of long- term investment, bank customers bear the risk associated with the poor quality of loans in addition to the risk associated with high and variable inflation. These are likely to hamper the monetary policy transmission mechanism.

This thesis investigated the role of monetary policy in Namibia for the period 1993 to 2011. It aims at achieving six objectives. First, it reviews the evolution of monetary policy in Namibia for the period 1980 to 2011. Second, it investigates the interest rate channel of the monetary policy transmission mechanism in Namibia. Third, it analyses the credit channel of the monetary policy transmission mechanism in Namibia. Fourth, it evaluates the exchange rate channel of the monetary policy transmission mechanism in Namibia. Fifth, it studies the money effect model in the context of the monetary policy transmission mechanism in Namibia. Sixth, it examines the exchange rate pass–through (ERPT) to domestic prices in Namibia. In order to achieve the objectives of the relative importance of the different channels of monetary policy transmission, a structural vector autoregressive model of the Namibian economy is constructed. Specifically the responses of the output and prices to monetary policy shocks for Namibia over the quarterly period 1993:Q1 to 2011:Q4 are investigated using impulse response functions and forecast variance error decompositions obtained from a structural vector autoregressive model (SVAR). The thesis also examined the exchange rate pass-through from exchange rate to domestic prices using both SVAR and the single equation error correction model (ECM). Estimation results on the different channels of monetary policy transmission mechanism showed that the interest rate channel and the credit channel are effective in transmitting monetary policy actions. The exchange rate channel is also operative but not effective. The money effect model confirms that inflation in Namibia is not a monetary phenomenon. The results of the pass-through relationship showed that there is an incomplete but high exchange rate pass-through from exchange rate to domestic prices.

M.Comm. / Under the previous accommodation system the monetary policy of the South African Reserve Bank failed to operate by means of open market transactions, and interest rate movements was solely the discretion of the South African Reserve Bank and was driven by means of the traditional Bank rate. The need for a more efficient and transparent accommodation system that is based on open market transactions and determined by demand and supply of liquidity was evident, and therefore the introduction of the repurchase agreement system in March 1998 was unavoidable. The ultimate objective of monetary policy is to achieve price stability, i.e. to ensure that the Reserve Bank has a goal of maintaining inflation at a level that would be more or less in line with the average rate of inflation in the economies of South Africa's major trading partners and international competitors. It is important that the Reserve Bank enhances transparency for the effective operation of an inflation-targeting framework. Transparency introduces predictability and helps to ensure that market expectations are consistent with the objective of price stability. The level of interest rates in a country can influence price stability directly. A transparent monetary policy will mean that changes in short-term interest rates should not surprise the market. Markets should anticipate decisions taken by the Reserve Bank and therefore transparency should promote the predictability of monetary policy. Since its implementation, the current accommodation system (repurchase agreement) has raised some concerns regarding transparency. The government's new monetary policy framework of inflation targeting also has some limitations that can influence the achieving of such targets. The one influences the other, and if interest rates and inflation is not managed transparently, it will have a severe impact on the overall efficiency of monetary policy in South Africa.

This dissertation revolves around robustly measuring and using the information sets of the centralbank and financial markets in order to measure exogenous monetary policy. Modern central banks aggressively use all the available information at their disposal to effectively set monetary policy. This problem of “foresight” renders traditional time series methods ineffective; the information edge of central banks is too large. In the first chapter, I discuss refinements to existing narrative methods, which attempt to the central bank’s own forecasts to capture the information set of the central bank, thus removing their information edge over the econometrician. In the second chapter, I explore how the information sets of financial agents differ central banks and show that there is little direct information transfer between central banks and financial markets around monetary policy actions. Finally, the third chapter details how to use the information sets of financial sector actors to estimate exogenous monetary policy actions that is robust to financial sector revisions about the economy which can be due to the monetary policy actions.

The U.S. Federal Reserve (Fed) acted in an unprecedented fashion to drive interest rates aggressively and creatively to the zero lower bound (ZLB) and employed other unconventional monetary policy (UMP) tools to provide stimulus to the U.S. economy during the financial crisis and the subsequent extended recovery period. However, despite these innovative policy tools, the U.S. economy realized a historically weak recovery. The unconventional monetary policy tools, including the expansion of the Federal Reserve’s balance sheet by purchasing longer dated securities, paying interest on reserves, and providing forward guidance, structurally changed the conduct and implementation of monetary policy from the post-WWII experience. Significant research has been developed that describes and analyzes the impact and effectiveness of this experiment in using unconventional monetary policy tools to stimulate the economy. However, very little research has been conducted that studies the response of various economic actors to the Fed’s reversal of these emergency measures as it sought to rein in a potentially overheated economy or counter incipient inflation. When the Fed methodically raised interest rates from 2015 until the end of 2018 investment spending, as indicated by private nonresidential investment spending, did not slow as expected according to mainstream economics or as evident in prior periods of monetary tightening. This anomaly should also be evident in measures at the firm level as firm investment outlays comprise the bulk of the GDP reported private nonresidential investment spending. This research study determined that firm level investment spending, as represented by the growth of total assets, did not respond negatively to the Federal Reserve’s actions that raised interest rates. Other factors such as the general improvement in GDP growth, improved business confidence in the national economy, and greater optimism of near-term firm prospects explain to a far greater degree the growth in total assets compared to Fed activity. Effectively, factors contributing to improved business confidence overwhelmed the Federal Reserve’s intention to slow investment growth by raising interest rates. This research supports the Bernanke et al. (2019) proposal and Hebden and López-Salido’s (2018) research that indicate a stimulative monetary policy when rates are constrained by the effective lower bound and characterized by a lower for longer (L4L) monetary posture results in better output and inflation outcomes. Further, this research offers empirical evidence of Bernanke’s caution that although L4L results in better outcomes, there is a potential for output and/or inflation overshoot forcing the Federal Reserve to abruptly reverse policy stance, a scenario played out by the Federal Reserve soon after it stopped tightening at the end of 2018. The results here expand the work completed by Khan and Upadhayaya (2018), and Konstantinou and Tagkalakis (2011) that business confidence has a significant influence on business investment spending by analyzing the response of business decision makers during an unprecedented time as the Federal Reserve removed emergency measures and turned to a tightening regime. / Business Administration/Interdisciplinary