Isolating a measure of inflation expectations for the South African financial market using forward interest rates

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dc.contributor.authorReid M.
dc.date.accessioned2011-05-15T15:57:38Z
dc.date.available2011-05-15T15:57:38Z
dc.date.issued2009
dc.description.abstractThe inflation expectations channel of the transmission mechanism is generally recognised as crucial for the implementation of modern monetary policy. This paper briefly reviews the practices commonly employed for measuring inflation expectations in South Africa, and offers an additional method, which is market based. The methodologies of Nelson and Siegel and Svensson are applied to determine implied nominal and real forward interest rates. The difference between the nominal and real forward rates (called inflation compensation) on a particular day is then used as a proxy for the market's inflation expectations. This measure should not be viewed as a substitute for other measures of inflation expectations, but should rather supplement these in order to offer an additional insight. © Journal compilation © 2009 The Economic Society of South Africa.
dc.description.versionArticle
dc.identifier.citationSouth African Journal of Economics
dc.identifier.citation77
dc.identifier.citation3
dc.identifier.issn382280
dc.identifier.other10.1111/j.1813-6982.2009.01218.x
dc.identifier.urihttp://hdl.handle.net/10019.1/10512
dc.subjectcurrency market
dc.subjectfinancial market
dc.subjectinflation
dc.subjectinterest rate
dc.subjectmonetary policy
dc.subjectplanning method
dc.subjectpolicy implementation
dc.subjectstructural adjustment
dc.subjectAfrica
dc.subjectSouth Africa
dc.subjectSouthern Africa
dc.subjectSub-Saharan Africa
dc.titleIsolating a measure of inflation expectations for the South African financial market using forward interest rates
dc.typeArticle
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