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The Intertemporal Relation Between Money And Prices In South Africa

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  • John Thornton

Abstract

Several studies have emphasized the need to ‘filter’ the money growth and inflation data before a clear short‐run intertemporal relation between them is revealed. When a simple filtering technique is employed to changes in money and prices, the correlation of the series tends to increase as the filter used shifts to lower frequency data. The technique also reveals a statistically significant relation between money and inflation, a pattern of Granger causality that has changed with changes in the monetary and exchange rate regime during 1965‐2005, and much shorter leads/lags between money and inflation than those typically found in similar studies of the experience of developed economies.

Suggested Citation

  • John Thornton, 2006. "The Intertemporal Relation Between Money And Prices In South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 74(1), pages 59-64, March.
    • Handle: RePEc:bla:sajeco:v:74:y:2006:i:1:p:59-64
    DOI: 10.1111/j.1813-6982.2006.00048.x
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    References listed on IDEAS

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    5. Friedman, Milton, 1972. "Have Monetary Policies Failed?," American Economic Review, American Economic Association, vol. 62(2), pages 11-18, May.
    6. T.T. Mboweni, 1999. "Inflation Targeting in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 67(4), pages 221-225, December.
    7. Florencia Gabrielli & George Mc Candless & Josefin Rouillet, 2004. "The Intertemporal Relation Between Money and Prices: Evidence from Argentina," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(123), pages 199-215.
    8. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, vol. 49(6), pages 1603-1635, August.
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