Greg Farrell

• PhD
• University of the Witwatersrand

We measure the financial cycle of South Africa using three different methodologies. The financial cycle is identified using credit, house prices and equity prices as indicators, and estimated using traditional turning‐point analysis, frequency‐based filters and an unobserved components model‐based approach. We then consider the financial cycle’s ma...

In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common findings in the literature; particularly that volatility...

This paper examines the temporal effect of domestic monetary policy surprises on both returns and volatility of returns of the South African rand/U.S. dollar exchange rate. The analysis in this “event study” proceeds using intra‐day minute‐by‐minute exchange rate data, repo rate data from the South African Reserve Bank's scheduled monetary policy a...

We measure the financial cycle in South Africa using three different methodologies, consider its main characteristics and examine its relationships with the business cycle and a measure of financial stress. We identify the financial cycle using credit, house prices and equity prices as indicators, and estimate it using traditional turning-point ana...

This paper examines the temporal effect of domestic monetary policy surprises on both the levels and volatility of the South African rand/United States dollar exchange rate. The analysis in this 'event study' proceeds using intra-day minute-by-minute exchange rate data, repo rate data from the South African Reserve Bank's scheduled monetary policy...

Countercyclical capital buffers are intended to protect the banking sector and the broader economy from episodes of excessive credit growth, which have been associated with financial sector procyclicality and the build-up of systemic risk. The Basel Committee on Banking Supervision has suggested in its guidance to national authorities that the cred...

Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This article examines exchange rate pass-through to the monthly import price index in South Africa during 1980–2009. Short-horizon pass-through estimates are calculated using both single equation equilibrium correction models a...

This article reports the findings of a study of two unique microdata sets, which are the unit level basis of South Africa's measured Consumer Price Index and Producer Price Index, over the period December 2001‐December 2007. In particular, based on techniques that have been used in comparable international studies, findings are reported on the freq...

We examine the high-frequency response of the rand-dollar nominal rate within ten-minute intervals around five minutes before, five minutes after) official inflation announcements, and show that the rand appreciates (respectively, depreciates) on impact when inflation is higher (respectively, lower) than expected. The effect only applies after the...

Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This paper examines exchange rate pass-through to the monthly import price index in South Africa during 1980-2009. A methodological innovation allows various short-run pass-through estimates to be calculated simply without reco...

This paper constructs and analyses the properties of a trimmed mean inflation rate for South Africa. Based on an analysis of the distributions of the consumer price index component price changes, a measure is constructed that provides an estimator of core inflation, which may be particularly useful to policymakers in an inflation-targeting environm...

The distinction between tradable and non-tradable commodities plays an important role in many theoretical models in economics. However, as Dixon et al. (2004) Dixon, H, Griffiths, D and Lawson, L (2004): “Exploring Tradable and Non-tradable Inflation in Consumer Prices”. Paper presented at the New Zealand Association of Economists Conference 2004,...

This paper provides an estimate of the share of imports in the CPI and CPIX, calculated from the supply and use tables for 2002. The methodology takes account of both "direct" imports (i.e. imports of final consumer goods) and "indirect" imports (imported intermediate inputs used in the domestic production of consumer goods). Imports make up around...

In their recent book Fine & Rustomjee argue that the minerals-energy complex (MEC) as a system of accumulation had a determining and retarding effect on South African industrialisation. The evidence on the share of the MEC sectors in the GDP does not support the contention that the MEC as a system of accumulation has effectively increased the econo...